我国股市的财富效应——基于动态分布滞后模型和状态空间模型的实证检验  

China's Stock Market Wealth:an Empirical Study Based on the Dynamic Distributed Lag Model and the State Space Model

作　　者：唐绍祥[1] 蔡玉程[2] 解梁秋[3] 

机构地区：[1]宁波大学 [2]吉林大学商学院 [3]长春工程学院

出　　处：《数量经济技术经济研究》2008年第6期79-89,共11页Journal of Quantitative & Technological Economics

基　　金：国家社会科学基金青年项目"市场化;经济制度和我国经济增长效率的理论构建和实证研究"(06CJL009)的阶段性研究成果

摘　　要：本文利用动态分布滞后模型和状态空间模型分析我国股市财富效应。动态分布滞后模型结果表明,我国股市既不具有即期财富效应,也不具有长期财富效应。利用状态空间模型的时变参数模型检验结果显示,我国股市较长时期内不具有财富效应,但随着经济增长和证券市场规模的不断扩大,股市的正财富效应逐渐显现。主要的原因是我国居民的投资和消费具有替代效应,可支配收入的边际消费倾向受股市预期和宏观经济景气影响显著。The paper uses the dynamic distributed lag model and the state space model to analyses the stock market wealth. The test of dynamic distributed lag model shows that China＇s stock has neither the spot wealth effect, nor the long-run wealth effect. It shows that there is no long-run wealth effect in China＇s stock market based on the state space model, but there is some wealth effect when the economy grows and the market scaleup. The reason is that there exists alternative effect between the investment and the consumption. The marginal consumption of the disposable income is affected by the stock market expectation and the macro-economy.

关 键 词：财富效应 股市 动态分布滞后模型 状态空间模型 

分 类 号：F830.9[经济管理—金融学]