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  本文關(guān)鍵詞：歐債危機下部分歐元區(qū)國家估值效應對其國際投資凈頭寸的影響　出處：《復旦大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 歐債危機 估值效應 國際投資凈頭寸

【摘要】：在全球經(jīng)濟金融日趨一體化的背景下,各國外部失衡的現(xiàn)象也日益突出,國際投資凈頭寸作為衡量一國對外資產(chǎn)和負債的存量指標,能夠較為全面地反映外部失衡的情況,并與國際收支賬戶形成互補。在影響國際投資凈頭寸的因素當中,估值效應是指由于匯率變化、對外資產(chǎn)和負債的價格變化等因素所引起的國際投資凈頭寸存量的變化。正的估值效應有利于改善國際投資凈頭寸,為國家積累對外財富,而負的估值效應則會造成國內(nèi)資源的無償對外轉(zhuǎn)移。2009年底爆發(fā)的歐債危機,使得歐元區(qū)部分國家的國際投資凈頭寸出現(xiàn)了明顯惡化的情況,而在此期間歐元區(qū)有關(guān)國家的實際有效匯率差異、對外資產(chǎn)和負債的價格波動也使得估值效應的整體影響變得更加復雜。因此,本文的研究就圍繞著估值效應對國際投資凈頭寸的影響展開。文章首先闡明了研究國際投資凈頭寸以及估值效應對其影響的宏觀背景和在歐債危機這一特殊歷史條件下進行研究的必要性。接下來的理論分析中,不僅包含了國際投資凈頭寸的框架核算,明晰其頭寸變化涵蓋了貿(mào)易渠道和估值效應渠道；也包含對估值效應組成的細分,分別推導了匯率渠道和資產(chǎn)價格渠道對國際投資凈頭寸的影響。在理論分析的基礎(chǔ)上,再結(jié)合歐債危機的背景,考察了歐元區(qū)內(nèi)不同國家、不同時間段下估值效應的變化對國際投資凈頭寸的不同影響,綜合得出了以下幾個結(jié)論：第一,對于債務國來說,歐債危機前后估值效應整體為負但逐漸趨于緩和,而國際投資凈頭寸出現(xiàn)了明顯惡化；第二,對于歐元區(qū)其他主要成員國來說,國際投資凈頭寸表現(xiàn)各不相同但估值效應均沒有明顯的影響。第三,建立跨期的實證模型,通過約束性協(xié)整檢驗和誤差修正模型確定歐債危機中的債務國的估值效應對國際投資凈頭寸確實有著顯著影響,這種影響是由債務國的有效實際匯率貶值和資產(chǎn)價格下跌等因素共同導致的,且估值效應在短期內(nèi)占主導因素。最后,文章對歐元區(qū)有關(guān)國家如何改善國際投資凈頭寸和實現(xiàn)外部再均衡提出了相應的建議方案,也為我國今后如何有效實施匯率改革、外匯儲備管理等提供了借鑒和參考。
[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.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6;F815

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本文編號：1402231