【摘要】：隨著20世紀90年代不斷深入的金融一體化以來,國與國之間資金的流動不僅僅是由于相互貿(mào)易的需要,還出現(xiàn)了以持有金融資產(chǎn)來分散風(fēng)險和增加收益為目的的國際資本流動。美國累積了巨額的經(jīng)常項目赤字,人們非常擔(dān)心美國經(jīng)濟會因此出現(xiàn)衰退,但其經(jīng)濟卻運行良好,與之相對的新興市場國家通過經(jīng)常項目盈余積累了大量財富,經(jīng)濟卻表現(xiàn)平平。這一與傳統(tǒng)理論預(yù)測相悖的現(xiàn)象,使得人們開始關(guān)注通過估值效應(yīng)渠道從新興市場國家轉(zhuǎn)移到美國的財富,這些財富緩解了美國巨額經(jīng)常項目赤字可能帶來的危機。這一現(xiàn)象,給傳統(tǒng)的僅僅將經(jīng)常賬戶作為衡量一國凈外幣資產(chǎn)累積的流量思考方式帶來了新的挑戰(zhàn)。人們發(fā)現(xiàn),一國凈外幣資產(chǎn)的累積不僅僅來自于經(jīng)常賬戶,還來自于估值效應(yīng),即由于匯率和資產(chǎn)價格所引起的一國凈外幣資產(chǎn)價值變動部分。至此,研究估值效應(yīng)成為全面理解一國外部失衡的重要部分。 同時,對于我國來說,目前正在嘗試的上海自貿(mào)區(qū)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：利率市場化、匯率自由匯兌、金融業(yè)對外開放、金融產(chǎn)品創(chuàng)新等。上海自貿(mào)區(qū)這些新的嘗試,釋放出了我國金融改革的信號,其必將成為我國放松資本管制和人民幣自由可兌換的初步嘗試。這些嘗試如果成功的化,在未來,我國的凈外幣資產(chǎn)變化將會越來越大的受到估值效應(yīng)變化的影響,其他國家的宏觀經(jīng)濟政策或是是經(jīng)濟沖擊會通過估值效應(yīng)渠道傳導(dǎo),那么,采取措施來保證估值效應(yīng)的平滑對穩(wěn)定實體經(jīng)濟都具有重要的意義。 基于此時代背景,考慮到估值效應(yīng)的波動會對一國的實體經(jīng)濟造成沖擊,管理其波動風(fēng)險具有重要意義,本文擬填補現(xiàn)有研究的空白,關(guān)注估值效應(yīng)波動問題。本文首先從估值效應(yīng)波動的視角出發(fā),研究估值效應(yīng)波動受到匯率和相對股票收益率的影響,比較其在新興市場國家和發(fā)達市場國家波動的不同特點；接著具體研究新興市場國家之一的泰國和發(fā)達市場國家之一的英國,它們各自的估值效應(yīng)在單變量時間序列分析上的特點,并進一步討論產(chǎn)生這些差異的原因。 本文的研究中,從研究角度上,第三章是從新興市場國家和發(fā)達市場國家整體角度的比較分析,第四章和第五章是第三章更進一步具體的分析其中具體的單個國家,體現(xiàn)了從整體到部分的角度變換；從研究內(nèi)容上,第三章的結(jié)論強調(diào)了凈外幣資產(chǎn)自身的結(jié)構(gòu)對解釋估值效應(yīng)波動的重要性；第四章對具體國家估值效應(yīng)的單變量分析發(fā)現(xiàn)了差異,探討了可能的原因,第五章則具體到單個國家,將凈外幣資產(chǎn)自身結(jié)構(gòu)中的單獨組成部分對估值效應(yīng)波動的解釋力進一步分解,并就第四章中提出的可能的原因進行了回答。 本文最主要的研究結(jié)論有如下幾點： 第一,新興市場國家和發(fā)達市場國家對估值效應(yīng)波動的管理都應(yīng)該更多的關(guān)注其自身的凈外幣資產(chǎn)結(jié)構(gòu)的配置問題,通過匯率和提高相對股票收益率的方法管理估值效應(yīng)波動在發(fā)達市場國家比在新興市場國家更加有效。 第二,無論是在新興市場國家還是發(fā)達市場國家,給估值效應(yīng)一個標(biāo)準(zhǔn)差的正匯率沖擊(美元升值、本幣貶值),估值效應(yīng)都會減少；但新興市場國家的估值效應(yīng)的減少有反向沖銷的過程,而發(fā)達市場國家的估值效應(yīng)減少沒有這一現(xiàn)象。這一現(xiàn)象符合Tille(2003)及后來很多學(xué)者指出的美元特有的在世界貨幣體系中標(biāo)價貨幣的性質(zhì)。 第三,無論是在新興市場國家還是發(fā)達市場國家,給予估值效應(yīng)一個標(biāo)準(zhǔn)差的正相對股票收益率的沖擊,都會使得估值效應(yīng)暫時性的上升。這為通過提高相對股票收益率管理估值效應(yīng)提供了指導(dǎo),說明提高相對股票收益率對估值效應(yīng)的影響為正。 第四,無論是匯率,還是相對股票收益率的沖擊,對估值效應(yīng)的影響都只是短期的,說明估值效應(yīng)的變動在長期來說還是受到實體經(jīng)濟渠道的影響,對其的調(diào)整最終還是要回到實體經(jīng)濟中來。 本文的主要研究結(jié)論對我國管理估值效應(yīng)波動風(fēng)險的政策啟示如下： 第一,目前,我國還屬于新興市場國家中的一員,在管理估值效應(yīng)波動的時候,更多的還是應(yīng)該關(guān)注我國自身的外部資產(chǎn)配置和對外部負債方面對其他國家持有我國金融產(chǎn)品的類別進行管理,而不應(yīng)該將太多的關(guān)注點放在匯率和提高相對股票收益率方面。 第二,我國目前屬于新興市場國家中的一員,對估值效應(yīng)平穩(wěn)的管理應(yīng)該采取漸進的人民幣匯率政策,要在通過人民幣匯率政策促進的出口之間找到一個平衡點,因為人民幣匯率的變動會通過估值效應(yīng)和經(jīng)常項目兩個渠道綜合影響凈外幣資產(chǎn)最終在一年內(nèi)的價值變化。 第三,建設(shè)好健全的股票市場可以在一定程度上為管理估值效應(yīng)的平穩(wěn)提供正向的影響。結(jié)合現(xiàn)在我國目前股票市場中出現(xiàn)的莊家炒作等現(xiàn)象,管理估值效應(yīng)的平穩(wěn)也成為我國加快建立健全多層次的資本市場,更好的為實體經(jīng)濟服務(wù)的重要理由之一。 第四,對于我國來說,意味著估值效應(yīng)作為反映實體經(jīng)濟中經(jīng)濟往來活動價值的計量,用來自改變匯率和相對股票收益率等貨幣的途徑去尋求其價值的增加,只能在短期有暫時的效果,在長期來說都是沒有效果的,長期的增長只能來自于實體經(jīng)濟中的實際增長。
[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
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F224;F831;F832

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