中国农民消费行为及影响因素分析

本文运用适用预期的消费函数模型,对中国农民的消费行为影响因素进行实证分析。研究表明:农村居民消费的变动呈现出对收入变动的过度敏感,并且农民存在消费习惯,收入的不确定性进一步抑制了农民的消费。本文又做了进一步研究,发现受灾面积,农业支出对收入的影响不大,而农产品生产价格指数是造成收入不确定性的主要因素。     

基于状态空间模型的黑龙江省农村居民消费影响因素分析

以状态空间模型为工具,研究黑龙江省农村居民消费影响因素,深层次分析黑龙江省农村居民消费支出关于收入、经济发展、物价和投资的动态变化路径.研究得到,收入是影响农村居民消费的最主要因素,具有显著的引致效应,物价对农村居民消费主要呈负向影响,经济平稳和合理的固定资产投资能够促进农村居民消费,反之则抑制消费,并据此提出了建议.     

财政支农支出、经济增长、收入差距与区域农村居民消费——基于非参数可加模型的实证研究

本文基于杜生贝利的相对收入假说理论,建立了农村居民消费影响因素的非参数可加模型,利用我国1984-2011年30个省区市的面板数据,对财政支农支出、经济增长和居民收入差距对不同区域农村居民消费支出的线性和非线性影响进行了实证分析。结果表明,我国经济的持续快速增长、居民收入差距和财政支农支出均是影响区域农村居民消费的重要因素,但三者对不同区域农村居民消费的影响方向和影响强度存在显著差异。线性部分回归结果表明经济增长的影响强度远高于收入差距和财政支农支出,而且收入差距对东部和中西部地区产生完全相反的影响。非线性分析结果显示财政支农支出对东、西部地区农村居民消费产生一个显著的"正U"形非线性影响,而对中部地区则产生一个显著的"倒U"形非线性影响。     

山西省农村居民收入与消费结构的灰色关联分析

选取山西省2006-2010年以及2011-2015年这两个阶段内农村居民人均年收入与食品支出,居住支出,衣物支出,医疗保险支出,交通通讯支出,家庭设备支出,娱乐教育支出以及其他用品支出这8项主要消费支出进行了灰色关联分析.研究结果显示,山西省农村居民以生存型消费资料为主导的消费结构已经开始发生转变,正在逐渐以享受型消费资料为主导的消费结构转变,但交通通讯不便,娱乐教育、医疗保险等享受和发展型消费资料的消费积极性不高等因素,仍然制约着山西省农村居民消费结构的优化.     

中国农村居民消费结构的Panel Data模型分析

基于持久收入假设消费理论,建立中国农村居民消费的Panel Data模型,分析中国农村居民不同收入层次之间的消费差异,以及这种差异对农村居民消费结构的影响.结果表明:不同收入层次的农村居民的总消费支出差异显著,衣着消费模型为变截距模型,而居民食品、居住等其他消费支出差异不显著,模型表现形式一致,因此启动农村居民消费需求归根到底是要提高低收入层次居民的收入,拉动高收入层次居民的消费需求。     

我国农村居民消费现状及影响因素分析

我国经济虽然实现了高速增长,但城乡居民消费差距不仅没有缩小,反而在继续扩大,由占人口绝对多数的农村居民的消费水平过低所直接导致的我国消费需求不足已成为目前我国宏观经济中最突出的矛盾。本文在农村居民消费结构的基础上,分析影响居民消费的其他原因,以及这些因素与消费的相关程度,建立回归模型,并采用2007年中国农村居民的收入消费等统计资料,对消费状况进行实证分析。最后本文针对我国农村居民现实的消费状况提出针对性的建议。     

基于多层次分析模型的中国居民消费能力评估

建立了多层次统计分析模型来考察中国居民的消费能力.在模型中,分析了居民在消费过程中面临的内在冲击和外在冲击,并定量地测定了外在冲击和内在冲击对消费能力的影响.实证研究发现,中国农村消费能力不足来源于农村居民的绝对收入过低,农村居民主要面临外在消费冲击;中国城市居民消费能力相对较高.但面临着较大的消费波动.城市居民主要面临消费的内在冲击.     

