估值效应与外部失衡研究
发布时间：2019-06-02 13:49
【摘要】：随着20世纪90年代不断深入的金融一体化以来,国与国之间资金的流动不仅仅是由于相互贸易的需要,还出现了以持有金融资产来分散风险和增加收益为目的的国际资本流动。美国累积了巨额的经常项目赤字,人们非常担心美国经济会因此出现衰退,但其经济却运行良好,与之相对的新兴市场国家通过经常项目盈余积累了大量财富,经济却表现平平。这一与传统理论预测相悖的现象,使得人们开始关注通过估值效应渠道从新兴市场国家转移到美国的财富,这些财富缓解了美国巨额经常项目赤字可能带来的危机。这一现象,给传统的仅仅将经常账户作为衡量一国净外币资产累积的流量思考方式带来了新的挑战。人们发现,一国净外币资产的累积不仅仅来自于经常账户,还来自于估值效应,即由于汇率和资产价格所引起的一国净外币资产价值变动部分。至此,研究估值效应成为全面理解一国外部失衡的重要部分。 同时,对于我国来说,目前正在尝试的上海自贸区中金融方面的改革非常引人注目,涉及金融的改革措施主要包括：利率市场化、汇率自由汇兑、金融业对外开放、金融产品创新等。上海自贸区这些新的尝试,释放出了我国金融改革的信号,其必将成为我国放松资本管制和人民币自由可兑换的初步尝试。这些尝试如果成功的化,在未来,我国的净外币资产变化将会越来越大的受到估值效应变化的影响,其他国家的宏观经济政策或是是经济冲击会通过估值效应渠道传导,那么,采取措施来保证估值效应的平滑对稳定实体经济都具有重要的意义。 基于此时代背景,考虑到估值效应的波动会对一国的实体经济造成冲击,管理其波动风险具有重要意义,本文拟填补现有研究的空白,关注估值效应波动问题。本文首先从估值效应波动的视角出发,研究估值效应波动受到汇率和相对股票收益率的影响,比较其在新兴市场国家和发达市场国家波动的不同特点；接着具体研究新兴市场国家之一的泰国和发达市场国家之一的英国,它们各自的估值效应在单变量时间序列分析上的特点,并进一步讨论产生这些差异的原因。 本文的研究中,从研究角度上,第三章是从新兴市场国家和发达市场国家整体角度的比较分析,第四章和第五章是第三章更进一步具体的分析其中具体的单个国家,体现了从整体到部分的角度变换；从研究内容上,第三章的结论强调了净外币资产自身的结构对解释估值效应波动的重要性；第四章对具体国家估值效应的单变量分析发现了差异,探讨了可能的原因,第五章则具体到单个国家,将净外币资产自身结构中的单独组成部分对估值效应波动的解释力进一步分解,并就第四章中提出的可能的原因进行了回答。 本文最主要的研究结论有如下几点： 第一,新兴市场国家和发达市场国家对估值效应波动的管理都应该更多的关注其自身的净外币资产结构的配置问题,通过汇率和提高相对股票收益率的方法管理估值效应波动在发达市场国家比在新兴市场国家更加有效。 第二,无论是在新兴市场国家还是发达市场国家,给估值效应一个标准差的正汇率冲击(美元升值、本币贬值),估值效应都会减少；但新兴市场国家的估值效应的减少有反向冲销的过程,而发达市场国家的估值效应减少没有这一现象。这一现象符合Tille(2003)及后来很多学者指出的美元特有的在世界货币体系中标价货币的性质。 第三,无论是在新兴市场国家还是发达市场国家,给予估值效应一个标准差的正相对股票收益率的冲击,都会使得估值效应暂时性的上升。这为通过提高相对股票收益率管理估值效应提供了指导,说明提高相对股票收益率对估值效应的影响为正。 第四,无论是汇率,还是相对股票收益率的冲击,对估值效应的影响都只是短期的,说明估值效应的变动在长期来说还是受到实体经济渠道的影响,对其的调整最终还是要回到实体经济中来。 本文的主要研究结论对我国管理估值效应波动风险的政策启示如下： 第一,目前,我国还属于新兴市场国家中的一员,在管理估值效应波动的时候,更多的还是应该关注我国自身的外部资产配置和对外部负债方面对其他国家持有我国金融产品的类别进行管理,而不应该将太多的关注点放在汇率和提高相对股票收益率方面。 第二,我国目前属于新兴市场国家中的一员,对估值效应平稳的管理应该采取渐进的人民币汇率政策,要在通过人民币汇率政策促进的出口之间找到一个平衡点,因为人民币汇率的变动会通过估值效应和经常项目两个渠道综合影响净外币资产最终在一年内的价值变化。 第三,建设好健全的股票市场可以在一定程度上为管理估值效应的平稳提供正向的影响。结合现在我国目前股票市场中出现的庄家炒作等现象,管理估值效应的平稳也成为我国加快建立健全多层次的资本市场,更好的为实体经济服务的重要理由之一。 第四,对于我国来说,意味着估值效应作为反映实体经济中经济往来活动价值的计量,用来自改变汇率和相对股票收益率等货币的途径去寻求其价值的增加,只能在短期有暂时的效果,在长期来说都是没有效果的,长期的增长只能来自于实体经济中的实际增长。
[Abstract]:Since the deepening of the financial integration in the 1990s, the flow of funds between countries is not only due to the need of mutual trade, but also the international capital flows with the purpose of holding financial assets for the purpose of dispersing risks and increasing the income. The United States has accumulated a huge current account deficit, and people are worried that the U.S. economy will have a recession, but its economy is well-run and the relative emerging market countries have accumulated a wealth of wealth through the current surplus, while the economy is flat. This phenomenon, which is contrary to traditional theoretical projections, has allowed people to focus on the transfer of wealth from emerging-market countries to the United States through the valuation-effect channel, which has helped to alleviate the crisis that the United States's huge current-account deficit could have. This phenomenon, which has given the traditional account as a measure of the accumulation of net foreign currency assets, has brought new challenges. It has been found that the accumulation of net foreign currency assets is not only from the regular account but also from the valuation effect, that is, the net foreign currency asset value changes due to the exchange rate and the asset price. So far, the study of the valuation effect has become an important part of a comprehensive understanding of the imbalance of the foreign ministry. At the same time, for our country, the reform of the financial aspect of the Shanghai self-trade area, which is currently being tried, is very attractive. The reform measures related to finance mainly include interest rate marketization, exchange rate free exchange, financial industry opening to the outside world, and financial product innovation. At the same time, these new attempts in the Shanghai Free Trade Zone have released the signal of our financial reform, and it will be the primary taste of China's relaxation of capital control and the free convertibility of the RMB Try. If the attempt is successful, in the future, our net foreign currency asset changes will be more and more affected by the change of the valuation effect, the macroeconomic policy of other countries, or the economic impact will be conducted through the valuation effect channel, Do we take measures to ensure that the smoothing of the valuation effect is of great interest to the stable entity economy Based on this background, it is of great significance to take into account the impact of the fluctuation of the valuation effect on the real economy of a country, and to manage the risk of its fluctuation. This paper is to