股票財富在不同時期對台灣消費行為的影響：多變量馬可夫結構轉換模型的應用

WEALTH EFFECTS ON CONSUMPTION IN TAIWAN: AN APPLICATION OF THE MULTIVARIATE MARKOV REGIME SWITCHING MODEL

根據消費者跨期效用極大化的緩衝存量理論（the buffer stock theory），財富的增加有降低預防性儲蓄動機的作用，因而得以減緩消費成長率對所得成長率之過度敏感的反應。由於台灣過去曾不只一度經歷股票市及房產價值的飆漲，本文的目的即是在使用台灣的總體資料，檢驗股票財富與消費之間是否存在這種現象。本文的實證模型是一個根據消費Euler方程式的三變量二狀態之結構轉換模型，允許實質非耐久財消費成長率、實質所得成長率、與實質股票市值成長率受到相同隨機狀態變數的影響，以內生決定結構及其轉換時點。根據實證結果我們可認定出二狀態：一個是三變量均快速成長的狀態，時間約在1973年的第3、4季，1978年的第3季，1987年的第2季到1990年的第1季、以及1991年的第2、3季，另一個則是持續時間較長的低成長狀態。本文的主要發現是，台灣總體消費之所以對所得過度敏感，正如緩衝存量理論所述，乃是一個肇因於預防性儲蓄動機的現象。當以股票市值為代表的財富在高成長狀態下急遽增長時，消費者的預防性儲蓄動機會減弱，過度敏感的現象便不復存在。

“The buffer stock theory” derived from the intertemporal utility maximization predicts that an increase in wealth will dampen the motive for precautionary savings and therefore reduce consumption’s over-sensitivity with respect to income changes. Since over the last forty years Taiwan has more than once experienced sharp rises in the values of the stock market and real estate, the goal of this paper is to examine whether the prediction of the buffer stock theory holds in Taiwan. The empirical model we propose is a trivariate twostate Markov regime-switching model originating from the Euler equation for consumption growth. The three macro variables we consider are the real non-durable goods consumption growth, the real GDP growth, and the real growth in the stock market’s total value. It is assumed that these three variables are subject to the same Markov regime-switching variable in determining their two states. Our empirical results using Taiwan’s quarterly data suggest a high growth state and a low growth one: the former includes 1973Q3, 1973Q4, 1978Q3, 1987Q2–1990Q1, 1991Q2, and 1991Q3. The main finding of this paper is as follows: It is indeed the precautionary savings motive that causes the aggregate consumption in Taiwan to be overly sensitive to income changes, just as the buffer stock theory has predicted. When wealth in Taiwan, symbolized by the values of stock market, increased substantially under the high growth state, consumers’ precautionary savings motive weakened and the over-sensitivity phenomenon to a large extent disappeared.