打破刚性兑付,资金何去何从?——基于家庭资产配置的微观视角  

How the Capital Will Be Allocated after Breaking Rigid Payment?-From the Micro Perspective of Household Asset Allocation

作　　者：和泽慧 路晓蒙[2] 罗荣华[3] 兰伟[4] HE Zehui;LU Xiaomeng;LUO Ronghua;LAN Wei(Southwestern University of Finance and Economics)

机构地区：[1]西南财经大学社会发展研究院,611130 [2]西南财经大学中国家庭金融调查与研究中心,611130 [3]西南财经大学中国金融研究院,611130 [4]西南财经大学统计学院,611130

出　　处：《经济学（季刊）》2023年第4期1442-1460,共19页China Economic Quarterly

基　　金：国家自然科学基金(71991472,12171395,11931014,72003149);教育部人文社会科学重点研究基地重大项目(22JJD790022);西南财经大学“光华英才工程”的资助。

摘　　要：随着打破刚性兑付的推进,如何理解其对广大居民资产配置的影响是业界和监管层共同关心的问题。本文将刚兑资产纳入资产配置模型,发现在打破刚兑后,家庭会降低刚兑资产的持有,增加对传统无风险资产的持有,但对传统风险资产配置的影响取决于风险资产与刚兑资产的收益相关性,且上述效应随着家庭金融知识的提升而减弱。同时,本文运用中国家庭金融调查数据证实了理论结论,且发现高财富或高学历背景也缓解了打破刚兑的冲击。With the progress of breaking rigid payment(RP),how to understand its impact on house-hold asset allocation becomes a common concern for both industry and regulatory.We construct an asset allocation model with the RP assets,and find that after breaking RP,households will reduce the RP assets allocation and increase risk-free assets allocation.But the impact on risky assets allocation depends on the return correlation between risky assets and the RP assets.These effects will be weakened with high finan-cial literacy.Using the CHFS data,we confirm theoretical results and find high wealth or education also alleviatetheshock.

关 键 词：资管新规 刚性兑付 资产配置 

分 类 号：F832[经济管理—金融学]