家庭投资组合的短期调整【外文翻译】

家庭投资组合的短期调整【外文翻译】 原文: Short-Run Adjustments in the Family's Investment Portfolio American families have been changing the way they allocate their investment resources. These changes have raised questions concerning the types of investment decisions families make. The objective of this research was to gain a better understanding of the types of investment trade-offs households made between financial, physical, and human capital assets. This was done by estimating a short-run stockadjustment model of family investments using panel data from the early 1970's. From examining the empirical results, it appeared that during this historical period, choices about a husband's human capital investment were generally related to a household's physical and financial asset acquisition. In Contrast, choices regarding the wife's human capital investment appeared not to be related to any of the more traditional household investment options. The implications of this study for increasing understanding of current household investment patterns are discussed in the concluding section of the paper. A Model of Household Stock Adjustment No one to date has explicitly set out to model the relationships between various types of human and nonhuman wealth investments in the household. Virtually all of the investment literature that currently exists can be placed into two, mutually exclusive, categories: those pieces focusing on human capital acquisition and those pieces relating to physical and fmancial capital stock adjustments. Since the early works of Schultz (1962), Becker (1975), and Ben-Porath (1967), many empirical studies of human capital investment have been published, but only a handful have implicitly acknowledged the simultaneity of a family's human capital investment choices (Le,, choices regarding how much to invest in the husband's and wife's market skills). Even fewer have recognized that for each individual in a household, investment can take place in the home as well as in the market. Juster (1985) has been the only one to measure directly the amount of time family members spend investing in nonmarket (i_e., home production oriented) human capital. Juster found that young adults spent more time in im;estment than the old and those who were not employed outside of the home spent more time investing in home production oriented human capital than those who worked in the market. These results are supportive of the basic human capital model (Becker,1975). In addition, Juster discovered that males tended to invest more than females in the work, home, and personal categories, whereas women appeared to spend more time investing in children and social activities (Juster, 1985). This indicates that rates of return for various types of human capital investments may differ by sex. Furthermore, it appears likeiy that the presence of children influences the mother's time investment decisions. Unfortunately, such descriptive information only hints at the relationship between anyparticular time investment and other household investment options. Does a family build up its housing stock in anticipation of a birth (Le., are these complementing investment options)? Do spouses who invest in market skills do so at the expense of having a child (~e., are these competing investment options)? Furthermore, what are the investment timing implications of various stock disequilibriums? In order to address these issues Juster's categories of investment must be expanded to include a family's more traditional investments (~e, investments in financial and physical capital), and this idea of household investment categories must be reformulated in a stock-adjustment fashion. Wachtel (1972) and Motley (1970) were two of the first to detail a stock-adjustment model that allowed for "cross-asset effects" in investment behavior. Wachters work was particularly innovative because he argued that the allocation of income and wealth were made simultaneously and therefore consumption expenditures must also be included in the stock-adjustment model. Results from the related work of others (Bryant, 1986; Dunkelberg & Stafford, 1971; Juster & Wachtel, 1972) confirmed the notion that household investment models should include consumption expenditures as well as all of the investment alternatives over which the family has