投资者风险规避度与量化宽松的中长期利率效应  

Investor Risk Aversion and The Medium and Long Term Interest Rate Effect of Quantitative Easing

作　　者：李华建[1] 

机构地区：[1]复旦大学经济学院

出　　处：《世界经济研究》2017年第3期30-41,共12页World Economy Studies

摘　　要：为什么日美两国量化宽松对于各自中长期利率的影响效果呈现显著差异?文章基于preferred-habitat theory(偏好习惯理论)探讨了一个长期被忽略的影响因素——投资者风险规避度。根据偏好习惯理论,文章认为减少长期债券的供给的确能够降低中长期利率(文章称之为供给效应),但供给效应的大小取决于投资者风险规避度。文章运用两种方法计算比较了日美两国投资者风险规避度,结果发现各自量化宽松期间日本投资者的风险规避度远小于美国投资者。进一步地,文章的实证检验证实,量化宽松的供给效应存在于不同国家,且与投资者风险规避度确实存在一定程度的正相关关系,从而证明了偏好习惯理论。更为重要的是文章发现美国量化宽松的供给效应显著高于日本,这说明投资者风险规避情绪确实是造成两国量化宽松的中长期利率效应差异的关键因素。Why QE in Japan and the United States has significant different effects on long-term interest rates? In order to answer this question,this paper explores the role of investor's risk aversion coefficient which is neglected in long time based on preferencehabit theory. According to the preference-habit theory,we get the conclusion that the supply falling of long-term bonds can reduce long-term interest rates( this is called supply effect). But the supply effect depends on the investor's risk aversion. In this paper,the two methods are used to calculate and compare the degree of investor risk aversion in the U. S. and Japan. The results show that the degree of risk aversion of Japanese investors is much smaller than that of American investors. Furtherly,this paper uses empirical test to prove that QE supply effects in US is significantly higher than that in Japan,which is consistent with the above theoretical analysis. This paper also confirmed that in the two countries a positive correlation between the supply effect of quantitative easing and risk aversion does exist,so the habit theory is confirmed.

关 键 词：中长期利率 偏好习惯理论 风险规避程度 供给效应 日美比较 

分 类 号：F821.0[经济管理—财政学]