习惯形成下的资产定价模型与无风险利率研究  

With Habit Formation of Asset Pricing Model and the Risk-free Rate of Research

作　　者：邓学斌[1] 

机构地区：[1]广东财经大学金融学院,广东广州510320

出　　处：《暨南学报（哲学社会科学版）》2014年第8期73-80,162,共8页Jinan Journal(Philosophy and Social Sciences)

基　　金：教育部人文社会科学项目<基于外部习惯形成下的资产定价模型:理论和实证研究>(批准号:12YJA790021);广东财经大学博士项目<基于外部习惯形成的资产定价模型及股权溢价之谜的解释>(批准号:11BS79002)

摘　　要：将习惯形成加入到Epstein and Zin的理论模型中,建立基于习惯形成的资产定价模型,利用随机贴现因子为无风险资产定价,修正模型是前人模型的推广。实证分析发现我国金融市场的无风险资产受到居民消费支出和股市收益率及其波动率的显著影响,同时消费者的习惯形成、风险厌恶系数、跨期替代弹性、主观时间偏好也有影响,用理论模型模拟出的无风险利率与样本期内一年期商业银行存款的名义利率相当接近,表明理论模型对我国的无风险资产具有更强的定价能力。若剔除通胀因素后年存款利率实际年收益仅为0.42%,这比美国的实际年收益率0.94%还低。因此,中国近些年采取较宽松的货币政策,实现了中国的经济高速发展,进一步提高存款利息率似乎更加合理。This article added the habit formation into Epstein and Zin generalized expected utility model,established based on habit formation of asset pricing model,using stochastic discount factor for risk-free asset pricing,and with Mehra and Prescott, Epstein and Zin, Campbell and Cochrane model to compare the risk-free interest rate,modified model are risk-free rate is the promotion of the three models. Using 1995- 2011 Chinese macroeconomic data and stock data to simulate the four risk-free interest rate,the modified model comparison found that the risk-free interest rate is more closer to the Chinese capital market of commercial banks' one-year deposit interest rate,theory and practice are good coincide that in this paper modified model has a stronger pricing power,and the present asset pricing theory is expanded and deepened in a certain degree.

关 键 词：习惯形成 广义预期效用模型 随机贴现因子 无风险利率 

分 类 号：F830.1[经济管理—金融学]