choice. This means that no~ only should durable goods, financial assets, and consumption expenditures be included in a properly specified model, but so should the human capital investments that have been historically omitted. A description of such an expanded model is formally begun at the level of the household's desired (or equilibrium) capital demand equations which are posited to be a function of (a) the various market rates of return for each type of capital, and (b) permanent income. Unfortunately, in the disaggregate model that is estimated here, it is impossible to calculate the rate of return for each of the stocks in a particular household's portfolio. Following Bryant (1986), this problem can be circumvented by assuming that once a series of demographic characteristics that may alter a household's returns are controlled for, rates of return do not vary. 1 It is hypothesized that permanent income affects a household's investment choices through life cycle considerations. In a life cycle framework, planned consumption and, therefore, planned saving (i.e., investment) is hypothesized to be a function of the family's permanent income because of the household's lifetime budget constraint (Bryant, 1986). Planned investment is made on a basis of permanent, rather than current, income because current income has a random, transitory component that a family cannot anticipate and, therefore, does not incorporate in its decision-making process. The desired demand equations can be written as: (1) xP~t = xPkit (Dit, YPit) where: XPkit = the desired (or planned) long-run stock of item k by family i in year t. Dit = the vector of demographic characteristics for household i at time t, and Yeit = permanent household income for household i. Unfortunately, the measure of a households long-run holdings of any stock XP~t, cannot by observed at a point in time. This is because a households current capital stock will in all likelihood deviate from its desired stock at any point due to adjustment lags. Adjustment lags are simply inherent in the nature of capital goods acquisition. They occur because of the costs associated with changing capital stocks. These nonlinear costs may stem from two sources: (a) those monetary costs of adjustment that increase with the magnitude of the disequilibrium, and (b) the money and time costs to the household of gathering relevant information about the market. The latter may be especially expensive when the market is not well-defined as is the case with many types of human capital In a stock-adjustment model, households are seen as being in a continuous process of moving toward their desired stock holdings, which in turn continuously change as rates of return and permanent income fluctuate. In the world of discrete time that is modeled here, only adjustments within a dictated time frame can be observed. Thus, an examination of the adjustment process reduces to estimating the observed change in a stock between two periods as a function of transitory income (ytjt) and the magnitude of the households stock disequilibriums that existed in the initial period. Given that it is not possible to observe the household's desired holdings of any stock at a point in time, estimation can be done only after substituting the determinants of the desired stocks [equation [1] ] directly into the stock adjustment equation. This leads to the estimation of a reduced form model. In this context, the adjustment system has the following general mathematical form: (2) (Xkit - Xkit-1) = ~xkxk [ X Pk it (nit, YPit) - Xkit-1 ] + j~k ~/xkxj[XPjit (nit, YPit) where all of the variables continue to be defined as they were previously. A complete stock-adjustment system includes as many equations as there are stocks in the portfolio (i.e., k = 1, . . . . K, including k = j). Tailoring the Model to the Data Several criteria were used to identify the data set that would best test the stock-adjustment model. First, the data set had to have longitudinal information on household behavior. Estimation of a stockadjustment model requires data from the same households for at least two points in time. Thus, cross-sectional surveys that contain excellent data on households' financial assets (e.g., the 1983 Survey of Consumer Finances) could not be used in the empirical work done here. Second, the data set needed