估值效应与外部失衡研究
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摘要
随着20世纪90年代不断深入的金融一体化以来,国与国之间资金的流动不仅仅是由于相互贸易的需要,还出现了以持有金融资产来分散风险和增加收益为目的的国际资本流动。美国累积了巨额的经常项目赤字,人们非常担心美国经济会因此出现衰退,但其经济却运行良好,与之相对的新兴市场国家通过经常项目盈余积累了大量财富,经济却表现平平。这一与传统理论预测相悖的现象,使得人们开始关注通过估值效应渠道从新兴市场国家转移到美国的财富,这些财富缓解了美国巨额经常项目赤字可能带来的危机。这一现象,给传统的仅仅将经常账户作为衡量一国净外币资产累积的流量思考方式带来了新的挑战。人们发现,一国净外币资产的累积不仅仅来自于经常账户,还来自于估值效应,即由于汇率和资产价格所引起的一国净外币资产价值变动部分。至此,研究估值效应成为全面理解一国外部失衡的重要部分。
同时,对于我国来说,目前正在尝试的上海自贸区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：利率市场化、汇率自由汇兑、金融业对外开放、金融产品创新等。上海自贸区这些新的尝试,释放出了我国金融改革的信号,其必将成为我国放松资本管制和人民币自由可兑换的初步尝试。这些尝试如果成功的化,在未来,我国的净外币资产变化将会越来越大的受到估值效应变化的影响,其他国家的宏观经济政策或是是经济冲击会通过估值效应渠道传导,那么,采取措施来保证估值效应的平滑对稳定实体经济都具有重要的意义。
基于此时代背景,考虑到估值效应的波动会对一国的实体经济造成冲击,管理其波动风险具有重要意义,本文拟填补现有研究的空白,关注估值效应波动问题。本文首先从估值效应波动的视角出发,研究估值效应波动受到汇率和相对股票收益率的影响,比较其在新兴市场国家和发达市场国家波动的不同特点；接着具体研究新兴市场国家之一的泰国和发达市场国家之一的英国,它们各自的估值效应在单变量时间序列分析上的特点,并进一步讨论产生这些差异的原因。
本文的研究中,从研究角度上,第三章是从新兴市场国家和发达市场国家整体角度的比较分析,第四章和第五章是第三章更进一步具体的分析其中具体的单个国家,体现了从整体到部分的角度变换；从研究内容上,第三章的结论强调了净外币资产自身的结构对解释估值效应波动的重要性；第四章对具体国家估值效应的单变量分析发现了差异,探讨了可能的原因,第五章则具体到单个国家,将净外币资产自身结构中的单独组成部分对估值效应波动的解释力进一步分解,并就第四章中提出的可能的原因进行了回答。
本文最主要的研究结论有如下几点：
第一,新兴市场国家和发达市场国家对估值效应波动的管理都应该更多的关注其自身的净外币资产结构的配置问题,通过汇率和提高相对股票收益率的方法管理估值效应波动在发达市场国家比在新兴市场国家更加有效。
第二,无论是在新兴市场国家还是发达市场国家,给估值效应一个标准差的正汇率冲击(美元升值、本币贬值),估值效应都会减少；但新兴市场国家的估值效应的减少有反向冲销的过程,而发达市场国家的估值效应减少没有这一现象。这一现象符合Tille(2003)及后来很多学者指出的美元特有的在世界货币体系中标价货币的性质。
第三,无论是在新兴市场国家还是发达市场国家,给予估值效应一个标准差的正相对股票收益率的冲击,都会使得估值效应暂时性的上升。这为通过提高相对股票收益率管理估值效应提供了指导,说明提高相对股票收益率对估值效应的影响为正。
第四,无论是汇率,还是相对股票收益率的冲击,对估值效应的影响都只是短期的,说明估值效应的变动在长期来说还是受到实体经济渠道的影响,对其的调整最终还是要回到实体经济中来。
本文的主要研究结论对我国管理估值效应波动风险的政策启示如下：
第一,目前,我国还属于新兴市场国家中的一员,在管理估值效应波动的时候,更多的还是应该关注我国自身的外部资产配置和对外部负债方面对其他国家持有我国金融产品的类别进行管理,而不应该将太多的关注点放在汇率和提高相对股票收益率方面。
第二,我国目前属于新兴市场国家中的一员,对估值效应平稳的管理应该采取渐进的人民币汇率政策,要在通过人民币汇率政策促进的出口之间找到一个平衡点,因为人民币汇率的变动会通过估值效应和经常项目两个渠道综合影响净外币资产最终在一年内的价值变化。
第三,建设好健全的股票市场可以在一定程度上为管理估值效应的平稳提供正向的影响。结合现在我国目前股票市场中出现的庄家炒作等现象,管理估值效应的平稳也成为我国加快建立健全多层次的资本市场,更好的为实体经济服务的重要理由之一。
第四,对于我国来说,意味着估值效应作为反映实体经济中经济往来活动价值的计量,用来自改变汇率和相对股票收益率等货币的途径去寻求其价值的增加,只能在短期有暂时的效果,在长期来说都是没有效果的,长期的增长只能来自于实体经济中的实际增长。
Since1990s, along with the deepening of financial integration, international capital flowing between countries not only for the need of mutual trade, but also appeared to hold the financial assets in order to diversify risk and increase revenue. With the accumulated large current account deficit of United States, people are very worried about economic recession of the U.S., but its economy is running well. As opposed to the U.S., emerging market countries accumulated a lot of wealth by current account surpluses, but the economy is mediocre. This phenomenon is contradicting with the prediction of traditional theory which makes people begin to pay attention to the transfer of wealth from emerging market countries into the U.S. through the channel of valuation effects. Those wealth ease the possibility of debt crisis from the current account deficit of U.S.. This phenoenon brings new challenges to the measure of a country's Net Foreign Assets change just by the current account. People find that the accumulation of Net Foreign Assets (NFA) of a country is not only from the current account, but also from the valuation effects, which means the value changes of a country's NFA from the change of exchange rate and the price of financial asstts. Studying the valuation effects becomes very important for fully understanding the external imbalance of a country.
