欧债危机下部分欧元区国家估值效应对其国际投资净头寸的影响

发布时间：2018-01-09 18:37

本文关键词：欧债危机下部分欧元区国家估值效应对其国际投资净头寸的影响　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：在全球经济金融日趋一体化的背景下,各国外部失衡的现象也日益突出,国际投资净头寸作为衡量一国对外资产和负债的存量指标,能够较为全面地反映外部失衡的情况,并与国际收支账户形成互补。在影响国际投资净头寸的因素当中,估值效应是指由于汇率变化、对外资产和负债的价格变化等因素所引起的国际投资净头寸存量的变化。正的估值效应有利于改善国际投资净头寸,为国家积累对外财富,而负的估值效应则会造成国内资源的无偿对外转移。2009年底爆发的欧债危机,使得欧元区部分国家的国际投资净头寸出现了明显恶化的情况,而在此期间欧元区有关国家的实际有效汇率差异、对外资产和负债的价格波动也使得估值效应的整体影响变得更加复杂。因此,本文的研究就围绕着估值效应对国际投资净头寸的影响展开。文章首先阐明了研究国际投资净头寸以及估值效应对其影响的宏观背景和在欧债危机这一特殊历史条件下进行研究的必要性。接下来的理论分析中,不仅包含了国际投资净头寸的框架核算,明晰其头寸变化涵盖了贸易渠道和估值效应渠道；也包含对估值效应组成的细分,分别推导了汇率渠道和资产价格渠道对国际投资净头寸的影响。在理论分析的基础上,再结合欧债危机的背景,考察了欧元区内不同国家、不同时间段下估值效应的变化对国际投资净头寸的不同影响,综合得出了以下几个结论：第一,对于债务国来说,欧债危机前后估值效应整体为负但逐渐趋于缓和,而国际投资净头寸出现了明显恶化；第二,对于欧元区其他主要成员国来说,国际投资净头寸表现各不相同但估值效应均没有明显的影响。第三,建立跨期的实证模型,通过约束性协整检验和误差修正模型确定欧债危机中的债务国的估值效应对国际投资净头寸确实有着显著影响,这种影响是由债务国的有效实际汇率贬值和资产价格下跌等因素共同导致的,且估值效应在短期内占主导因素。最后,文章对欧元区有关国家如何改善国际投资净头寸和实现外部再均衡提出了相应的建议方案,也为我国今后如何有效实施汇率改革、外汇储备管理等提供了借鉴和参考。
[Abstract]:Under the background of the integration of global economy and finance, the phenomenon of external imbalance is becoming more and more prominent. The net position of international investment is used as a stock index to measure a country's external assets and liabilities. Can more fully reflect the external imbalances and complement the balance of payments account. Among the factors affecting the net position of international investment, the valuation effect is due to changes in the exchange rate. Changes in the stock of international investment net positions caused by price changes in external assets and liabilities. Positive valuation effects are conducive to improving net international investment positions and accumulating external wealth for countries. The negative valuation effect will result in the non-reimbursable outward transfer of domestic resources. The European debt crisis broke out at the end of 2009, which makes the net international investment position of some countries in the euro area deteriorate significantly. During this period, the real effective exchange rate differences of the countries concerned in the euro zone, and price fluctuations in external assets and liabilities also complicate the overall impact of the valuation effect. This paper focuses on the impact of valuation effect on net position of international investment. Firstly, the paper expounds the macro background of net position of international investment and the influence of valuation effect on net position of international investment and the special history of debt crisis in Europe. In the following theoretical analysis. It includes not only the framework accounting of the net international investment position, but also the trade channel and the valuation effect channel. It also includes the subdivision of valuation effect, and derives the influence of exchange rate channel and asset price channel on net position of international investment respectively. On the basis of theoretical analysis, combined with the background of European debt crisis. This paper examines the different effects of the valuation effect on the net position of international investment in different countries and different time periods in the euro zone, and draws the following conclusions: first, for debtor countries. Before and after the European debt crisis, the valuation effect was negative but gradually moderated, while the net international investment position deteriorated obviously. Second, for the other major members of the euro zone, the performance of the net international investment position is different, but the valuation effect has no obvious impact. Third, establish an intertemporal empirical model. Through binding cointegration test and error correction model to determine that the valuation effect of debtor countries in the European debt crisis does have a significant impact on the net international investment position. This effect is caused by factors such as the depreciation of the effective real exchange rate of debtor countries and the fall of asset prices, and the valuation effect is the dominant factor in the short term. This paper puts forward some suggestions on how to improve the net position of international investment and realize the external rebalancing of the countries concerned in the euro area. It also provides some suggestions on how to carry out the exchange rate reform effectively in the future. The foreign exchange reserve management and so on has provided the reference and the reference.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F815

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