fill the gap of the existing research and pay close attention to the valuation effect wave. In this paper, the influence of the fluctuation of the valuation effect on the exchange rate and the relative stock yield is studied from the perspective of the fluctuation of the valuation effect, and the fluctuation of the market in the emerging market and the developed market is compared. In particular, in the UK, one of the countries in the emerging market and one of the developed market countries, their respective valuation effects are characteristic of the single-variable time series analysis, and these differences are further discussed In this paper, from the angle of research, the third chapter is the comparative analysis of the overall angle of the countries of the emerging market and the developed market, the fourth and the fifth chapter are the third and more concrete analysis of the individual countries, which embody the whole-to-part From the content of the study, the conclusion of the third chapter emphasizes the importance of the structure of the net foreign currency asset itself to the explanation of the fluctuation of the valuation effect; the fourth chapter finds the difference to the single-variable analysis of the specific national valuation effect, and discusses the possible reasons, and the fifth chapter is specific In a single country, a separate component of the net foreign currency asset's own structure is further broken down on the interpretation of the fluctuation of the valuation effect, and the possible causes proposed in chapter IV That's the answer. The main study of this article The conclusion is as follows: First, the countries of the emerging market and the developed market countries should pay more attention to their own net foreign currency in the management of the fluctuation of the valuation effect The problem of the disposition of the asset structure, through the exchange rate and the method of increasing the relative stock yield, the fluctuation of the valuation effect in the developed market country is higher than in the new market Hing market countries are more effective. Second, whether in the emerging market countries or in the developed market countries, the positive exchange rate impact of a standard deviation of the valuation effect (the appreciation of the dollar, the depreciation of the local currency) and the valuation effect will be reduced; but the valuation effect of the emerging market countries The process of reverse-reversal is reduced, while the countries in the developed market are estimated to The reduction of the value effect does not have this phenomenon. The phenomenon is in line with Tille (2003) and the United States dollar-specific in the world, pointed out by many scholars. The nature of the price currency in the currency system. Third, both in the emerging market and in the developed market, the impact of a standard deviation of the valuation effect on the rate of return of the stock, both This results in a temporary rise in the valuation effect. This provides guidance on improving the valuation effect of the relative stock rate of return, illustrating the improvement of the relative stock The effect of the rate of return on the valuation effect is positive. The fourth, whether the exchange rate or the impact of the relative stock rate of return, has a short-term effect on the impact of the valuation effect. The main research conclusions of this paper are to our country. The policy of managing the fluctuation risk of the valuation effect is as follows: first, at present, our country also belongs to the emerging market As a member of the state, in the case of the fluctuation of the management valuation effect, more or more attention should be paid to the external asset allocation of our country and the management of the category of the financial products held by other countries in respect of external liabilities, and should not be too much The focus is on the exchange rate and the improvement of the relative stock rate of return. Second, China is currently a member of the emerging market countries, and the smooth management of the valuation effect should take a gradual exchange rate policy, which should be adopted An equilibrium point is found between the exports of the RMB exchange rate policy, as the change in the RMB exchange rate will be through the valuation effect and the two channels of the regular project The Dow has a comprehensive impact on the value of net foreign currency assets in the last year. Third, a sound stock market can To some extent, it can provide a positive effect to the stability of the management valuation effect. In combination with the phenomenon of the market-and-dealer's speculation in the present stock market in our country, the smooth and steady management of the valuation effect has also become our country to speed up and improve the multi-level Fourth, for our country, it means that the valuation effect is used as a measure to reflect the value of the economic activity in the real economy, and it is used from goods such as changing the exchange rate and the relative stock yield. The way to coin is to seek the increase in its value, and can only have a temporary effect in the short term, and for a long time it is not