中国城镇居民消费支出的多元非线性回归模型研究

以1993-2007年数据为根据,采用逐步回归方法,建立中国城镇居民消费支出的多元非线性回归模型.结果表明:影响居民消费支出的主要因素有收入、消费意愿、居住面积、商品零售价格.消费支出随着收入、消费意愿、商品零售价格的提高而提高,随着人均居住面积的增加而先增后减.而且多元非线性回归模型比线性回归模型更能准确描述客观实际结果.     

西藏林芝地区城镇居民消费支出的G(1,1)模型预测及其影响因素的关联度分析

利用2006—2012年林芝地区城镇居民人均生活消费支出数据为研究对象,应用灰色系统理论建立了林芝地区城镇居民消费的G(1,1)预测模型,对其未来几年的人均生活消费进行预测,分析得出:在未来五年中林芝地区城镇居民人均生活消费支出呈现攀升的态势,平均年增长率预计达到7.93%.并运用灰色关联分析方法对影响林芝地区城镇居民消费支出的主要因素进行系统分析,确定了各因素相对于消费支出的关联程度.     

基于生命周期模型的农户储蓄变动机制研究

运用1997-2006年省际动态面板数据研究了我国农村居民储蓄率变动的决定因素,并检验了永久收入假说(生命周期理论)对中国农村居民的适应性。实证研究发现,我国农村家庭储蓄率持续攀升以及时空差异的主要原因在于农村居民储蓄习惯(滞后储蓄率)、收入增长率、实际利率和宏观经济波动;但与人口年龄结构相关的因素对农村居民储蓄率变动影响较小,实证结果部分地支持生命周期理论假说。因此,从中短期来看,我国农村居民家庭储蓄率依然较高,应设计出刺激农民消费、减少储蓄的中短期政策组合,同时从制度层面来理顺农村储蓄资金转化为投资的渠道。     

Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

This paper assesses optimal life cycle consumption and portfolio allocations when households have access to Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuities over their adult lifetimes. Our contribution is to evaluate demand for these products which provide access to equity investments with money-back guarantees, longevity risk hedging, and partially-refundable premiums, in a realistic world with uncertain labor and capital market income as well as mortality risk. Others have predicted that consumers will only purchase such annuities late in life, but we show that they will optimally purchase GMWBs prior to retirement, consistent with their recent rapid uptick in sales. Additionally, many individuals optimally adjust their portfolios and consumption streams along the way by taking cash withdrawals from the products. These products can substantially enhance consumption, by up to 10% for those who experience highly unfavorable experiences in the stock market.     

稳健性因子分析在城镇居民家庭现金消费支出中的应用

利用面向对象的稳健性因子分析R软件包Robustfa,对2011年全国除港、澳、湾以外的31个省、市、自治区的城镇居民家庭现金消费支出的8个指标进行了因子分析.通过使残差矩阵的元素平方和达到最小,发现了一个组合一主因子法与稳健性Mve估计量.通过由稳健性Mve估计量计算的马氏距离大于临界值,我们发现共有10个异常点.用经典估计量和稳健性Mve估计量计算的样本相关阵、旋转后的因子载荷矩阵、因子对原始变量的贡献、贡献率、累积贡献率、样本相关阵的特征值的碎石图、前两个因子得分的散点图、因子得分、按因子得分排序等结果均有较大的不同.最后通过组合主因子法与稳健性Mve估计量将8个指标归结为两个因子:基础消费因子和消费倾向因子,根据每个省份的两个因子得分情况对该省份的家庭现金消费支出情况作出综合评价,并根据稳健性因子分析的结果给出了相应建议.     

上海城市和农村居民消费结构分析

根据上海城市和农村居民消费结构的统计数据,对居民的八项消费支出进行因子分析,从而比较分析上海城市和农村居民消费结构的状况及变化趋势,并对上海城乡居民的消费差异做出评价。     

Valuation of cash flows under random rates of interest: A linear algebraic approach

This paper reformulates the classical problem of cash flow valuation under stochastic discount factors into a system of linear equations with random perturbations. Using convergence results, a sequence of uniform approximations is developed. The new formulation leads to a general framework for deriving approximate statistics of cash flows for a broad class of models of stochastic interest rate process. We show applications of the proposed method by pricing default-free and defaultable cash flows. The methodology developed in this paper is applicable to a variety of uncertain cash flow analysis problems.     

