淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-2406201215314800
中文論文名稱 財富效果與家庭儲蓄的非線性關係–PSID 1984-1994的實證研究
英文論文名稱 Nonlinearity in the impact of housing and financial wealth effects on household saving: evidence from Panel Study of Income Dynamics 1984-1994
校院名稱 淡江大學
系所名稱(中) 經濟學系碩士班
系所名稱(英) Department of Economics
學年度 100
學期 2
出版年 101
研究生中文姓名 林玉婕
研究生英文姓名 Yu-Chieh Lin
學號 699570171
學位類別 碩士
語文別 中文
口試日期 2012-06-15
論文頁數 60頁
口試委員 指導教授-林亦珍
委員-黃台心
委員-李鈞元
中文關鍵字 主動儲蓄  資本利得  平滑係數部分線性模型 
英文關鍵字 Active saving  capital gain  smooth coefficient partially linear model 
學科別分類 學科別社會科學經濟學
中文摘要 本文使用PSID在1984年到1994年之間的調查資料,探討在人生週期的各個年齡,來自自住房屋的資本利得對於主動儲蓄的影響為何。本文與既有文獻不同,使用的是平滑係數部分線性模型。實證結果發現,房屋資本利得對主動儲蓄的影響確實在生命週期各階段有不同,可以看出房屋資本利得與主動儲蓄有非線性關係。
英文摘要 This paper uses semiparametric smooth coefficient partially linear model to examine whether and how the relationship between housing capital gain and active saving varies with the age of household head. Based on household data from PSID covering the period 1984-1988, we find that the association between housing capital gain and active saving is highly nonlinear and differs significantly across age.
論文目次 第一章 緒論 1
第二章 文獻回顧 4
第三章 研究方法與實證模型 8
3. 1 研究方法 8
3. 1. 1 平滑係數部分線性模型 8
3. 1. 2 虛擬最小平方法估計 10
3. 1. 3 參數部分的推論 12
3. 2 實證模型 13
3. 2. 1線性迴歸模型 13
3. 2. 2 平滑係數部分線性模型 13
第四章 變數定義與資料來源 15
4. 1 變數定義說明 15
4. 1. 1財富的組成 15
4. 1. 2 主動儲蓄 15
4. 1. 3 資本利得 16
4. 1. 4 其他變數部份 16
4. 2 資料來源及使用數據敘述統計量 19
4. 2. 1 資料來源 19
4. 2. 2 1984-1988年敘述統計量 19
4. 2. 3 1989-1994年敘述統計量 20
4. 2. 4 1984-1988年與1989-1994年敘述統計量比較 22
4. 2. 5 1984-1994年敘述統計量 22
第五章 實證結果 24
5. 1 線性迴歸模型實證結果 24
5. 1. 1 1984-1988年線性迴歸模型實證結果 24
5. 1. 2 1989-1994年線性迴歸模型實證結果 26
5. 1. 3 1984-1988年與1989-1994年線性迴歸模型實證結果比較 28
5. 1. 4 1984-1994年線性迴歸模型實證結果 32
5. 2平滑係數部分線性模型實證結果 34
5. 2. 1 1984-1988年平滑係數部分線性模型實證結果 34
5. 2. 2 1984-1988年SCPL與線性迴歸模型估計結果的比較 43
5. 2. 3 1989-1994年SCPL實證結果 45
5. 2. 4 1989-1994年平滑係數部分線性模型與線性迴歸模型估計結果比較 53
5. 2. 5 1984-1988年與1989-1994年平滑係數部分線性模型實證結果比較 55
第六章 結論 57
文獻 58
表目錄
頁次
表1- 1: 1984-1994 年美國家庭儲蓄率 ........................................................................ 2
表4- 1: 變數定義列表 ................................................................................................ 17
表4- 1: 變數定義列表(續) ......................................................................................... 18
表4- 2: 1984-1988 年敘述統計量 .............................................................................. 20
表4- 3: 1989-1994 年敘述統計量 .............................................................................. 21
表4- 4: 1984-1994 年敘述統計量 .............................................................................. 23
表5- 1: 1984-1988 年線性迴歸模型實證結果 .......................................................... 25
表5- 2: 1989-1994 年線性迴歸模型實證結果 .......................................................... 27
表5- 3: 1984-1994 年線性迴歸模型實證結果 .......................................................... 33
表5- 4: 1984-1988 年SCPL 固定係數估計值 ........................................................... 34
圖目錄
頁次
圖1- 1: 1984-1994 年美國家庭儲蓄率 ........................................................................ 2
圖5- 1: 1984-1988 年截距項與年齡的關係 .............................................................. 35
圖5- 2: 1984-1988 年家庭人數平均值對主動儲蓄的影響 ...................................... 36
圖5- 3: 1984-1988 年家庭平均所得對主動儲蓄的影響 .......................................... 37
圖5- 4: 1984-1988 年來自自住房屋的資本利得對主動儲蓄的影響 ...................... 38
圖5- 5: 1984-1988 年來自股票的資本利得對主動儲蓄的影響 .............................. 39
圖5- 6: 1984-1988 年來自非自住房屋的資本利得對主動儲蓄的影響 .................. 40
圖5- 7: 1984-1988 年來自企業與農場的資本利得對主動儲蓄的影響 .................. 41
圖5- 8: 1989-1994 年截距項與年齡的關係 .............................................................. 46
圖5- 9: 1989-1994 年家庭人數平均值對主動儲蓄的影響 ...................................... 47
圖5-10:1989-1994 年家庭平均所得對主動儲蓄的影響 .......................................... 48
圖5-11:1989-1994 年來自自住房屋的資本利得對主動儲蓄的影響 ...................... 49
圖5-12:1989-1994 年來自股票的資本利得對主動儲蓄的影響 .............................. 50
圖5-13:1989-1994 年來自非自住房屋的資本利得對主動儲蓄的影響 .................. 51
圖5-14:1989-1994 年來自企業與農場的資本利得對主動儲蓄的影響 .................. 52
參考文獻 Aron, J., Muellbauer, J., Murphy, A., (2006). Housing wealth and UK consumption.Economic Outlook 30 (4), 11–20.
