房价波动、跨期依赖与居民消费效应--基于Carroll的新财富效应测度方法  

Housing Price Fluctuation,Intertemporal Dependence and Consumption Effects: Based on a New Method of Carroll for Estimating the Wealth Effects

作　　者：李剑[1] LI Jian(School of Economics,Shandong University of Finance and Economics,Jinan 250014,China)

机构地区：[1]山东财经大学经济学院,山东济南250014

出　　处：《经济与管理评论》2018年第5期63-72,共10页Review of Economy and Management

基　　金：国家社会科学基金重点项目"构建扩大消费长效机制研究"(12AJY006);山东省高校人文社会科学研究项目"住房资产;价格波动与居民消费行为"(J14WF10)

摘　　要：利用Carroll等(2006,2011)基于消费跨时依赖动态模型而提出的一种新的财富效应测度方法,结合我国1994-2012年的宏观季度数据,就房价波动对城镇居民消费支出的影响进行实证研究。研究发现,2003年之后由于城镇居民的消费增长表现出显著的跨期负相关,导致房价波动不仅会对居民消费产生持续的影响,而且还会引发消费的剧烈波动;在控制了利率、收入预期等共同因素的影响后,房价波动对居民消费的影响依然显著,且在不同的时间段存在明显的差异,在短期中主要表现为对居民消费的挤出效应,在长期中则主要表现为财富效应。Using a new method for estimating the size of wealth effects proposed by Carroll et al.（ 2011） based on a dynamic model of intertemporal dependence consumption,we empirically analyze the effect of housing price fluctuations on urban household consumption based on the macro-quarter-data in China from 1994 to 2012. The results suggest that after 2003,because the household consumption presents significant negative intertemporal corelation,the housing price fluctuation not only has continuous effect on consumption but also may lead to consumption shock. Even after controlling the influence of the common factors such as interest rate and income expectations,the housing price fluctuation has significant effect on consumption and presents divergence in different periods. In short run it is crowd-out effect for the consumption,whereas in long run it is wealth effect.

关 键 词：住房价格 跨期依赖 消费效应 

分 类 号：F063.2[经济管理—政治经济学]