日元避险货币特性研究

发布时间：2018-06-01 08:53

本文选题：日元 + 避险　；参考：《吉林大学》2012年博士论文

【摘要】：避险货币是指在国际资产组合中能够防范世界经济整体系统性风险而持有的主权货币及货币资产，表现为其货币价值不易受到政治、战争等重大事件影响，在面临市场风险时价值相对稳定，能较大限度的规避经济系统性风险和意外事件的影响。避险货币是人们面临经济危机和重大国际事件影响时普遍愿意持有的货币，因此避险货币的价值相比其他货币在危机时普遍较高。传统意义的避险货币包括瑞士法郎和美元，在2007年的次级贷款危机中，日元以外的成为继美元和瑞士法郎之外的第三种世界性的避险货币受到投资者的追捧。通过对日元实际有效汇率与罗素全球指数之间相关性的分析可以证明日元汇率与宏观经济指标存在显著地负相关性，同时对日元实际有效汇率时间序列分析的结果也表明日元汇率的运动存在惯性特征，以上两个方面构成了日元存在避险货币特性的基础前提。一方面，需要检验日元汇率与宏观经济指标间的关系，验证日元汇率的变动是否符合避险货币定义以及一般特征的要求，即日元汇率的变动是否与宏观经济指标呈现负相关的关系。这一原则是判断避险货币特性的重要依据，同时也是避险货币在实际应用过程中发挥其避险功能的基础性条件。另一方面，在证明日元具有避险货币特性的前提下，还需要检验日元汇率的变动是否具有自相关性即惯性特征。如果日元汇率的变动具有惯性的特征，那么对日元避险货币特性的检验就可能存在偏差，需要对检验过程进行调整以提高准确性。形成日元避险货币特性的根本原因是日本经济的特殊性，而日本的通货紧缩状况、“零利率”货币政策和出口主导型贸易结构对日元避险货币特性的形成起到了至关重要的作用。长期的通货紧缩状态与“零利率”的货币政策对日元汇率长生了深远的影响。一方面，日本的通货紧缩状态使日元对其他货币的汇率在购买力平价理论下形成长期的升值预期，投资者持有日元受价格风险的影响较小，这有利于提高日元的升值预期。另一方面，在经济危机时各国中央银行为了提振经济普遍采取降低利率的宽松货币政策，但日本的“零利率”政策使日本银行几乎失去了降低利率的空间，加之通货紧缩的大环境影响，致使日本与其他国家的实际利率差缩小。在通货紧缩与“零利率”政策的共同作用下，在经济危机时期日元的升值预期较繁荣时期明显加强，造就了日元的避险货币特性。除了国内经济环境之外，日本的对外经济关系也决定了日元避险货币特性的形成。日元的汇率与日本的对外经济之间是相互影响的。一方面，汇率对国际收支的影响是显而易见的，如果本币价值相对于外币大幅上升则会造成本国出口商品价格的普遍上涨，同时造成进口商品价格的普遍下降，其结果是净出口的下降和经常账户的缩减。日元的避险货币特征性对经济危机中的日本经济造成很严重的负面影响，作为高度对外依赖的日本经济，日元在经济危机时的大幅升值使日本的国际收支状况在经济危机时加剧恶化。另一方面，日本高度依赖对外经济的状况也会在客观上促进日元避险货币特性的形成。投资组合中的风险对冲策略是避险货币实现其避险功能的主要手段，通过风险对冲策略避险货币与其他资产的风险相互抵消，因此避险货币只有通过投资组合手段才能达到规避系统性风险的目的。日元的避险货币特性也可以被使用在有关日元资产的投资组合之中，当宏观经济受到冲击的时候，日元的汇率上升可以对冲掉投资组合中股票资产价值下降带来的损失。利用各种绩效评估指标对日元的避险货币特性进行评估，可以得出结论日元在经济危机时期具有很好的规避系统性风险的效果。日元的避险货币特性可以被使用在投资组合管理之中，降低收益率在经济危机时期的波动性，已达到规避系统性风险的目的。通过投资组合业绩评估综合指标的衡量，能够较为全面真实的反应日元的避险货币特性在投资组合实际应用管理中发挥的作用。一方面，日元的避险货币特性降低了投资组合在危急时刻的收益率损失；另一方面，日元的避险货币特性也降低了投资组合在整个投资时期的波动性。这两方面因素的共同作用提高了投资组合的绩效水平，使投资组合能够更好的对抗整体市场的系统性风险。日元避险货币特性反映了日元汇率的运动特征，而这种运动特征是通过投资者的投资行为对外部经济环境产生影响的。具体而言投资者的乐观主义心态、过度自信和羊群效应可能会干扰理性判断，，错误的分析市场信息，进而是日元的避险货币特性的应用效果出现不确定性。日元避险货币特性对宏观经济最为直接的影响就是在危机时期形成日元汇率快速升值的价格趋势，而日元的升值对日本的对外贸易、产业结构和货币政策都产生了深远的影响。对日元避险货币特性的考察，在外汇政策与货币政策的独立性、汇率改革与出口行业的关系、汇率改革与产业结构的关系三个方面都对人民币的国际化进程有重要的借鉴意义。
[Abstract]:The hedge currency refers to the sovereign currency and monetary assets held in the international asset portfolio to prevent the overall systemic risk of the world economy. It shows that its monetary value is not easily affected by political, war and other important events. It is relatively stable in the face of market risk and can avoid systemic risks and accidents to a large extent. The hedge currency is generally willing to hold in the face of economic crisis and major international events. Therefore, the value of the hedge currency is generally higher than that of other currencies in the crisis. The traditional hedging currency, including the Swiss franc and the dollar, has become the following in the 2007 sub loan crisis. The third world hedge currencies other than the Swiss franc and the Swiss Franc are sought after by the investors. Through the analysis of the correlation between the actual effective exchange rate of the yen and the Russell global index, we can prove that there is a significant negative correlation between the yen exchange rate and the macroeconomic indicators, and the result of the analysis of the time series of the actual effective exchange rate of the yen is also the result of the analysis. It shows that the movement of the yen exchange rate has the characteristics of inertia. The above two aspects constitute the basic premise of the characteristics of the yen's existence of the hedge currency. On the one hand, it is necessary to test the relationship between the yen exchange rate and the macroeconomic indicators to verify that the change of the yen exchange rate is in accordance with the definition of the hedge currency and the requirements of the general characteristics, that is, the change of the yen exchange rate is There is a negative correlation with macroeconomic indicators. This principle is an important basis for judging the characteristics of the safe haven currency, and it is also the basic condition for the safe haven currency to play its safe function in the actual application process. On the other hand, it is also necessary to test whether the yen's exchange rate is changed before it is proved that the yen has the characteristics of the hedge currency. If the change of the yen exchange rate has the characteristics of inertia, there may be a deviation in the test of the characteristics of the yen's safe haven currency. It is necessary to adjust the test process to improve the accuracy. The fundamental reason for the formation of the yen's hedging currency is the particularity of the Japanese economy and the deflation of Japan. The "zero interest rate" monetary policy and the export dominated trade structure have played a vital role in the formation of the yen's hedging currency characteristics. The