借貸限制下的消費與預防性儲蓄行為

Precautionary Saving and Consumption with Borrowing Constraints

10.29628/AEP.200603.0001

藍青玉(Ching-Yu Lan)；郭炳伸(Biing-Shen Kuo)

借貸限制 ； 預防性儲蓄 ； 恆常所得假說 ； 消費過度敏感性 ； 高階動差 ； Borrowing constraint ； Precautionary saving ； Permanent income hypothesis ； Excess sensitivity of consumption ； Higher-order moments

經濟論文

34卷1期（2006 / 03 / 01）

1 - 39

繁體中文

二次式效用函數的確定相等(certainty equivalence)特性不具有預防性儲蓄(precautionary saving)之誘因，本文利用Dow and Olson (1991)之模型架構，說明只要借貸限制存在，將使原來不具預防性儲蓄誘因的二次式效用函數之設定，產生預防性儲蓄行為。我們證明該預防性儲蓄行為之理論成因來自於受限於借貸限制之可能，使得二次式效用函數之線性價值函數導函數產生凸性。這使得消費者必須如無借貸限制環境下，面對CRRA等具凸性價值函數導函數之消費者般，因應未來不確定性之高低，調整消費決策。我們也發現在借貸限制下，未來所得分配之預期值、波動性，乃至於偏態等，都將透過預防性儲蓄對消費行為產生不同之影響。這些理論發現，無論解釋消費過度敏感性(excess sensitivity of consumption)、分割樣本(sample splitting)，或引入高階動差，都具有重要實證意涵。

Using the framework of Dow and Olson (1991), we demonstrate that the presence of the borrowing constraints induces a precautionary motive in response to income uncertainties, even when there has been no such motive inherent in consumers' preference. The corresponding marginal value function now displays a convexity which is responsible for the precautionary motive. The analytical framework allows us to be able to characterize saving behaviors that are of precautionary motives, and their responses to changes in various moments of income process. As to empirical implications, our analysis sheds light on the causes of excess sensitivity, the consequences of sample splitting between the rich and the poor, as well as the relevance of the higher-order moments to consumption dynamics, specifically both the skewness and kurtosis.

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