to have information on household holdings of physical, financial and human capital at several points in time. Four national panels have regularly collected information on human capital holdings; the National Longitudinal Surveys (NLS), the Longitudinal Retirement History Survey (LRHS), the Surveys of Income and Program Participation (SIPP), and the Panel Study of Income Dynamics (PSID). Both the NLS and the LRHS imposed age restrictions on their respondents that would have severely limited the generalizability of this study's findings. SIPP does not have any age restrictions, but the total duration of each SIPP panel is only two and a half years--a period that is much too short to observe the kinds of stock-adjustment processes tested in this study. Furthermore, neither the NLS, the LRHS, nor SIPP collected detailed information on households' financial or physical assets. Only the early interviewing years of the PSID had information on households' physical, financial, and human capital holdings. (After 1972, questions on the households' stocks of automobiles and basic consumption expenditures were dropped from the PSID interview instrument.) Furthermore, when weighted, the PSID sample is representative of the general United States population. Thus, despite their age, the data from the PSID were used in the analyses that follow because they were the only data that could be used to accurately test the stock-adjustment model proposed in the previous section. Because the focus of this research is on the stock-adjustment relationships of two-adult families, only those PSID households in which the respondent was married and the spouse was present, were selected for analysis. Furthermore, all households in which one or more of the spouses was self-employed or was receiving employment-conditioned transfer payments were excluded from the sample to avoid simultaneity issues (e.g., households receiving employment conditioned transfer payments may have made joint decisions about human investment and participation in the transfer program). The empirical work focused on the period between 1969 and 1972 because the questions asked of panel respondents in those years allowed for the estimation of the most exhaustive portfolio. The findings of this research suggest that a household's investment decisions regarding a particular asset are frequently influenced by the household's current holdings of other types of assets. In particular, this study provides substantial evidence that the more traditional investment options--housing, automobiles, and financial assets--all compete with one another for a households limited investment dollars. This implies that empirical work that focuses on the demand for one of these three assets in isolation may suffer from serious omitted variables biases. The findings of this research must be tempered by recognition of the historical nature of the data. It would be interesting to estimate the model with more recent data (when and if such data become available), to make comparisons across time. The early 1970's was a time of transition for most American households. Fertility rates were falling and female labor force participation rates were rising. Nevertheless, many marriedcouple households may have still believed that investment in the wife's market skills was more risky (and thus less attractive from an economic perspective) than other more traditional forms of capital investment (~e., housing, financial assets, and the husband's market sldlls). Today, the majority of married women work outside the home and while their relative earnings (compared to married men) have not changed very much since the early 1970's, attitudes regarding the importance of women's market earnings are changing and their commitment to market work remains quite high (Kahn, 1981; Moen & Smith, 1986). This high level of work commitment on the part of married women may eventually lead to a shift in married-couples' perceptions of what portfolio components directly compete as family investment options. If this is true, then it is likely that estimates of the stock-adjustment model based on more recent data would show the wife's human capital to be a more integral part of the famfi~fs investment portfolio. In sum, the results presented here have provided several useful insights about the investment