主观预期寿命对家庭资产配置的影响——基于CHARLS数据的经验分析
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摘要
本文在基于生命周期的资产配置模型中引入主观预期寿命,对主观预期寿命、遗赠动机对中国家庭资产配置的影响进行分析。运用中国健康与养老追踪调查数据,本文的实证研究结果表明:中老年居民的主观预期寿命是理性的,该指标在研究家庭金融决策问题上具有重要的参考意义;主观预期寿命的增长显著提升了家庭持有政府债券和风险资产的可能性,并增加了家庭在相应资产上的配置。遗赠动机会弱化主观预期寿命增长对家庭持有相应资产的可能性和配置比例的正向影响。通过使用多种估计方法和代理变量,笔者发现上述结论是稳健的。
Based on the life cycle model, this paper introduces subjective life expectancy to analyze the impact of subjective life expectancy and bequest motives on China's household asset allocation. Using data from China Health and Retirement Longitudinal Study(CHARLS), we find that the subjective life expectancy of the middle aged and elderly residents is consistent with the rational expectations hypothesis, and is of great significance to the research of household financial choices. Households with longer life expectancy are more likely to hold government bonds and risky assets, and increase the proportion of these assets. Bequest motives have a significant negative effect on the allocation of corresponding assets. Using a variety of estimation methods and proxy variables, we find that the conclusions are robust.
Based on the life cycle model, this paper introduces subjective life expectancy to analyze the impact of subjective life expectancy and bequest motives on China's household asset allocation. Using data from China Health and Retirement Longitudinal Study(CHARLS), we find that the subjective life expectancy of the middle aged and elderly residents is consistent with the rational expectations hypothesis, and is of great significance to the research of household financial choices. Households with longer life expectancy are more likely to hold government bonds and risky assets, and increase the proportion of these assets. Bequest motives have a significant negative effect on the allocation of corresponding assets. Using a variety of estimation methods and proxy variables, we find that the conclusions are robust.
引文
范叙春、朱保华,2012:《预期寿命增长、年龄结构改变与我国国民储蓄率》,《人口研究》第4期。
何兴强、史卫,2014:《健康风险与城镇居民家庭消费》,《经济研究》第5期。
雷晓燕、周月刚,2010:《中国家庭的资产组合选择:健康状况与风险偏好金融研究》第1期。
李涛,2006:《社会互动与投资选择》,《经济研究》第8期。
李涛、郭杰,2009:《风险态度与股票投资》,《经济研究》第2期。
廖海霞、吴相谨,2016:《预期寿命对中国居民消费率的影响——基于地区差异性的视角区域》,《金融研究》第10期。
刘生龙、胡鞍钢、郎晓娟,2012:《预期寿命与中国家庭储蓄》,《经济研究》第8期。
饶育蕾、朱锐,2014:《认知差异是否影响中老年投资者持有风险资产?》,《管理世界》第11期。
王聪、田存志,2012:《股市参与、参与程度及其影响因素》,《经济研究》第10期。
吴卫星、易尽然、郑建明,2010:《中国居民家庭投资结构:基于生命周期》,《经济研究》第S1期。
尹志超、宋全云、吴雨,2014:《金融知识、投资经验与家庭资产选择》,《经济研究》第4期。
赵向琴,2015:《预期寿命延长、遗赠动机和风险资产配置》,《厦门大学学报(哲学社会科学版)》第4期。
Ameriks, J., A. Caplin, S. Laufer, et al., 2011, “The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Public Care Aversion from Bequest Motives”, The Journal of Finance, 66(2): 519-561.
Angerer, X., and P. S. Lam, 2009, “Income Risk and Portfolio Choice: An Empirical Study”, The Journal of Finance, 64(2): 1037-1055.
Barberis, N., 2000,“Investing for the Long Run When Returns are Predictable”, The Journal of Finance, 55(1): 225-264.
Barro, R. J., 1974, “Are Government Bonds Net Wealth?”, Journal of Political Economy, 82(6): 1095-1117.
Bec, F., and C. Gollier, 2009, “Assets Returns Volatility and Investment Horizon: The French Case”, CESifo Working Paper Series No. 2622.
Bernheim, B. D., 1990,How Do the Elderly Form Expectations? An Analysis of Responses to New Information, Chicago: University of Chicago Press.
Bloom, D. E., D. Canning, M. Moore,et al., 2006,“The Effect of Subjective Survival Probabilities on Retirement and Wealth in the United States”, NBER Working Paper No. W12688.
