不确定预期和家庭资产配置的联动性：影响机制与联立Tobit研究

The study of the mechanism by which uncertainty expectation affects household finance asset choices and the endogeneous correlativity among them is a new and important issue in household finance, which so far has attracted insufficient attention in the literature. Hence in this program we set the household’s uncertainty expectation of good price, interest rate and housing price into household wealth process, also considering the threshold constraint on the asset investment, to form the household lifetime consumption utility maximization problem, and derive the Tobit implicit function of asset choices, by which we investigate the influence mechanism through which uncertainty expectation affects household asset choices and the endogeneous correlativity among the choices. We also divide the real estate into consumption and investment assets according to the consumption and investment properties of housing to investigate the influence mechanism and the endogeneous correlativity. For the purpose of empirical study we study the semiparametric estimation of simultaneous Tobit model to give a feasible estimation method for the model. Our method can avoid the defect of maximum likelihood estimation and Amemiya’s method in estimating the simultaneous Tobit model. Finally, we apply the household finance survey data to empirically study the effect of uncertainty expectation on household asset choices and estimate the correlativity among the choices, including crowding-out effect and trending effect, and study the investment nonsymmetry in the correlativity between the risky asset and housing asset.

不确定预期对家庭金融配置选择的影响机制以及资产选择间内生联动关系的研究是家庭金融领域一个新的重要选题，目前文献对这一机制和联动性研究缺乏足够的重视。为此，本项目：(1) 将家庭对物价、利率和房价等不确定性预期通过财富增值过程纳入家庭生命周期消费效用最优化问题中，并加入资产投资门槛约束，得到资产选择联立Tobit隐函数解，由数值求解或模拟探讨不确定预期的影响机制及投资组合间的内生联动关系。(2) 对房产按消费和投资属性划入消费性资产和投资性资产，探索房产属性划类对不确定预期对家庭资产配置的影响及资产选择内生联动性的作用。(3) 为本项目实证之需，研究联立Tobit模型半参数估计方法，克服最大似然估计和Amemiya估计量的缺陷，给出该模型一个可行性估计。(4) 由联立Tobit估计，应用微观调查数据实证分析不确定预期的影响机制和资产选择间的联动关系，并考察风险资产和房产间联动关系的非对称性。

当前我国家庭资产配置偏好依然是存款，表现为人均存款增速不降反升，这与人们对未来不确定性的主观预期有关。本项目以“不确定预期和家庭资产配置的联动性：影响机制与联立Tobit研究”为主题开展，取得了良好的预期成果。首先，在理论层面，研究家庭对未来不确定的主观预期对家庭房产、风险资产和无风险资产配置比例的影响机制，以及三者之间的直接联动关系。基于中国家庭金融调查数据和联立Tobit分析发现，预期物价上升、预期利率上行、预期风险资产收益下行和预期房价上行对无风险资产、房产、风险资产的配置比例均有一定的影响，三类资产配置比例之间存在直接的“挤出效应”，且表现出明显的非对称性：中国家庭追求高收益的房产投资和更安全的无风险资产，同时弱化风险资产配置的普遍模式。成果投稿于《管理科学学报》，现处第三轮修改后复审中。此研究弥补了家庭金融文献在不确定性预期影响机制和资产配置间联动关系研究方面的不足。其次，在计量方法层面，给出联立Tobit模型或含有样本选择的归并数据模型的半参数估计方法，证明其一致性和渐近正态性，建立模拟实验说明这些估计量具有良好的有限样本表现，并给出实证应用，特别是对家庭资产配置的联立Tobit分析。另外提出jackknife或修正jackknife方法，给出面板数据模型中个体效应、时间效应的确定检验方法：当误差项序列和横截面相关性都很弱时，jackknife方法可在概率接近1情况下确定正确的模型；当此相关性为中等或强程度时，使用校正jackknife准则函数可选择正确的模型。这些成果发表于Journal of Business & Economic Statistics、Journal of Econometrics、Econometric Reviews、Communications in Statistics: Simulation and Computation上。家庭金融目前文献缺乏对资产选择间直接的内生联动性的研究，更没有应用联立Tobit系统模型研究家庭资产选择间直接联动性的研究，本项目成果填补了这些空白。