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利用1978~2005年的相关数据,以我国城镇居民和农村居民为分析对象,采用利率的条件方差来度量利率的不确定性,使用GARCH-M模型分别刻画我国城市金融市场和农村金融市场的利率风险,并进一步研究了利率风险对我国城镇居民和农村居民消费的影响。实证结果表明,利率风险对我国城镇居民的人均消费具有抑制作用,而对农村居民的人均消费具有滞后的促进作用;在负利率和零利率的年份中,城镇居民和农村居民的人均消费均对利率风险过于敏感,但实际消费并不完全与之相吻合。因此,实施稳健的货币政策,规避利率风险,对拉动消费、促进经济增长具有积极的作用。
Using the data from 1978 to 2005, taking the urban residents and rural residents of our country as the analysis object, we use the conditional variance of the interest rate to measure the uncertainty of the interest rate and use the GARCH-M model to describe the interest rates of the urban financial market and the rural financial market respectively Risk and further study the impact of interest rate risk on the consumption of urban residents and rural residents in our country. The empirical results show that the interest rate risk has an inhibitory effect on the per capita consumption of urban residents in our country and lags behind the per capita consumption of rural residents. In the years of negative interest rates and zero interest rates, the per capita consumption of urban residents and rural residents has a positive effect on the interest rate Risk is too sensitive, but actual consumption does not exactly match. Therefore, the implementation of a prudent monetary policy and the avoidance of interest rate risks have a positive effect on stimulating consumption and promoting economic growth.