Bovenberg, L., R. Koijen, T. Nijman,et al., 2007, “Saving and Investing Over the Life Cycle and the Role of Collective Pension Funds”,De Economist, 155(4): 347-415.
Campbell, J. Y., and L. M. Viceira, 2002,Strategic Asset Allocation: Portfolio Choice for Long-Term Investors, NY: Oxford University Press.
Cardak, B. A., and R. Wilkins, 2009, “The Determinants of Household Risky Asset Holdings: Australian Evidence On Background Risk and Other Factors”,Journal of Banking & Finance, 33(5): 850-860.
Cocco, J. F., F. J. Gomes, and P. J. Maenhout, 2005, “Consumption and Portfolio Choice Over the Life Cycle”,The Review of Financial Studies, 18(2): 491-533.
Epstein, L. G., and M. Schneider, 2010,“Ambiguity and Asset Markets”,Annual Review of Financial Economics, 2(1): 315-346.
Gan, L., G. Gong, M. Hurd,et al., 2015, “Subjective Mortality Risk and Bequests”,Journal of Econometrics, 188(2): 514-525.
Gomes, F., and A. Michaelides, 2005, “Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence”,The Journal of Finance, 60(2): 869-904.
Guiso, L., M. Haliassos, and T. Jappelli, 2003, “Household Stockholding in Europe: Where Do We Stand and Where Do We Go?”,Economic Policy, 18(36): 123-170.
Guiso, L., and M. Paiella, 2008, “Risk Aversion, Wealth, and Background Risk”,Journal of the European Economic Association, 6(6): 1109-1150.
Guiso, L., and T. Jappelli, 2000, “Household Portfolios in Italy”, CSEF Working Paper No. 43.
Hong, H., J. D. Kubik, and J. C. Stein, 2004, “Social Interaction and Stock-Market Participation”, The Journal of Finance, 59(1): 137-163.
Hurd, M. D., 1989, “Mortality Risk and Bequests”,Econometrica, 57(4): 779-813.
Hurd, M. D., and K. McGarry, 2002, “The Predictive Validity of Subjective Probabilities of Survival”, The Economic Journal, 112(482): 966-985.
Jappelli, T., 1999, “The Age-wealth Profile and the Life-cycle Hypothesis: A Cohort Analysis with a Time Series of Cross-sections of Italian Households”,Review of Income and Wealth, 45(1): 57-75.
Laitner, J., and A. Sonnega, 2010, “Intergenerational Transfers in the Health and Retirement Study Data”, Michigan Retirement Research Center Working Paper No. WP238.
O'Connell, A., 2011, “How Long Do We Expect to Live? A Review of the Evidence”,Journal of Population Ageing, 4(3): 185-201.
Post, T., and K. Hanewald, 2013, “Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior”,Journal of Economic Behavior & Organization, 86: 200-220.
Poterba, J. M., 2001, “Demographic Structure and Asset Returns”,Review of Economics and Statistics, 83(4): 565-584.
Poterba, J. M., and A. A. Samwick, 2003, “Taxation and Household Portfolio Composition: US Evidence From the 1980s and 1990s”,Journal of Public Economics, 87(1): 5-38.
Rosen, H. S., and S. Wu, 2004, “Portfolio Choice and Health Status”,Journal of Financial Economics, 72(3): 457-484.
Spaenjers, C., and S. M. Spira, 2015, “Subjective Life Horizon and Portfolio Choice”, Journal of Economic Behavior & Organization, 116: 94-106.
Thaler, R. H., A. Tversky, D. Kahneman, et al., 1997, “The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test”,The Quarterly Journal of Economics, 112(2):647-661.
Tsai, I., C. C.Chu, and C. Chung, 2000, “Demographic Transition and Household Saving in Taiwan”, Population and Development Review, 26:174-193.
Viceira, L. M., 2001, “Optimal Portfolio Choice for Long-horizon Investors with Nontradable Labor Income”, The Journal of Finance, 56(2): 433-470.
Wooldridge, J. M., 2015,Introductory Econometrics: A Modern Approach, OH: Cengage Learning.