Aron, J., Duca, J., Muellbauer, J., Murata, K., Murphy, A., (2010). CEPR Discussion Paper No. 7876.
Attanasio, Orazio, Blow, Laura, Hamilton, Robert, and Leicester, Andrew (2008)“Consumption, house prices and expectations”, Bank of England Working Paper No.271, forthcoming, Economica.
Browning, M., Gortz, M., and Leth-Petersen, S. (2008), “House Prices and Consumption: A Micro Study,” unpublished manuscript, Nuffield College, Oxford University
Bostic, Raphael, Stuart Gabriel, and Gary Painter (2005) “Housing Wealth, Financial Wealth and Consumption: New Evidence from Micro Data,”, Lusk Center for Real Estate, Working Paper, December.
Buiter, W. H. (2010): “Housing Wealth Isn’t Wealth,” Economics: The Open-Access, OpenAssessment E-Journal, 4.
Campbell, John, Y. and Cocco, Joao (2007) “How do house prices affect consumption? Evidence from micro data”, Journal of Monetary Economic 54 (April), 591-621
Carroll, R.J., Fan, J., Gijbels, I, and Wand, M.P. (1997) Generalized partially linear single-index models. J. Amer. Satist. Assoc., 92, 477–489.
Cooper, D. (2009), “Impending U.S. Spending Bust? The Role of Housing Wealth as Borrowing Collateral”, Public Policy Discussion Papers, No. 09-9, Federal Reserve Bank of Boston, November.
Disney, Richard, Andrew Henley, and David Jevons (2010): “House Price Shocks, NegativeEquity and Household Consumption in the UK in the 1990s,” Mimeo, University of Nottingham.
Duca, J., Muellbauer, J. and A. Murphy (2010): Housing Markets and the Financial Crisis of 2007-2009: Lessons for the Future," Journal of Financial Stability 6, pp. 203-217
Duca, J.V., Johnson, K.B., Muellbauer, J., (2009a). Time Series Estimates of U.S. Mortgage Constraints and Regional Home Supply. Mimeo, Oxford University.
Duca, J.V., Muellbauer, J., Murphy, A., (2009b). The Financial Crisis and Consumption.
Mimeo, Oxford University.
Dynan, Karen E., Skinner, Jonathan, and Zeldes, Stephen P. (2004): “Do the Rich Save More?,” Journal of Political Economy, 112(2), 397-444.
Engelhardt, Gary V. (1996), “House prices and home owner saving behaviour”, Regional Science and Urban Economics, 26: 313-336
Fan, J. and Gijbels, I. (1996) Local Polynomial Modelling and Its Applications. London: Chapman & Hall.
Fan, J. and Huang, L. (2001) Goodness-of-fit test for parametric regression models. J. Amer. Statist.Assoc., 96, 640–652.
Fan, J. and Huang, T. (2005). Profile likelihood inferences on semiparametric varying-coefficient partially linear models. Bernoulli 11 1031–1057..
Green, P.J. and Silverman, B.W. (1994) Nonparametric Regression and Generalized Linear Models: A Roughness Penalty Approach. London: Chapman & Hall.
Hastie, T.J. and Tibshirani, R. (1990) Generalized Additive Models. London: Chapman & Hall.
Hoynes, H. and D. McFadden, 1994, The impact on demographics on housing and non-housing wealth in the United States, NBER Working Paper 4666, March.
Juster, F. Thomas, Lupson, Joseph, Smith, James, P. and Stafford, Frank (2006), “The Decline in Household Saving and the Wealth Effect”, The Review of Economics and Statistics 87 (4): 20-27.
Miles, David (1992), “Housing markets, consumption and financial liberalization in the major economies,” European Economic Review, 36, 1093-1136.
Muellbauer, John, 2007, “Housing, Credit, and Consumer Expenditure,” Proceedings, Federal Reserve Bank of Kansas City
Muellbauer, J and R Lattimore, (1995), “The Consumption Function: A Theoretical and Empirical Overview”, in Handbook of Applied Econometrics, (ed) M H Pesaran and M Wickens, Blackwells.
Muellbauer, J., Murphy, A., 1989. Why has personal saving collapsed? Credit Suisse First Boston Research Report, July, 26–77.
Muellbauer, J., Murphy, A. 1990, Is the UK balance of payments sustainable? Economic Policy 11, 347-95.
Severini, T.A. and Wong, W.H. (1992) Generalized profile likelihood and conditional parametric models. Ann. Statist., 20, 1768–1802.
Skinner, Jonathan (1996) “Is housing wealth a sideshow?” 241-268 in Wise, David
(ed)Advances in the Economics of Aging, Chicago: Chicago University Press, for National Bureau of Economic Research: Chicago.
Speckman, P. (1988) Kernel smoothing in partial linear models. J. Roy. Statist. Soc. B, 50, 413–436.Wand, M.P. and Jones, M.C. (1995) Kernel Smoothing. London: Chapman & Hall.
Wand, M.P. and Jones, M.C. (1995) Kernel Smoothing. London: Chapman & Hall.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2012-06-28公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-06-28起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信