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本文通过对Campbell和Mankiw模型的扩展,结合1982—2000年间中国宏观经济有关数据,采用工具变量法对转轨时期城镇居民的消费行为进行了详尽的实证分析。首先证明城镇居民的当前消费对当前收入具有显著的过度敏感性,从而拒绝了生命周期/持久收入假说目前在我国城镇居民中的适用性。并且进一步发现:在综合引进流动性约束、不确定性和实际利率等变量后,敏感性系数进一步增大;不确定性和流动性约束对消费增长率存在显著的负效应;实际利率也具有显著的正效应。最后,依据费雪方程将实际利率的作用进行分解,证实税后名义利率对消费不存在显著影响,实际利率的显著正效应主要源自预期通胀/通缩对消费的显著负效应而并非消费者追求跨期效用最大化的结果。因此,城镇居民在收入增长率减缓,并面临较强的不确定性和流动性约束的条件下,必然会减少当前消费,增加储蓄,从而导致了目前消费疲软和总需求不足的状况。
Based on the expansion of Campbell and Mankiw models and the data of Chinese macroeconomics from 1982 to 2000, the paper makes a detailed empirical analysis of the urban residents’ consumption behavior during the transition period by using the tool-variable method. First of all, it is proved that the current consumption of urban residents is significantly over-sensitive to the current income, thus rejecting the applicability of the life-cycle / persistent income hypothesis in urban residents in our country. Furthermore, it is further found that the sensitivity coefficient further increases after the comprehensive introduction of variables such as liquidity constraints, uncertainties and real interest rates. Uncertainty and liquidity constraints have a significant negative effect on the growth rate of consumption. The real interest rate is also significant Positive effect. Finally, the effect of real interest rate is decomposed according to Fisher’s equation, and it is confirmed that the nominal interest rate after tax has no significant effect on consumption. The significant positive effect of real interest rate mainly results from the significant negative effect of expected inflation / deflation on consumption rather than the pursuit of consumers The result of intertemporal utility maximization. Therefore, urban residents will inevitably reduce their current consumption and increase their savings under the conditions of slowing income growth and facing strong uncertainties and liquidity constraints, resulting in the current sluggish consumption and insufficient aggregate demand.