【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F224;F831;F832
本文编号：2491145
[Abstract]:Since the deepening of the financial integration in the 1990s, the flow of funds between countries is not only due to the need of mutual trade, but also the international capital flows with the purpose of holding financial assets for the purpose of dispersing risks and increasing the income. The United States has accumulated a huge current account deficit, and people are worried that the U.S. economy will have a recession, but its economy is well-run and the relative emerging market countries have accumulated a wealth of wealth through the current surplus, while the economy is flat. This phenomenon, which is contrary to traditional theoretical projections, has allowed people to focus on the transfer of wealth from emerging-market countries to the United States through the valuation-effect channel, which has helped to alleviate the crisis that the United States's huge current-account deficit could have. This phenomenon, which has given the traditional account as a measure of the accumulation of net foreign currency assets, has brought new challenges. It has been found that the accumulation of net foreign currency assets is not only from the regular account but also from the valuation effect, that is, the net foreign currency asset value changes due to the exchange rate and the asset price. So far, the study of the valuation effect has become an important part of a comprehensive understanding of the imbalance of the foreign ministry. At the same time, for our country, the reform of the financial aspect of the Shanghai self-trade area, which is currently being tried, is very attractive. The reform measures related to finance mainly include interest rate marketization, exchange rate free exchange, financial industry opening to the outside world, and financial product innovation. At the same time, these new attempts in the Shanghai Free Trade Zone have released the signal of our financial reform, and it will be the primary taste of China's relaxation of capital control and the free convertibility of the RMB Try. If the attempt is successful, in the future, our net foreign currency asset changes will be more and more affected by the change of the valuation effect, the macroeconomic policy of other countries, or the economic impact will be conducted through the valuation effect channel, Do we take measures to ensure that the smoothing of the valuation effect is of great interest to the stable entity economy Based on this background, it is of great significance to take into account the impact of the fluctuation of the valuation effect on the real economy of a country, and to manage the risk of its fluctuation. This paper is to fill the gap of the existing research and pay close attention to the valuation effect wave. In this paper, the influence of the fluctuation of the valuation effect on the exchange rate and the relative stock yield is studied from the perspective of the fluctuation of the valuation effect, and the fluctuation of the market in the emerging market and the developed market is compared. In particular, in the UK, one of the countries in the emerging market and one of the developed market countries, their respective valuation effects are characteristic of the single-variable time series analysis, and these differences are further discussed In this paper, from the angle of research, the third chapter is the comparative analysis of the overall angle of the countries of the emerging market and the developed market, the fourth and the fifth chapter are the third and more concrete analysis of the individual countries, which embody the whole-to-part From the content of the study, the conclusion of the third chapter emphasizes the importance of the structure of the net foreign currency asset itself to the explanation of the fluctuation of the valuation effect; the fourth chapter finds the difference to the single-variable analysis of the specific national valuation effect, and discusses the possible reasons, and the fifth chapter is specific In