소비자 이질성과 자산가격 모형: 미국 소비자지출 서베이를 이용한 실증분석
The Role of Heterogeneity of Consumers in Asset Pricing Model: An Empirical Investigation Using the Consumer Expenditure Surveys
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초록
일반적으로 C-CAPM으로 불리는 Lucas(1978)의 일반균형이론에 기초한 자산가격 결정에 대한 대표자모형은 주식수익률과 총소비 사이의 일정한 상관관계를 예측한다. 그러나 이러한 예측은 현실 데이터에 의해 지지되지 못하고 있다. 본 논문은 미국 소비자지출 서베이로부터 구축된 시계열 자료를 이용하여, 소비자 이질성의 도입이 현실데이터에 대한 모형의 적합성을 개선시킬 수 있는지를 실증분석 한다. 대표자모형은 소비자 이질성을 반영하도록 수정되었으며, 수정된 C-CAPM에서 pricing kernel은 일인당 소비와 연계된 소비의 한계대체율 뿐 아니라 이질성을 대표하는 소비성장률의 횡분산(cross-sectional variance)에 의존한다. 모형에 대한 GMM 추정은 혼합된 결과를 보인다. 이질성이 도입됨에 따라 상대적 위험회피계수의 추정은 명확하게 개선된 반면, 과도식별제약(overidentifying restriction)에 대한 검정통계량의 개선은 거의 나타나지 않았다. 한편 수정된 pricing kernel을 사용한 Hansen-Jagannathan bound 유형의 분석에서는, 소비자 이질성 도입으로 주식수익률 프리미엄 퍼즐의 상당 부분이 해소되는 것으로 나타났다.
Abstract
Using the time series of the cross-sectional aggregations of consumption expenditures constructed from the Consumer Expenditure Surveys, this paper tests for the hypothesis that the model with heterogeneous consumers can resolve the empirical difficulties encountered by the representative agent model of asset pricing based on Lucas (1978) general equilibrium framework. Pricing kernel in the modified C-CAPM depends not only on intertemporal marginal rate of substitution expressed in per capita consumption but also on the cross-sectional variance of consumption growth of individual consumers. Euler equations are estimated and the results show that the heterogeneous consumer model fares better than the representative agent model in the estimation of preference parameters. On the other hand, little evidence is found for the improvement of overidentifying restrictions. Hansen-Jagannathan type bound is also examined and the result indicates that a large part of equity premium puzzle phenomenon is resolved when the modified pricing kernel is used.
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