Meanwhile, for our country, the reform of financial sector in Shanghai Free Trade Area is very striking which including the marketization of interest rate, floating exchange rates, openning up the financial sector and financial product innovation. These new attempts release a new signal of China's financial reform, which will become new attempts of our relaxation of capital controls and the freely convertibility of RMB. In the future, if these attempts succeed, changes in our NFA will increasingly influenced by the changes in the valuation effects. Macroeconomic policies in other countries or economic shocks will be transmitted through the valuation effects channels. So, ensure the smooth of valuation effects has important significance on the stability of the real economy.
Based on this background and taking into account the fluctuations in valuation effects will impact a country's real economy, management of the risk of fluctuations in valuation effects has very significant meaning. This thesis intends to fill the gaps in existing research, firstly concerns about the fluctuations in valuation effects. From the perspective of the fluctuations in valuation effects, this thesis firstly considers the effect of exchange rate and the relative equity return on the valuation effects, compares the different volatility characteristics of valuation effects in emerging market countries as well as in developed markets countries. Secondly, this thesis uses the time series analysis to analyze the valuation effects of Thailand and U.K., then, further discusses the reasons for the differences.
In this paper, from the research point of view, Chapter Ⅲ is a comparative analysis between the emerging market countries and the developed countries, Chapter IV and Chapter V based on the Chapter Ⅲ to further analyze the specific individual countries which reflecting the transform from overall to the portion. From the research results, the conclusion of Chapter Ⅲ stressed the structure of a country's NFA can mostly explain the fluctuations in valuation effects. Chapters IV discovers the differences of time series analysis of the valuation effects between Thailand and UK.. Chapter V is specific to a single country, further decompose the fluctuations in valuation effects into their own separate component of the NFA.
In this paper, the main conclusions of the thesis are as the following:
First, both emerging markets and developed markets should be more concerned about their own structure allocation of NFA to management the fluctuations in valuation effects. It's more efficient in developed markets than in emerging markets through exchange rates and increase the relative equity return to manage the fluctuations in valuation effects.
Second, no matter in emerging markets or developed markets, one standard deviation of positive exchange rate shock will decrease the valuation effects. But, only the reducing of the valuation effects in emerging market has a reversal. This phenomenon is in line with Tille (2003) and many scholars who have pointed out the unique properties price of U.S. currency in the world monetary system.
