风险态度的国际比较:基于全球文献的元分析  

Cross-country Heterogeneity in Risk Attitudes:A Meta Analysis

作　　者：易祯[1] 朱超[1] YI Zhen;ZHU Chao(Capital University of Economics and Business,Beijing,China)

机构地区：[1]首都经济贸易大学金融学院,100070

出　　处：《经济学动态》2022年第12期84-103,共20页Economic Perspectives

基　　金：国家自然科学基金面上项目“人口学视角下风险态度、全要素生产率与金融资产收益率研究”(71873092);国家自然科学基金青年项目“人口老龄化下的偏好调整与资产价格研究”(72103145);北京市属高校基本科研业务费专项资金(ZD202003,QNTD202206)。

摘　　要：风险态度是行为决策的核心变量。本文基于风险态度研究文献的元分析,考察其背后的国家、文化、收入和生命周期因素。我们手工搜集了122篇公开发表的测算相对风险厌恶系数的文献,整理了1133个估计值,共计73645个数据点,样本覆盖全球79个经济体。元分析结果表明:(1)风险厌恶系数均值层面,全球为6.2566,中国为9.3098。(2)风险态度表现出显著的经济发展程度和文化体系异质性,发达经济体比发展中经济体风险厌恶系数高1.5686,中国文化体系(8.4038)、印度文化体系(1.3784)、伊斯兰文化体系(0.8458)、欧洲文化体系(5.5202)之间风险态度差异明显。(3)生命周期内风险厌恶程度呈“倒U”型趋势,同时,随着健康状况转好和收入提升,风险厌恶程度会下降。(4)风险厌恶程度上升能够显著拉低股票收益率和波动率,并导致全球金融周期呈现“衰退”倾向,风险态度变化能够预示未来市场表现。本文研究从经济学和社会学的交叉视角考察了风险态度这一经济金融学变量的核心特征。这对于涉及该参数的理论研究是一个重要的参考。同时,政策含义上,中国老龄化带来的风险态度改变,也预示着未来资产价格、配置结构出现新的趋势和特征。This paper collects 1133 estimates of the coefficient of risk aversion from 122 published studies covering 79 countries. This database contains a total of 73645 data points. The data show that the mean value of risk aversion is 6.2566 globally and 9.3098 in China, which shows that China is more risk averse than the world average. The estimates vary substantially from country to country, even after controlling for 37 aspects of study design. The risk aversion shows significant heterogeneity by economic development and cultural system. The risk aversion coefficient of developed countries is 1.5686 higher than that of developing countries. There are significant differences in risk attitudes among Chinese cultural system(8.4038), Indian cultural system(1.3784), Islamic cultural system(0.8458) and European cultural system(5.5202). Our results suggest that income, health status, and life-cycle are the most effective factors in explaining the heterogeneity. Specifically:(1) households in richer countries and healthier country are less risk averse.(2) Risk aversion shows an inverted U-shaped trend across the life cycle. Finally, we analyze the relationship between risk aversion and the stock market, and find that the increase of risk aversion can significantly decrease the stock return and its volatility, and can also lead to a “recession” in the global financial cycle.

关 键 词：风险厌恶系数 元分析 贝叶斯模型平均 

分 类 号：F113[经济管理—国际贸易]