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居民的跨期消费选择会对资本市场带来影响,本文将消费资本资产定价模型应用于我国资本市场,对居民消费、利率与股票收益率的联动进行了广义矩法检验。检验结果对于资产收益率种类以及工具变量具有较大的敏感性,但数据与模型之间的拟合比较好,结果无法拒绝消费资本资产定价模型。因此,不能否认消费增长率与利率、股票收益率之间的联系是存在的,我国居民的消费波动会对利率与股票收益率施加影响。鉴于此,政府应加强对居民消费支出的调控,这将有益于我国资本市场的稳定发展。
The residents’ intertemporal consumption choice will have an impact on the capital market. This paper applies the consumption capital asset pricing model to the capital market in our country and tests the linkage between resident consumption, interest rate and stock return using the generalized moment method. The test results are more sensitive to the types of asset return and instrumental variables. However, the fitting between the data and the model is relatively good. As a result, the consumer capital asset pricing model can not be rejected. Therefore, we can not deny that the link between the growth rate of consumption and the interest rate and the stock return rate exists. The fluctuations in the consumption of residents in our country will affect the interest rate and the stock return. In view of this, the government should strengthen the regulation and control of resident consumption expenditure, which will benefit the steady development of China’s capital market.