风险态度与居民财富——来自中国微观调查的新探究

发布时间：2018-09-08 08:15

【摘要】：随着资本市场的快速发展,在风险资产回报率剧烈波动的现实背景下,考察居民风险态度关于财富的函数形式对于研究家庭资产配置和相关市场政策的福利影响有重要的意义。本文使用代表性家庭调查数据,首次通过构建绝对和相对风险态度的指标,系统分析了我国居民风险偏好与财富之间的关系。研究表明,居民的绝对风险厌恶系数是财富的减函数,相对风险厌恶系数是财富的增函数,从而拒绝了常用于经济学模型假设的常绝对风险厌恶(CARA)和常相对风险厌恶(CRRA)偏好。进一步,我们发现背景风险可能是财富对风险态度的作用渠道之一,财富的变化改变了投资者面对的背景风险水平,继而改变其风险厌恶程度和对风险金融资产的投资。这意味着平抑经济过度波动等控制背景风险的政策将有助于提高居民金融市场参与的积极性。
[Abstract]:With the rapid development of capital market, under the background of volatile return on risky assets, it is of great significance to study the welfare effects of household asset allocation and related market policies by examining the function of residents' risk attitude on wealth. Using representative household survey data, this paper, for the first time, analyzes the relationship between risk preference and wealth of Chinese residents by constructing absolute and relative risk attitude indicators. The study shows that the absolute risk aversion coefficient of residents is a decreasing function of wealth, and the relative risk aversion coefficient is an increasing function of wealth, thus rejecting the constant absolute risk aversion (CARA) and constant relative risk aversion (CRRA) preferences commonly used in economic models. Furthermore, we find that background risk may be one of the channels of wealth to risk attitude. The change of wealth changes the level of background risk faced by investors, and then changes the degree of risk aversion and investment in risky financial assets. This means that policies to control background risks, such as excessive economic volatility, will help boost the participation of residents in financial markets.
【作者单位】：对外经济贸易大学金融学院应用金融研究中心;首都经济贸易大学金融学院;
【基金】：国家社会科学基金(14AZD121) 国家自然科学基金(71373043,71331006) 对外经济贸易大学中央高校基本科研业务费专项资金项目(CXTD5-03)的资助奥尔多中心(www.aordo.org)“中国居民风险与风险管理”研究项目的阶段性研究成果
【分类号】：F126.1

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