人民币汇率变动对居民资产财富效应影响的实证检验及其政策涵义分析

发布时间：2018-03-10 12:12

本文选题：人民币汇率　切入点：资产价格　出处：《广东商学院》2013年硕士论文　论文类型：学位论文

【摘要】：财富效应是指资产价值变动引起居民消费的变化。当前关于财富效应的研究较多，但是研究汇率变化对财富效应影响的研究较少见。本文以汇率对财富效应的影响作为研究对象，而不是直接研究汇率对资产价格的影响。本文的研究分为两个层面。第一个层面进行汇率影响财富效应的机制分析。汇率对财富效应的影响，主要通过汇率对资产价格或资产价值影响来实现。如汇率变动通过资本流动，预期效应，利率和流量理论等机制影响居民资产财富效应。第二个层面是进行汇率对财富效应影响的实证检验。这实证检验分为两个步骤。首先测度财富效应的水平，然后将汇率和其他变量作为解释变量，将财富效应作为被解释变量，来检验汇率对财富效应的影响。由于财富效应的检验又分为总资产的财富效应和金融资产与不动产的财富效应，所以上述实证检验又分为“总资产的视角”和“资产结构的视角”。本文实证分析发现我国居民资产的财富效应符合经验值，包括总资产、金融资产和房地产资产，房地产的财富效应相对更加显著，结论符合生命周期消费理论。值得注意的是财富效应在1997年亚洲金融危机和2008年次贷金融危机这两个时期表现的比较突出，都显示降低再反弹，这一定程度上说明汇率变动对财富效应的影响作用。接下分析得出我国不同资产财富效应受实际汇率和升值预期影响具差异性，且与理论分析结果不一致。对于总资产，实际有效汇率变动对其财富效应影响是抑制作用且显著的，汇率预期升值率对其财富效应从促进作用到2004年后的抑制作用；对于金融资产，实际有效汇率和汇率预期升值率对其财富效用影响不够显著，整体上都是从促进作用转为抑制作用。对于房地产，实际有效汇率和人民币汇率预期升值率对房地产资产财富效应影响效果显著且是抑制作用的。总体来看，对于我国居民资产，汇率变动主要通过房地产资产渠道来影响财富效应，虽然影响作用为抑制作用。对此，，本文最后根据理论与实证检验得出的结果提出汇率相关政策建议，政策制定者所要关注汇率的是，应该考虑如何使汇率变化更好发挥居民资产的财富效应。
[Abstract]:Wealth effect refers to the change of consumption caused by the change of asset value. However, it is rare to study the effect of exchange rate change on wealth effect. The research of this paper is divided into two levels. The first level is to analyze the mechanism of the effect of exchange rate on wealth, the influence of exchange rate on wealth effect, and the influence of exchange rate on wealth effect. Mainly through the exchange rate influence on asset price or asset value. For example, exchange rate change through capital flow, expected effect, The second level is the empirical test of the effect of exchange rate on wealth effect. This empirical test is divided into two steps. First, the level of wealth effect is measured. The exchange rate and other variables are then used as explanatory variables, and the wealth effect is used as the explained variable. To test the effect of exchange rate on wealth effect. Because the test of wealth effect is divided into the wealth effect of total assets and the wealth effect of financial assets and real estate, Therefore, the above empirical test is divided into the perspective of total assets and the perspective of asset structure. The empirical analysis shows that the wealth effect of Chinese residents' assets is consistent with the empirical value, including total assets, financial assets and real estate assets, and the wealth effect of real estate is more significant. The conclusion is in line with the life-cycle consumption theory. It is worth noting that the wealth effect was prominent in the Asian financial crisis in 1997 and the subprime mortgage financial crisis in 2008. This indicates to some extent the effect of exchange rate change on wealth effect. Then, the analysis shows that the wealth effect of different assets in China is different from the theoretical analysis, and is not consistent with the theoretical analysis, which is influenced by the real exchange rate and appreciation expectation. The effect of the real effective exchange rate on its wealth effect is significant. The expected appreciation rate of exchange rate inhibits the wealth effect from promoting effect to 2004. The real effective exchange rate and the expected appreciation rate of the exchange rate are not significant enough to influence their wealth utility. The real effective exchange rate and the expected appreciation rate of the RMB exchange rate have a significant effect on the wealth effect of real estate assets. Exchange rate changes mainly influence wealth effect through real estate asset channel, although the effect is restraining effect. In the end, according to the results of theoretical and empirical tests, this paper puts forward some policy recommendations on exchange rate. What policymakers need to focus on is how to make changes in exchange rates work better on the wealth effects of household assets.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F124.7;F832.6

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