Third, both in emerging markets or developed markets, one standard deviationof positive relative equity return shock will increase the valuation effects temporarily. This result provides a management guidance of valuation effects by increasing the relative equity return and the change of valuation effects is positive.
Fourth, both the exchange rate and relative equity return, only have impact on the valuation effects in the short run;it means that i changes in valuation effects are still affected by the real economy channels in the long run.
These main conclusions can provide some policy suggestions about the risk management of the valuation effects as follows:
First, China is still an emerging market country. When we manage the fluctuations in the valuation effects, more attentions still should be concerned about our own external asset allocation and the control of external liability for the risk holding of the financial products.We should not be too much focus on the exchange rate and increase the relative equity return.
Second, China is still an emerging market country. A smooth management of the valuation effect should take a gradual exchange rate policy of the RMB and find a balance between export promotions by the RMB exchange rate policy. Because the changes in the RMB exchange rate will affect the final value of the NFA through both valuation effects and current accounts.
Third, building a sound stock market can provide a positive influence to some extent for the stably management of the valuation effects. Combined with the speculation makers phenomenon in China, smooth management of the valuation effects has became one of the important reasons to speed up the establishment of a sound multi-level capital market in order to better service the real economy.
Fourth, as the valuation effects reflecting the real economy and measuring the value of economic activity, the attempt of our country to try to increase the value of NFA by change the exchange rates and the relative equity return, can only have a temporary effect in the short run. In the long run, they are not effective. Long-term growth can only come from real growth in the real economy.
同时,对于我国来说,目前正在尝试的上海自贸区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：利率市场化、汇率自由汇兑、金融业对外开放、金融产品创新等。上海自贸区这些新的尝试,释放出了我国金融改革的信号,其必将成为我国放松资本管制和人民币自由可兑换的初步尝试。这些尝试如果成功的化,在未来,我国的净外币资产变化将会越来越大的受到估值效应变化的影响,其他国家的宏观经济政策或是是经济冲击会通过估值效应渠道传导,那么,采取措施来保证估值效应的平滑对稳定实体经济都具有重要的意义。
基于此时代背景,考虑到估值效应的波动会对一国的实体经济造成冲击,管理其波动风险具有重要意义,本文拟填补现有研究的空白,关注估值效应波动问题。本文首先从估值效应波动的视角出发,研究估值效应波动受到汇率和相对股票收益率的影响,比较其在新兴市场国家和发达市场国家波动的不同特点；接着具体研究新兴市场国家之一的泰国和发达市场国家之一的英国,它们各自的估值效应在单变量时间序列分析上的特点,并进一步讨论产生这些差异的原因。
本文的研究中,从研究角度上,第三章是从新兴市场国家和发达市场国家整体角度的比较分析,第四章和第五章是第三章更进一步具体的分析其中具体的单个国家,体现了从整体到部分的角度变换；从研究内容上,第三章的结论强调了净外币资产自身的结构对解释估值效应波动的重要性；第四章对具体国家估值效应的单变量分析发现了差异,探讨了可能的原因,第五章则具体到单个国家,将净外币资产自身结构中的单独组成部分对估值效应波动的解释力进一步分解,并就第四章中提出的可能的原因进行了回答。
本文最主要的研究结论有如下几点：
第一,新兴市场国家和发达市场国家对估值效应波动的管理都应该更多的关注其自身的净外币资产结构的配置问题,通过汇率和提高相对股票收益率的方法管理估值效应波动在发达市场国家比在新兴市场国家更加有效。
第二,无论是在新兴市场国家还是发达市场国家,给估值效应一个标准差的正汇率冲击(美元升值、本币贬值),估值效应都会减少；但新兴市场国家的估值效应的减少有反向冲销的过程,而发达市场国家的估值效应减少没有这一现象。这一现象符合Tille(2003)及后来很多学者指出的美元特有的在世界货币体系中标价货币的性质。
第三,无论是在新兴市场国家还是发达市场国家,给予估值效应一个标准差的正相对股票收益率的冲击,都会使得估值效应暂时性的上升。这为通过提高相对股票收益率管理估值效应提供了指导,说明提高相对股票收益率对估值效应的影响为正。
第四,无论是汇率,还是相对股票收益率的冲击,对估值效应的影响都只是短期的,说明估值效应的变动在长期来说还是受到实体经济渠道的影响,对其的调整最终还是要回到实体经济中来。
本文的主要研究结论对我国管理估值效应波动风险的政策启示如下：
第一,目前,我国还属于新兴市场国家中的一员,在管理估值效应波动的时候,更多的还是应该关注我国自身的外部资产配置和对外部负债方面对其他国家持有我国金融产品的类别进行管理,而不应该将太多的关注点放在汇率和提高相对股票收益率方面。
第二,我国目前属于新兴市场国家中的一员,对估值效应平稳的管理应该采取渐进的人民币汇率政策,要在通过人民币汇率政策促进的出口之间找到一个平衡点,因为人民币汇率的变动会通过估值效应和经常项目两个渠道综合影响净外币资产最终在一年内的价值变化。
