亚洲国家估值效应波动分析

发布时间：2018-02-09 08:00

本文关键词： 估值效应波动汇率波动资产收益率亚洲国家面板VAR分析　出处：《国际贸易问题》2016年06期 　论文类型：期刊论文

【摘要】：本文构建了汇率波动、资产收益率影响估值效应的理论模型,表明汇率波动、资产收益率对估值效应存在跨期的动态影响,并对亚洲13个主要国家2006-2013年相关变量采用面板VAR分析。结果表明:估值效应波动主要是由对外净资产自身的投资组合和币种配置决定的,占76.25%,且见效快;资产收益率对估值效应的作用大于汇率波动,但见效慢,两者各占20.17%、3.57%。从管理估值效应波动、减少亚洲国家财富外流的角度来看,存量估值的管理应是重中之重;同时,从现实来看,运用汇率政策来管理估值效应波动难度较大。建议亚洲国家考虑将存量估值与资产收益率结合起来管理估值效应波动。
[Abstract]:In this paper, a theoretical model of exchange rate fluctuation and asset return influence on valuation effect is constructed, which shows that exchange rate fluctuation and asset return have intertemporal dynamic influence on valuation effect. The results show that the volatility of valuation effect is mainly determined by the investment portfolio and currency allocation of net external assets, accounting for 76.25%, and the effect is fast. Asset returns play a greater role in valuation effects than in exchange rate fluctuations, but are slow, accounting for 20.17 and 3.57 respectively. From the point of view of managing volatility of valuation effects and reducing the outflow of wealth from Asian countries, the management of stock valuations should be the top priority; at the same time, In reality, it is more difficult to manage the volatility of valuation effects by using exchange rate policy. It is suggested that Asian countries consider combining stock valuations with asset yields to manage volatility of valuation effects.
【作者单位】：对外经济贸易大学金融学院;
【分类号】：F831.6

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