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文章使用中国2000-2011年的季度数据,运用动态最小二乘(DOLS)和误差修正模型(ECM),检验了金融发展与家庭金融资产投资之间的长期和短期动态关系。结果表明,在金融发展和资产收益率之间不存在明显的分工,金融发展无论是在短期和长期都会影响家庭投资组合的动态变化,其中,无论在短期和长期,股票市场发展在家庭存款和股票资产之间都产生了较强的替代效应。
Abstract：Using Chinese quarterly data from 2000 to 2011,the paper examines the long-run and short-run dynamic relation between financial development and household financial asset investment by dynamic ordinary least squares( DOLS) and error correction model( ECM). We find that both in the long-run or short-run,financial development affects the dynamics of household portfolios.Both in the long-run or short-run,the development of stock market has a strong substitution effect between deposits and stock assets for the household.
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1 因为篇幅关系,各变量的具体数据不在文中列出,感兴趣的读者可来信向作者索取。
2 按照世界银行的指标计算方法,考虑到流量值和存量值的不同,FI3、FI4、FI5、FI6、FI7、SM1、SM3采取如下方式计算:当季指标=[(上一季度末存量值/该月CPI+当季度末存量值/该月CPI)]/2/(当季GDP/季度CPI)或当季指标=(当季发生额/季度CPI)/[(上一季度末存量值/该月CPI+当季度末存量值/该月CPI)/2]
3 因数据缺失,2000年和2001年的债券市值使用债券托管量代替。
4 因为篇幅关系,具体数据不在文中列出,感兴趣的读者可来信向作者索取。
1 调整公式为:季末家庭持有的股票资产=当年年末家庭持有的股票资产*(季末股票市场流通市值/当年年末股票市场流通市值)
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2014.10.020
中图分类号:F224;F830.9
引用信息:
[1]吕学梁,王美玲,吴卫星.金融发展与家庭金融资产投资:基于中国数据的分析[J].商业经济与管理,2014,No.276(10):73-81.DOI:10.14134/j.cnki.cn33-1336/f.2014.10.020.
基金信息:
国家自然科学基金项目“不确定环境下居民家庭投资组合模型和实证研究”(71073020);; 教育部新世纪人才支持计划(吴卫星,NCET-10-0337);; 北京市哲学社会科学规划项目“北京市居民家庭投资组合选择行为与相关金融分析”(10BaJG344);; 对外经济贸易大学杰出青年学者培育计划(吴卫星,2012);; 青岛市社会科学规划项目“金融发展视角下青岛市居民投资行为调查分析”(QDSKL110401)
2014-10-15
2014-10-15