① 根据联合国制定的标准,一个地区65岁及以上的人口占总人口的比例达到7%,即视为进入老龄化社会。人口普查数据显示,截至2000年末,我国65岁及以上的老年人口总数已达8 811万人,约占全国人口总数的7%,根据联合国对老龄化社会的判断标准,我国已于2000年进入老龄化社会。
② 数据来源于国家统计局发布的《中华人民共和国2017年国民经济和社会发展统计公报》。
③ 数据来源于国务院新闻办公室发布的《中国健康事业的发展与人权进步》白皮书。
① CHARLS问卷中用于询问受访者主观寿命预期的问题是:“假定有五个级别,最低一级代表可能性最小,最高一级代表可能性最大,您设想您活到这个年龄的可能性有多大。1.几乎不可能;2.不太可能;3.有可能;4.很可能; 5.简直一定”(编号DA081)。
① 此处使用中国保监会发布的《中国人身保险业经验生命表(2010—2013)》。
(1)在调查问卷中,询问SPS的问题通常是“您设想您活到这个年龄的可能性有多大?”,报告此结果的调查主要有HRS,CHARLS,ELSA等。询问SLS的问题通常是“您设想您能活到多少岁?”, 报告此结果的调查主要有ASOC等。
(2)此处受访者父母年龄的计算方法为:如果父母仍然健在,该年龄为访问年度时受访者父母的年龄;如果父母已经去世,则该年龄为受访者父母的寿命。
何兴强、史卫,2014:《健康风险与城镇居民家庭消费》,《经济研究》第5期。
雷晓燕、周月刚,2010:《中国家庭的资产组合选择:健康状况与风险偏好金融研究》第1期。
李涛,2006:《社会互动与投资选择》,《经济研究》第8期。
李涛、郭杰,2009:《风险态度与股票投资》,《经济研究》第2期。
廖海霞、吴相谨,2016:《预期寿命对中国居民消费率的影响——基于地区差异性的视角区域》,《金融研究》第10期。
刘生龙、胡鞍钢、郎晓娟,2012:《预期寿命与中国家庭储蓄》,《经济研究》第8期。
饶育蕾、朱锐,2014:《认知差异是否影响中老年投资者持有风险资产?》,《管理世界》第11期。
王聪、田存志,2012:《股市参与、参与程度及其影响因素》,《经济研究》第10期。
吴卫星、易尽然、郑建明,2010:《中国居民家庭投资结构:基于生命周期》,《经济研究》第S1期。
尹志超、宋全云、吴雨,2014:《金融知识、投资经验与家庭资产选择》,《经济研究》第4期。
赵向琴,2015:《预期寿命延长、遗赠动机和风险资产配置》,《厦门大学学报(哲学社会科学版)》第4期。
Ameriks, J., A. Caplin, S. Laufer, et al., 2011, “The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Public Care Aversion from Bequest Motives”, The Journal of Finance, 66(2): 519-561.
Angerer, X., and P. S. Lam, 2009, “Income Risk and Portfolio Choice: An Empirical Study”, The Journal of Finance, 64(2): 1037-1055.
Barberis, N., 2000,“Investing for the Long Run When Returns are Predictable”, The Journal of Finance, 55(1): 225-264.
Barro, R. J., 1974, “Are Government Bonds Net Wealth?”, Journal of Political Economy, 82(6): 1095-1117.
Bec, F., and C. Gollier, 2009, “Assets Returns Volatility and Investment Horizon: The French Case”, CESifo Working Paper Series No. 2622.
Bernheim, B. D., 1990,How Do the Elderly Form Expectations? An Analysis of Responses to New Information, Chicago: University of Chicago Press.
Bloom, D. E., D. Canning, M. Moore,et al., 2006,“The Effect of Subjective Survival Probabilities on Retirement and Wealth in the United States”, NBER Working Paper No. W12688.
Bovenberg, L., R. Koijen, T. Nijman,et al., 2007, “Saving and Investing Over the Life Cycle and the Role of Collective Pension Funds”,De Economist, 155(4): 347-415.
Campbell, J. Y., and L. M. Viceira, 2002,Strategic Asset Allocation: Portfolio Choice for Long-Term Investors, NY: Oxford University Press.
Cardak, B. A., and R. Wilkins, 2009, “The Determinants of Household Risky Asset Holdings: Australian Evidence On Background Risk and Other Factors”,Journal of Banking & Finance, 33(5): 850-860.
Cocco, J. F., F. J. Gomes, and P. J. Maenhout, 2005, “Consumption and Portfolio Choice Over the Life Cycle”,The Review of Financial Studies, 18(2): 491-533.
Epstein, L. G., and M. Schneider, 2010,“Ambiguity and Asset Markets”,Annual Review of Financial Economics, 2(1): 315-346.
Gan, L., G. Gong, M. Hurd,et al., 2015, “Subjective Mortality Risk and Bequests”,Journal of Econometrics, 188(2): 514-525.
