美国高收入阶层收入变动与股市关系的实证分析  

Empirical Analysis on the Relationship between Income Changes of High Income Group and Stock Market Index in U.S.

作　　者：时学成[1] 张彤玉[1] 

机构地区：[1]南开大学经济学系,天津300071

出　　处：《财经理论与实践》2010年第6期44-48,共5页The Theory and Practice of Finance and Economics

基　　金：教育部人文社会科学重点研究基地项目"当代资本主义经济新特征研究"(08JJD790150)阶段性成果

摘　　要：美国收入分配自1980年代出现了加剧不平等的趋势,塞斯等人利用税收资料建立一个长期的高收入阶层的收入份额时间序列,利用其数据建立计量模型考察收入变动与股市指数的关系,发现股市是造成收入份额增长的一个因素,两者存在一定的正相关关系。同时,通过对不同收入组别与股指的相关系数的比较,发现收入阶层越高,其受股市影响程度越大,这也验证了收入越高其在股市中的投资比重越大,其收入增长来源越多地依赖于股市。通过时变参数模型度量了股指对收入份额的弹性系数的动态过程,发现自1981年开始弹性系数略有上升,其原因可能与税率下降及投资热情有关。The income inequality in the United States has increased since the 1980s.Saez and others used the tax data to build a long-term series of income share of high-income group.In this article,some econometric Models are established to study the relationship between the income changes of high income group and stock market index in U.S.The empirical results indicate that the stock market is a very important factor which causes the growth of income share,and there is a certain positive correlation between them.And after the comparison of the correlation coefficient of different income groups,it is found that the higher income,the greater impacts from the stock market index,which verifies the point that the higher income groups invest more money in the stock market.At last,time varying parameter model is used to measure the income elasticity of the stock market index,and it is found that there have be a slight increase of the elasticity coefficient since 1981 probably because of the tax decrease and investment enthusiasm.

关 键 词：高收入阶层 收入份额 股指 

分 类 号：F830.91[经济管理—金融学]