a single country, a separate component of the net foreign currency asset's own structure is further broken down on the interpretation of the fluctuation of the valuation effect, and the possible causes proposed in chapter IV That's the answer. The main study of this article The conclusion is as follows: First, the countries of the emerging market and the developed market countries should pay more attention to their own net foreign currency in the management of the fluctuation of the valuation effect The problem of the disposition of the asset structure, through the exchange rate and the method of increasing the relative stock yield, the fluctuation of the valuation effect in the developed market country is higher than in the new market Hing market countries are more effective. Second, whether in the emerging market countries or in the developed market countries, the positive exchange rate impact of a standard deviation of the valuation effect (the appreciation of the dollar, the depreciation of the local currency) and the valuation effect will be reduced; but the valuation effect of the emerging market countries The process of reverse-reversal is reduced, while the countries in the developed market are estimated to The reduction of the value effect does not have this phenomenon. The phenomenon is in line with Tille (2003) and the United States dollar-specific in the world, pointed out by many scholars. The nature of the price currency in the currency system. Third, both in the emerging market and in the developed market, the impact of a standard deviation of the valuation effect on the rate of return of the stock, both This results in a temporary rise in the valuation effect. This provides guidance on improving the valuation effect of the relative stock rate of return, illustrating the improvement of the relative stock The effect of the rate of return on the valuation effect is positive. The fourth, whether the exchange rate or the impact of the relative stock rate of return, has a short-term effect on the impact of the valuation effect. The main research conclusions of this paper are to our country. The policy of managing the fluctuation risk of the valuation effect is as follows: first, at present, our country also belongs to the emerging market As a member of the state, in the case of the fluctuation of the management valuation effect, more or more attention should be paid to the external asset allocation of our country and the management of the category of the financial products held by other countries in respect of external liabilities, and should not be too much The focus is on the exchange rate and the improvement of the relative stock rate of return. Second, China is currently a member of the emerging market countries, and the smooth management of the valuation effect should take a gradual exchange rate policy, which should be adopted An equilibrium point is found between the exports of the RMB exchange rate policy, as the change in the RMB exchange rate will be through the valuation effect and the two channels of the regular project The Dow has a comprehensive impact on the value of net foreign currency assets in the last year. Third, a sound stock market can To some extent, it can provide a positive effect to the stability of the management valuation effect. In combination with the phenomenon of the market-and-dealer's speculation in the present stock market in our country, the smooth and steady management of the valuation effect has also become our country to speed up and improve the multi-level Fourth, for our country, it means that the valuation effect is used as a measure to reflect the value of the economic activity in the real economy, and it is used from goods such as changing the exchange rate and the relative stock yield. The way to coin is to seek the increase in its value, and can only have a temporary effect in the short term, and for a long time it is not
【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F224;F831;F832
【参考文献】
相关期刊论文 前10条
1 廖泽芳;詹新宇;;不成熟债权国、估值效应与中国的财富流失风险[J];当代经济科学;2012年01期
2 宋效军;陈德兵;任若恩;;我国外部均衡调节中的估值效应分析[J];国际金融研究;2006年03期
3 卢锋;Naoyuki Yoshino;Erik Nielsen;Wolfgang Munchau;张文才;;中国的双顺差、日本经验及失衡调整[J];国际经济评论;2006年05期
4 刘华;卢孔标;;我国国际收支失衡的贸易根源及其对策[J];广西金融研究;2006年09期
5 戴金平;靳晓婷;冯蕾;;跨国公司主导的职能型国际分工格局对美国国际收支的影响[J];世界经济研究;2008年11期
6 牛薇薇;李林杰;;人民币国际化:中国规避负估值效应的路径选择[J];金融教学与研究;2012年01期
7 贺力平;林娟;;论外汇投资中的估值效应及其经济影响[J];金融评论;2011年06期
8 张纯威;;美元本位、估值效应与季风型货币危机[J];金融研究;2007年03期
9 祝丹涛;;金融体系效率的国别差异和全球经济失衡[J];金融研究;2008年08期
10 廖泽芳;雷达;;全球经济失衡的利益考察——基于估值的视角[J];世界经济研究;2012年09期
相关博士学位论文 前1条
1 刘晓鑫;基于金融视角的中美经济关系问题研究[D];吉林大学;2010年
，本文编号：2491145
本文链接：https://www.wllwen.com/jingjilunwen/guojijinrong/2491145.html
