| 摘要: | 消費財富效果, 一直是財務與總體經濟所關心的研究議題, 過去的文獻都發現財富上顯著的變動會在當期或是未來影響消費者支出的變動。 不同於傳統的看法, Lettau and Ludvigson (2004) 卻認為家計資產財富的變動只有很小的比例跟總消費支出有關。 最主要的原因是, 以往的文獻在探討消費跟財富間的關係時, 未將財富中的趨勢成分 (trend) 跟波動成分 (cycle) 分開, 導致估計結果都誇大了財富的變動對消費的影響。 但由於 Lettau and Ludvigson (2004) 用共整合方法與誤差修正模型探討消費與財富之間的關係時, 未考慮均衡誤差修正的非對稱動態過程, 因此在探討消費財富效果時, 除了須了解趨勢與波動在消費財富效果中所扮演角色的重要性外, 進一步應用非線性調整機制模型探討消費與財富間的關係更是值得探究的課題。 因此本文採 Camacho (2005) 的馬可夫轉換共同趨勢模型 (MS-CTM), 將序列分解成恆常性因子與暫時性因子, 且均因景氣循環而有不對稱現象。 擬重新檢驗在考慮了均衡誤差修正不對稱的情況下消費與財富之間的關係。 實証結果顯示, 在考慮了均衡誤差修正不對稱的情況下, 消費大部分的變動是來自於恆常性衝擊, 而財富大部分的變動是來自於暫時性衝擊, 與 Lettau and Ludvigson (2004) 的觀點一致, 消費的變動主要是受到恆常性衝擊的影響, 與大部分變動來自於暫時性衝擊的財富無關。 The empirical linkage between wealth and consumption is a classic research problem at the intersection of finance and macroeconomics. Conventional estimates are find that significant movements in wealth will be associated with movements in consumer spending, either contemporaneously or subsequently. Contrary to conventional wisdom, Lettau and Ludvigson (2004) find that a surprisingly small fraction of the variation in household net worth is related to variation in aggregate consumer spending. They argue that conventional estimates do not distinguish trend from cycle in asset values. Therefore it leads to estimates of the wealth effect greatly overstate the response of consumption to a change in wealth. Lettau and Ludvigson (2004) use cointegration approach and error correction model to discuss the consumption-wealth relationship. But they did not consider the assymmetry in the dynamics of the equilibrium errors. For this purpose, we use the Markov-switching common trends model of Camacho (2005). This leads to a decomposition of the series into permanent and transitory components that behave asymmetrically within the business cycles. We find that consider the assymmetry in the dynamics of the equilibrium errors, most variation in consumption is dominated by permanent shocks, but most variation in household net worth is generated by transitory innovations. Finally, in line with Lettau and Ludvigson (2004), we find most changes in wealth are transitory and are uncorrelated with consumption. |
