發(fā)布時間：2018-06-01 08:53

  本文選題：日元 + 避險�。� 參考：《吉林大學(xué)》2012年博士論文

【摘要】：避險貨幣是指在國際資產(chǎn)組合中能夠防范世界經(jīng)濟(jì)整體系統(tǒng)性風(fēng)險而持有的主權(quán)貨幣及貨幣資產(chǎn)，表現(xiàn)為其貨幣價值不易受到政治、戰(zhàn)爭等重大事件影響，在面臨市場風(fēng)險時價值相對穩(wěn)定，能較大限度的規(guī)避經(jīng)濟(jì)系統(tǒng)性風(fēng)險和意外事件的影響。避險貨幣是人們面臨經(jīng)濟(jì)危機(jī)和重大國際事件影響時普遍愿意持有的貨幣，因此避險貨幣的價值相比其他貨幣在危機(jī)時普遍較高。傳統(tǒng)意義的避險貨幣包括瑞士法郎和美元，在2007年的次級貸款危機(jī)中，日元以外的成為繼美元和瑞士法郎之外的第三種世界性的避險貨幣受到投資者的追捧。通過對日元實際有效匯率與羅素全球指數(shù)之間相關(guān)性的分析可以證明日元匯率與宏觀經(jīng)濟(jì)指標(biāo)存在顯著地負(fù)相關(guān)性，同時對日元實際有效匯率時間序列分析的結(jié)果也表明日元匯率的運動存在慣性特征，以上兩個方面構(gòu)成了日元存在避險貨幣特性的基礎(chǔ)前提。一方面，需要檢驗日元匯率與宏觀經(jīng)濟(jì)指標(biāo)間的關(guān)系，驗證日元匯率的變動是否符合避險貨幣定義以及一般特征的要求，即日元匯率的變動是否與宏觀經(jīng)濟(jì)指標(biāo)呈現(xiàn)負(fù)相關(guān)的關(guān)系。這一原則是判斷避險貨幣特性的重要依據(jù)，同時也是避險貨幣在實際應(yīng)用過程中發(fā)揮其避險功能的基礎(chǔ)性條件。另一方面，在證明日元具有避險貨幣特性的前提下，還需要檢驗日元匯率的變動是否具有自相關(guān)性即慣性特征。如果日元匯率的變動具有慣性的特征，那么對日元避險貨幣特性的檢驗就可能存在偏差，需要對檢驗過程進(jìn)行調(diào)整以提高準(zhǔn)確性。形成日元避險貨幣特性的根本原因是日本經(jīng)濟(jì)的特殊性，而日本的通貨緊縮狀況、“零利率”貨幣政策和出口主導(dǎo)型貿(mào)易結(jié)構(gòu)對日元避險貨幣特性的形成起到了至關(guān)重要的作用。長期的通貨緊縮狀態(tài)與“零利率”的貨幣政策對日元匯率長生了深遠(yuǎn)的影響。一方面，日本的通貨緊縮狀態(tài)使日元對其他貨幣的匯率在購買力平價理論下形成長期的升值預(yù)期，投資者持有日元受價格風(fēng)險的影響較小，這有利于提高日元的升值預(yù)期。另一方面，在經(jīng)濟(jì)危機(jī)時各國中央銀行為了提振經(jīng)濟(jì)普遍采取降低利率的寬松貨幣政策，但日本的“零利率”政策使日本銀行幾乎失去了降低利率的空間，加之通貨緊縮的大環(huán)境影響，致使日本與其他國家的實際利率差縮小。在通貨緊縮與“零利率”政策的共同作用下，在經(jīng)濟(jì)危機(jī)時期日元的升值預(yù)期較繁榮時期明顯加強(qiáng)，造就了日元的避險貨幣特性。除了國內(nèi)經(jīng)濟(jì)環(huán)境之外，日本的對外經(jīng)濟(jì)關(guān)系也決定了日元避險貨幣特性的形成。日元的匯率與日本的對外經(jīng)濟(jì)之間是相互影響的。一方面，匯率對國際收支的影響是顯而易見的，如果本幣價值相對于外幣大幅上升則會造成本國出口商品價格的普遍上漲，同時造成進(jìn)口商品價格的普遍下降，其結(jié)果是凈出口的下降和經(jīng)常賬戶的縮減。日元的避險貨幣特征性對經(jīng)濟(jì)危機(jī)中的日本經(jīng)濟(jì)造成很嚴(yán)重的負(fù)面影響，作為高度對外依賴的日本經(jīng)濟(jì)，日元在經(jīng)濟(jì)危機(jī)時的大幅升值使日本的國際收支狀況在經(jīng)濟(jì)危機(jī)時加劇惡化。另一方面，日本高度依賴對外經(jīng)濟(jì)的狀況也會在客觀上促進(jìn)日元避險貨幣特性的形成。投資組合中的風(fēng)險對沖策略是避險貨幣實現(xiàn)其避險功能的主要手段，通過風(fēng)險對沖策略避險貨幣與其他資產(chǎn)的風(fēng)險相互抵消，因此避險貨幣只有通過投資組合手段才能達(dá)到規(guī)避系統(tǒng)性風(fēng)險的目的。日元的避險貨幣特性也可以被使用在有關(guān)日元資產(chǎn)的投資組合之中，當(dāng)宏觀經(jīng)濟(jì)受到?jīng)_擊的時候，日元的匯率上升可以對沖掉投資組合中股票資產(chǎn)價值下降帶來的損失。利用各種績效評估指標(biāo)對日元的避險貨幣特性進(jìn)行評估，可以得出結(jié)論日元在經(jīng)濟(jì)危機(jī)時期具有很好的規(guī)避系統(tǒng)性風(fēng)險的效果。日元的避險貨幣特性可以被使用在投資組合管理之中，降低收益率在經(jīng)濟(jì)危機(jī)時期的波動性，已達(dá)到規(guī)避系統(tǒng)性風(fēng)險的目的。通過投資組合業(yè)績評估綜合指標(biāo)的衡量，能夠較為全面真實的反應(yīng)日元的避險貨幣特性在投資組合實際應(yīng)用管理中發(fā)揮的作用。一方面，日元的避險貨幣特性降低了投資組合在危急時刻的收益率損失；另一方面，日元的避險貨幣特性也降低了投資組合在整個投資時期的波動性。這兩方面因素的共同作用提高了投資組合的績效水平，使投資組合能夠更好的對抗整體市場的系統(tǒng)性風(fēng)險。日元避險貨幣特性反映了日元匯率的運動特征，而這種運動特征是通過投資者的投資行為對外部經(jīng)濟(jì)環(huán)境產(chǎn)生影響的。具體而言投資者的樂觀主義心態(tài)、過度自信和羊群效應(yīng)可能會干擾理性判斷，，錯誤的分析市場信息，進(jìn)而是日元的避險貨幣特性的應(yīng)用效果出現(xiàn)不確定性。日元避險貨幣特性對宏觀經(jīng)濟(jì)最為直接的影響就是在危機(jī)時期形成日元匯率快速升值的價格趨勢，而日元的升值對日本的對外貿(mào)易、產(chǎn)業(yè)結(jié)構(gòu)和貨幣政策都產(chǎn)生了深遠(yuǎn)的影響。對日元避險貨幣特性的考察，在外匯政策與貨幣政策的獨立性、匯率改革與出口行業(yè)的關(guān)系、匯率改革與產(chǎn)業(yè)結(jié)構(gòu)的關(guān)系三個方面都對人民幣的國際化進(jìn)程有重要的借鑒意義。
[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.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F823.13;F224

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