本文關(guān)鍵詞： 估值效應(yīng)波動(dòng) 匯率波動(dòng) 資產(chǎn)收益率 亞洲國家 面板VAR分析　出處：《國際貿(mào)易問題》2016年06期 　論文類型：期刊論文

【摘要】：本文構(gòu)建了匯率波動(dòng)、資產(chǎn)收益率影響估值效應(yīng)的理論模型,表明匯率波動(dòng)、資產(chǎn)收益率對(duì)估值效應(yīng)存在跨期的動(dòng)態(tài)影響,并對(duì)亞洲13個(gè)主要國家2006-2013年相關(guān)變量采用面板VAR分析。結(jié)果表明:估值效應(yīng)波動(dòng)主要是由對(duì)外凈資產(chǎn)自身的投資組合和幣種配置決定的,占76.25%,且見效快;資產(chǎn)收益率對(duì)估值效應(yīng)的作用大于匯率波動(dòng),但見效慢,兩者各占20.17%、3.57%。從管理估值效應(yīng)波動(dòng)、減少亞洲國家財(cái)富外流的角度來看,存量估值的管理應(yīng)是重中之重;同時(shí),從現(xiàn)實(shí)來看,運(yùn)用匯率政策來管理估值效應(yīng)波動(dòng)難度較大。建議亞洲國家考慮將存量估值與資產(chǎn)收益率結(jié)合起來管理估值效應(yīng)波動(dòng)。
[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.
【作者單位】： 對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院;
【分類號(hào)】：F831.6

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 肖立晟;陳思，

本文編號(hào)：1497462