long-term deflation and the "zero interest rate" monetary policy have a far-reaching impact on the yen exchange rate. On the one hand, the Japanese deflation state makes the yen exchange rate to other currencies. Under the theory of purchasing power parity, a long-term appreciation expectation is formed, and the influence of the Japanese yen on the price risk is smaller, which is conducive to increasing the appreciation expectation of the yen. On the other hand, in the economic crisis, the central banks in the economic crisis generally take the loose monetary policy to reduce the interest rate in order to boost the economy, but the Japanese "zero interest rate" policy makes the day. The bank almost lost the space to reduce the interest rate and the great environmental impact of deflation, resulting in the reduction of the real interest rate difference between Japan and other countries. Under the joint effect of deflation and "zero interest rate" policy, the appreciation of the yen in the period of the economic crisis was obviously strengthened in the period of prosperity, creating the characteristics of the yen's safe haven currency. In addition to the domestic economic environment, the Japanese foreign economic relations also determine the formation of the yen's safe haven currency. The exchange rate of the yen and the Japanese foreign economy are interrelated. On the one hand, the exchange rate has an obvious effect on the balance of payments. If the value of the local currency increases sharply in foreign currency, it will cause the export of the country. The general rise in commodity prices and the general decline in the price of imported goods resulted in a decline in net exports and a reduction in the current account. The characteristics of the yen's hedging currency have had a serious negative impact on the Japanese economy in the economic crisis. As a highly dependent Japanese economy, the yen has risen sharply during the economic crisis. The value of Japan's international balance of payments worsens in the economic crisis. On the other hand, Japan's high dependence on the foreign economy will also objectively promote the formation of the yen's hedging currency. The risk hedging strategy in the portfolio is the main means for the hedge currency to realize its hedging function and through the risk hedging strategy. The risk of other assets is offset by each other, so a hedge currency can only achieve the purpose of avoiding systemic risk by means of portfolio means. The yen's hedging currency characteristics can also be used in the portfolio of Japanese yen assets. When the macro-economy is affected, the rise of the yen can be used to flush the investment group. We can draw a conclusion that the yen has a good effect on avoiding systemic risk in the period of economic crisis. The characteristics of yen's safe haven currency can be used in portfolio management to reduce the rate of return. The volatility of the economic crisis has reached the goal of avoiding systemic risk. Through the measurement of the comprehensive index of portfolio performance evaluation, it can reflect the role of the yen's hedging currency characteristics in the actual application management of the portfolio. On the one hand, the daily hedge currency characteristics reduce the investment portfolio in danger. On the other hand, the characteristics of the yen's hedging currency also reduce the volatility of the portfolio in the period of the entire investment period. The joint effect of the two factors improves the performance of the portfolio and makes the portfolio better against the systemic risk of the overall market. The characteristics of the yen haven's hedge money reflect the characteristics of the yen. The characteristics of the movement of the yen exchange rate affect the external economic environment of the investor's investment behavior. In particular, the investor's optimism, overconfidence and herd effect may interfere with the rational judgment, the wrong analysis of the market information, and then the application effect of the yen's hedging currency. It is uncertain. The most direct impact of the yen's hedging monetary characteristics on the macro-economy is the rapid appreciation of the yen exchange rate during the crisis period, while the appreciation of the yen has had a far-reaching impact on Japan's foreign trade, industrial structure and monetary policy. The independence of the currency policy, the relationship between the exchange rate reform and the export industry, the relationship between the exchange rate reform and the industrial structure have three important implications for the internationalization of the RMB.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F823.13;F224

【参考文献】