摘要
根据混频数据抽样模型,实证研究了中国股市对居民消费的影响效应,深入讨论了牛市和熊市阶段股市收益和波动对居民消费的影响特征。已有研究都是使用同频数据,多数研究认为股市对居民消费的影响不显著或不稳定。而本文基于混频数据的分析却得出不同的结论:不论是股市收益还是股市波动均对居民消费有着显著的影响效应。通常股市收益对居民消费有正的影响效应且影响持续时间长,而股市波动对居民消费有负的影响效应且持续性很短。股市收益在牛市阶段具有较大的影响;相反,股市波动在熊市阶段具有较大的影响。
This paper analyzes the impacts of China's stock market on residential consumption based on the mixed frequency data sampling model.It further investigates the influences of stock return and volatility on residential consumption in bull and bear market phases.Existing studies are simply based on quarterly data most of which show that^the impacts of stock market on consumption are insignificant or unstable.However,the results based on mixed frequency data are different,both stock return and volatility affect residential consumption significantly.Generally speaking,the effects of stock return on consumption are positive and long-lasting while the effects of stock volatility on consumption are negative and less persistent.Stock return exerts greater impacts in the bull market while stock volatility exerts greater impacts in the bear market.
作者
陈强
龚玉婷
袁超文
CHEN Qiang;GONG Yuting;YUAN Chaowen(School of Economics ,Shanghai University of Finance and Economics,Shanghai200433,China;Key Laboratory of Mathematical Economics(SUFE)of the Ministry of Education,Shanghai University of Finance and Economics,Shanghai200433,China;SHU-UTS SILC Business School,Shanghai University,Shanghai201800,China)
出处
《系统管理学报》
CSSCI
CSCD
北大核心
2018年第6期1028-1035,共8页
Journal of Systems & Management
基金
国家自然科学基金资助项目(71501120
71601108)
关键词
股票市场
居民消费
财富效应
混频数据模型
stock market
residential consumption
wealth effect
mixed-data sampling(MIDAS)model