基于随机活动工期的多模式现金流均衡项目调度优化

承包商在项目执行过程中的现金流均衡是保证项目成功的关键因素。本文研究基于随机活动工期的多模式现金流均衡项目调度问题,旨是在项目工期及鲁棒性阈值约束下合理安排活动执行模式与开始时间,实现承包商现金流均衡。本文通过构建整数规划优化模型对研究问题进行刻画,随后设计模拟退火算法进行求解,最后进行案例分析。结果表明:鲁棒性阈值虽然可以保证基准进度的稳定性,但是提高鲁棒性阈值水平反而不利于承包商的现金流均衡,该值过高时甚至得不到可行解。本文研究可为随机活动工期背景下承包商的现金流控制提供定量化决策支持。     

Cash transfer program and education investment: A model for social evolution

Assume that the households of a country are socially classified according to the monthly total income, and that they can be part of a lower, a middle or an upper class. By using multi-agent systems, here we model and simulate the economic evolution of households which earn a wage, pay taxes and invest in education. The return of the education investment is monthly added to the salary of the family, and it is function of the corresponding grand total put in education along the time. When a family is unemployed, we consider that it receives cash due to a social program made by the government. The time evolution of the percentages of households belonging to each class is investigated by varying the government investment in such a program of cash transfer and the proportion of employed households in the population. We show that the government should invest in the unemployed lower class if it intends a growth of the middle class. We also propose and analyze a mean-field approximation written in terms of ordinary differential equations. In addition, we verify that our model fits real data from Brazil, in the period between 2003 (when the cash transfer program Bolsa Família was launched) and 2011.     

The short-run and long-run behaviour of personal consumption in Croatia

In this paper cointegration and error correction models are used to explore the long run and short run behavior of personal consumption in Croatia as a function of income, house prices and total credit to households. The results of the analysis showed that income (approximated by net real wage), house price and total credits to households play an important role in determining personal consumption. Also, lagged values of house prices showed significant impact on consumption, suggesting house price persistence. The most likely factors driving the house price persistence may include expectations and idiosyncratic institutional characteristics like illiquid real estate markets, inadequate property rights protection, high transaction costs, and underdeveloped financial instruments.     

基于D-S理论的延期支付与存货质押业务决策模型

由于市场的不确定性,延期支付货款和存货质押融资中存在诸多不确定因素,使得资金需求企业难以做出有效的选择。针对此问题,从资金需求企业利润最大化的角度出发,首先分别给出了延期支付和存货质押两种业务下的企业利润模型,进而基于D-S理论建立了两种业务的决策模型。该模型以存货质押和延期支付业务下企业利润差额为目标函数,根据证据推理,以信任函数和似然函数构造出利润差额的上下界概率分布,并据此给出两种业务的决策依据。算例分析表明,对资金需求企业来说,存货质押融资业务并不一定优于延期支付,在特定的市场环境下,需要利用本文提出的模型进行定量计算,从而做出最优的选择。     

Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

In this paper, we consider the optimal consumption and investment strategies for households throughout their lifetime. Risks such as the illiquidity of assets, abrupt changes of market states, and lifetime uncertainty are considered. Taking the effects of heritage into account, investors are willing to limit their current consumption in exchange for greater wealth at their death, because they can take advantage of the higher expected returns of illiquid assets. Further, we model the liquidity risks in an illiquid market state by introducing frozen periods with uncertain lengths, during which investors cannot continuously rebalance their portfolios between different types of assets. In liquid market, investors can continuously remix their investment portfolios. In addition, a Markov regime-switching process is introduced to describe the changes in the market’s states. Jumps, classified as either moderate or severe, are jointly investigated with liquidity risks. Explicit forms of the optimal consumption and investment strategies are developed using the dynamic programming principle. Markov chain approximation methods are adopted to obtain the value function. Numerical examples demonstrate that the liquidity of assets and market states have significant effects on optimal consumption and investment strategies in various scenarios.