引入货币持有后的风险态度  

A Risk Attitude Measurement Model with Money Holdings

作　　者：易祯[1] 朱超[1] YI Zhen;ZHU Chao(Capital University of Economics and Business,100070)

机构地区：[1]首都经济贸易大学金融学院,100070

出　　处：《财贸经济》2023年第10期73-89,共17页Finance & Trade Economics

基　　金：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);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)。

摘　　要：本文在Swanson(2012,2020)模型的基础上,将货币持有纳入跨期决策模型,重新考察了风险态度。我们发现,相对于消费和劳动而言,货币持有会使家庭面对风险时更为谨慎,这会改善风险厌恶被低估的倾向。基于中国家庭层面微观数据的测算结果发现,考虑货币持有后,中国家庭层面的相对风险厌恶系数均值为1.6398。这比Arrow-Pratt经典模型和消费效用模型的测算结果分别高出12.66%和27.88%。风险厌恶程度还表现出人口结构、城乡结构和消费结构异质性。进一步地,我们分析了中国家庭风险态度的决定因素,发现脆弱性越高、少儿抚养压力越小、健康程度越低的家庭,其风险厌恶程度越高。本文考虑货币持有的真实经济环境,为风险态度构建更准确的测算模型并得出多样化的测算结果,为理论建模中的参数设定提供参考。鉴于当前中国经济发展阶段和人口结构特征,随着中国家庭资产更多地货币化,以及老龄化带来的劳动供给灵活化、弹性化,家庭风险态度背后可能反映了一个更加复杂的资产配置和资产价格趋势。Risk attitude plays an important role in economics and finance models.The parameter,often expressed by the coefficient of risk aversion,describes individuals'preference and tolerance for future uncertainty.In macroeconomic models,risk aversion determines the consumption according to the Euler equation and also influences other variables in the economic system through conditions of general equilibrium.In financial models,the coefficient of risk aversion explains the risk premium portfolio choices.The variable of fluctuating risk aversion also plays the role of"pricing kernel"in asset pricing.The motivation of this paper is to extend the measurement model of risk aversion with money holdings.This paper argues that money holdings and risk aversion are tightly linked in the expected utility model,because both of them are determined by the curvature of utility over consumption.When consumption and money are alternative to each other in the utility function,the consumption risk can be offset by adjustment to money holdings.Otherwise,the consumption risk will be offset by adjustment to the budget.A main conclusion of this paper is that the household's money holdings has a substantial effect on the risk aversion.After considering money holdings in the theoretical model,we can avoid the underestimation of risk aversion.When money holdings and consumption are additively separable in utility,they still remain connected though the household's budget constraint.In particular,the household can offset the consumption shocks through the consumption movement,changes in working hours,changes in money holdings,and some combinations of the three.This paper estimates the RRA by using survey data from two large micro databases:the China Family Panel Studies(CFPS)and the China Household Finance Survey(CHFS).The results show robustness in the RRA estimates for different databases with an average value of 1.6398,which means that one unit of variance value is required for wealth growth as a risk premium or risk compensation when one's wea

关 键 词：风险态度 风险厌恶系数 货币持有 

分 类 号：F016[经济管理—政治经济学]