decisions households make. In particular, therewas strong evidence presented regarding the interrelationship of household decisions across investment categories. The analysis showed that family's choices regarding investments in housing, automobiles, financial assets, and the husband's human capital were all interrelated. This suggests, for example, that for researchers to understand why some families invest in housing while others do not, it is important for them to look beyond traditional explanations such as mortgage interest rates and household income. They must also examine the effect of the household's complete portfolio "balance sheet" on a family's decision regarding housing choice. Only then will researchers be able to accurately understand family investment choices at both the micro level of the household and at the macro level of the larger economy. Source: Cathleen D. Zick1988.“Short-Run Adjustments in the Family's Investment Portfolio ” . Family and Economic Issues, Vol. 9(3). August.pp.180-201. 译文: 家庭投资组合的短期调整 美国家庭已改变了他们的投资分配资源。这些变化提出的问题涉及家庭投资方式。本研究的目的是了解各类投资权衡家庭财力，物力，人力资本和资产类型。这是通过估计从70年代初一个家庭使用面板数据投资短期模式。从研究的实证结果，看来，在这个历史时期，选择丈夫的人力资本投资一般与一个家庭的物质和金融资产的收购有关。相反，选择对于妻子的人力资本投资似乎相关的是更为传统的家庭投资选择。本研究的意义在于，增加了目前的家庭增加投资规律的认识。 家庭存量调整模式 迄今并无一明确列出来在家庭之间的人类和非人类财富的各类投资的关系。实际上，投资目前存在的所有文献，可放置一分为二，相互排斥的，类别:这些作品注重人力资本的收购和涉及到物理和资本存量的调整。 舒尔茨(1962年)，贝克尔(1975)和波拉斯(1967)，人力资本投资的许多实证研究的早期作品已经发，但只有少数有含蓄地承认了一个家庭的人力资本投资选择的同时性(苹果，关于选择投资多少在丈夫和妻子的市场技巧)。至少已经认识到，一个家庭中的每个个人，投资可以在家里以及在市场占有一席之地。 加斯特(1985)是唯一一个直接测量时间花在家庭成员非市场投资(国内生产导向型)人力资本金额。加斯特发现，年轻人花费更多的时间在聊天室，不在家以外的就业花费更多的时间在家庭生产为基础的人力资本投资。这些结果是支持基本的人力资本模型(贝克尔，1975)。此外，加斯特发现，男性倾向于投资于工作，家庭比女性多，而女人似乎花更多的时间在儿童和(加斯特，1985年)社会活动的投资。这表明，各类性别的人力资本投资的回报率可能不同。此外，看起来，儿童的存在影响了母亲的时间投资决定。 不幸的是，这样的描述性信息只暗示了投资时间和其他投资选择家庭关系。家庭是否有建立自己预期的房屋存量,(Le.，这些补充的投资选择)在市场技能投资的代价是有小孩子(这些竞争的投资选项),此外，什么是各种库存投资 时机的影响,为了解决这些问题做出的投资必须扩大到包括一个家庭的传统投资问题(金融和有形资本投资)，而这家庭投资类别观念必须重新拟定库存调整的方式。 描述扩展模型介绍正式开始在家庭层面的预期(或平衡状态)的资本需求，这是假定是一个各资本类型返回不同的市场利率函数方程，和(b)永久收入。不幸的是，分解模型，据估计，在这里，不可能计算每个返回的股票在某一家庭的组合率。继科比(1986年)，这个问题是可以绕过假设，可能改变一个家庭控制的退货，回报率不随控制。 假设永久性收入影响生命周期考虑，通过一个家庭的投资选择。在生命周期的框架，计划消费，因此，计划储蓄(即投资)是假设是一个家庭的，因为家庭的一生预算约束(科比，1986)的永久收入的函数。计划投资作出一个永久性的基础上，而不是现有收入，因为现有的收入有一个随机的，短暂的组成部分，一个家庭无法预料，因此，不纳入其决策过程。期望的需求方程可以写成: () XP?t= xPkit(Dit，YPit) 1 其中: () XPkit=预期的(或计划)的长期股票t年 2 Dit=向量家庭人口统计的特点 Yeit=永久居民收入 不幸的是，衡量一个家庭长期持有的股票，不能通过t~xp观察每一个时间点。这是因为家庭目前的资本存量将在所有可能偏离其所需的股票在任何时候，由于调整滞后。调整滞后只是资本货物收购性质所固有的。因为与他们发生变化的资本股的相关费用。这些非线性成本可能来源于两个方面:(一)调整的货币成本，随着规模的不平衡，以及(b)金钱和时间成本，在收集有关市场的相关信息家庭的增加。后者可能是特别昂贵的，当市场没有很好地定义为是与人力资本的许多类型的情况下。 在股票调整模式中，家庭被看作是一个根据自己的期望持有的股票，从而不断变化随着长期收入的回报率持续波动的过程。在离散时间模型世界，在这里，一个支配的时间框架内唯一的调整可以观察到。因此，一个调整适应过程减少到估计在两个时期观察股市变化作为一种过渡性收入的家庭规模，在初期存在的功能。 由于这是不可能观察在这个时间点家庭的期望任何持有的股票，估算后，才可以做出所期望的股票[方程[1]]进入股市的调整方程式直接的决定因素。这导致了一个简化形式模型的估计。在这种情况下，调整系统具有以下一般数学形式: (Xkit - Xkit-1) = ~xkxk [ X Pk it (nit, YPit) - Xkit-1 ] + j~k ~/xkxj[XPjit (nit, YPit) 其中所有的变量被定义为过去式。一个完整的库存调整系统包含多达方程因为有在投资组合中股票(即K = 1时。。。。K，包括K= j)。 剪裁模型与数据 几个标准被用来确定数据集，最能考验股票调整模型。首先，数据集必须是家庭行为的纵向信息。一个模型估计需要来自同一家庭的数据，至少有两个时间点。因此，横断面调查，其中包含对家庭金融资产优秀的数据(例如，1983年的消费者财务调查)不能用在这里完成工作的经验。 第二，数据集信息需要家庭持有的物力、资金和人力资本在不同的时间点。四个国家小组已定期收集关于人力资本控股的信息;国家纵向调查(免入息审查)，纵向退休历史调查(LRHS)，收入和参与计划(SIPP的)的调查，和收入动态追踪研究(PSID) 。无论是NLS和LRHS强加给他们的，将严重地限制了这项研究的受访者的年龄限制。 SIPP的没有年龄限制，但每个SIPP的面板总期限只有两年半的时间里- 一个时期过于短暂，在这项研究中观察测试股票调整进程的种类。此外，不仅 NLS，LRHS，还有SIPP的收集居民金融或实物资产的详细信息。 由于本研究着重于两成人的家庭，只有那些PSID家庭中其中被申请人已婚，配偶出席进行。此外，所有的家庭在其中一个或更多的配偶是自雇人士或正在接受就业条件转移支付被排除在样本，以避免同时性问题(例如，家庭领取就业条件的转移支付可能已经对人力投资的联合决定和参与转让)。实证工作集中在1969年和1972之间的时期，因为受访者在最详尽的投资估算允许这些年的期限。 本研究结果显示，一个家庭的投资决策对于一个特定的资产往往通过对其他类型的家庭资产目前持有的影响。特别是，这项研究提供了大量的证据表明，更传统的投资选择- 房屋，汽车和金融资产- 所有竞争，一个用于家庭投资资金又 是有限的。这意味着，实证研究这三个资产之一的需求可能遭受严重的遗漏变量偏差。 这项研究的结果必须受到该数据的历史性质的再认识。这将是有趣的模型估计更多的最新数据(这些数据时，如果可用)，做了跨越时间的比较。 70年代初是一个对大多数美国家庭的过渡时间。生育率下降，女性劳动人口参与率上升。然而，许多家庭可能仍然认为，在妻子的市场技能方面的投资更危险(并从经济角度从而减少吸引力)，比其他更传统形式的资本投资(住房，金融资产)。今天，多数已婚妇女去家庭外面去工作，虽然他们的相对收入的工作(相对于已婚男子)多数并没有太大的改变，但是有关妇女的交易收入的重要性的态度正在发生变化，他们致力于市场的工作仍然相当高(卡恩，1981;摩恩和史密斯，1986)。已婚妇女高水平的工作责任心可能最终会导致对直接竞争家庭的投资选择看法上有所改变。如果这是真的，那么很可能在更近的数据为基础的库存调整模型估计会表现出妻子的人力资本是该投资组合更加不可或缺的一部分。 总之，这里的结果提供了有关家庭的投资决策做出几个有用的见解。特别是，有力的证据提交关于在投资类别家庭决策的相互关系。分析表明，家庭的选择就在住房，汽车，金融资产投资，以及丈夫的人力资本都是相互关联的。这意味着，例如，为研究人员理解为什么一些家庭的住房投资，而其他人不这样做，重要的是让他们超越了传统的解释，如抵押贷款利率和家庭收入。他们还必须研究有关家庭的完整组合“资产负债表”对一个家庭的有关住房的选择决定的影响。只有这样，研究人员能够准确地了解在家庭微观层面，并在经济宏观层次进行家庭投资选择。 出处: 凯瑟琳，《家庭投资组合的短期调整》, 家庭及经济问题，第九卷(3)，1988(8): 180-201.