Gomes, F., and A. Michaelides, 2005, “Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence”,The Journal of Finance, 60(2): 869-904.
Guiso, L., M. Haliassos, and T. Jappelli, 2003, “Household Stockholding in Europe: Where Do We Stand and Where Do We Go?”,Economic Policy, 18(36): 123-170.
Guiso, L., and M. Paiella, 2008, “Risk Aversion, Wealth, and Background Risk”,Journal of the European Economic Association, 6(6): 1109-1150.
Guiso, L., and T. Jappelli, 2000, “Household Portfolios in Italy”, CSEF Working Paper No. 43.
Hong, H., J. D. Kubik, and J. C. Stein, 2004, “Social Interaction and Stock-Market Participation”, The Journal of Finance, 59(1): 137-163.
Hurd, M. D., 1989, “Mortality Risk and Bequests”,Econometrica, 57(4): 779-813.
Hurd, M. D., and K. McGarry, 2002, “The Predictive Validity of Subjective Probabilities of Survival”, The Economic Journal, 112(482): 966-985.
Jappelli, T., 1999, “The Age-wealth Profile and the Life-cycle Hypothesis: A Cohort Analysis with a Time Series of Cross-sections of Italian Households”,Review of Income and Wealth, 45(1): 57-75.
Laitner, J., and A. Sonnega, 2010, “Intergenerational Transfers in the Health and Retirement Study Data”, Michigan Retirement Research Center Working Paper No. WP238.
O'Connell, A., 2011, “How Long Do We Expect to Live? A Review of the Evidence”,Journal of Population Ageing, 4(3): 185-201.
Post, T., and K. Hanewald, 2013, “Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior”,Journal of Economic Behavior & Organization, 86: 200-220.
Poterba, J. M., 2001, “Demographic Structure and Asset Returns”,Review of Economics and Statistics, 83(4): 565-584.
Poterba, J. M., and A. A. Samwick, 2003, “Taxation and Household Portfolio Composition: US Evidence From the 1980s and 1990s”,Journal of Public Economics, 87(1): 5-38.
Rosen, H. S., and S. Wu, 2004, “Portfolio Choice and Health Status”,Journal of Financial Economics, 72(3): 457-484.
Spaenjers, C., and S. M. Spira, 2015, “Subjective Life Horizon and Portfolio Choice”, Journal of Economic Behavior & Organization, 116: 94-106.
Thaler, R. H., A. Tversky, D. Kahneman, et al., 1997, “The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test”,The Quarterly Journal of Economics, 112(2):647-661.
Tsai, I., C. C.Chu, and C. Chung, 2000, “Demographic Transition and Household Saving in Taiwan”, Population and Development Review, 26:174-193.
Viceira, L. M., 2001, “Optimal Portfolio Choice for Long-horizon Investors with Nontradable Labor Income”, The Journal of Finance, 56(2): 433-470.
Wooldridge, J. M., 2015,Introductory Econometrics: A Modern Approach, OH: Cengage Learning.
① 根据联合国制定的标准,一个地区65岁及以上的人口占总人口的比例达到7%,即视为进入老龄化社会。人口普查数据显示,截至2000年末,我国65岁及以上的老年人口总数已达8 811万人,约占全国人口总数的7%,根据联合国对老龄化社会的判断标准,我国已于2000年进入老龄化社会。
② 数据来源于国家统计局发布的《中华人民共和国2017年国民经济和社会发展统计公报》。
③ 数据来源于国务院新闻办公室发布的《中国健康事业的发展与人权进步》白皮书。
① CHARLS问卷中用于询问受访者主观寿命预期的问题是:“假定有五个级别,最低一级代表可能性最小,最高一级代表可能性最大,您设想您活到这个年龄的可能性有多大。1.几乎不可能;2.不太可能;3.有可能;4.很可能; 5.简直一定”(编号DA081)。
① 此处使用中国保监会发布的《中国人身保险业经验生命表(2010—2013)》。
(1)在调查问卷中,询问SPS的问题通常是“您设想您活到这个年龄的可能性有多大?”,报告此结果的调查主要有HRS,CHARLS,ELSA等。询问SLS的问题通常是“您设想您能活到多少岁?”, 报告此结果的调查主要有ASOC等。
(2)此处受访者父母年龄的计算方法为:如果父母仍然健在,该年龄为访问年度时受访者父母的年龄;如果父母已经去世,则该年龄为受访者父母的寿命。