第三,建设好健全的股票市场可以在一定程度上为管理估值效应的平稳提供正向的影响。结合现在我国目前股票市场中出现的庄家炒作等现象,管理估值效应的平稳也成为我国加快建立健全多层次的资本市场,更好的为实体经济服务的重要理由之一。
第四,对于我国来说,意味着估值效应作为反映实体经济中经济往来活动价值的计量,用来自改变汇率和相对股票收益率等货币的途径去寻求其价值的增加,只能在短期有暂时的效果,在长期来说都是没有效果的,长期的增长只能来自于实体经济中的实际增长。
Since1990s, along with the deepening of financial integration, international capital flowing between countries not only for the need of mutual trade, but also appeared to hold the financial assets in order to diversify risk and increase revenue. With the accumulated large current account deficit of United States, people are very worried about economic recession of the U.S., but its economy is running well. As opposed to the U.S., emerging market countries accumulated a lot of wealth by current account surpluses, but the economy is mediocre. This phenomenon is contradicting with the prediction of traditional theory which makes people begin to pay attention to the transfer of wealth from emerging market countries into the U.S. through the channel of valuation effects. Those wealth ease the possibility of debt crisis from the current account deficit of U.S.. This phenoenon brings new challenges to the measure of a country's Net Foreign Assets change just by the current account. People find that the accumulation of Net Foreign Assets (NFA) of a country is not only from the current account, but also from the valuation effects, which means the value changes of a country's NFA from the change of exchange rate and the price of financial asstts. Studying the valuation effects becomes very important for fully understanding the external imbalance of a country.
Meanwhile, for our country, the reform of financial sector in Shanghai Free Trade Area is very striking which including the marketization of interest rate, floating exchange rates, openning up the financial sector and financial product innovation. These new attempts release a new signal of China's financial reform, which will become new attempts of our relaxation of capital controls and the freely convertibility of RMB. In the future, if these attempts succeed, changes in our NFA will increasingly influenced by the changes in the valuation effects. Macroeconomic policies in other countries or economic shocks will be transmitted through the valuation effects channels. So, ensure the smooth of valuation effects has important significance on the stability of the real economy.
Based on this background and taking into account the fluctuations in valuation effects will impact a country's real economy, management of the risk of fluctuations in valuation effects has very significant meaning. This thesis intends to fill the gaps in existing research, firstly concerns about the fluctuations in valuation effects. From the perspective of the fluctuations in valuation effects, this thesis firstly considers the effect of exchange rate and the relative equity return on the valuation effects, compares the different volatility characteristics of valuation effects in emerging market countries as well as in developed markets countries. Secondly, this thesis uses the time series analysis to analyze the valuation effects of Thailand and U.K., then, further discusses the reasons for the differences.
In this paper, from the research point of view, Chapter Ⅲ is a comparative analysis between the emerging market countries and the developed countries, Chapter IV and Chapter V based on the Chapter Ⅲ to further analyze the specific individual countries which reflecting the transform from overall to the portion. From the research results, the conclusion of Chapter Ⅲ stressed the structure of a country's NFA can mostly explain the fluctuations in valuation effects. Chapters IV discovers the differences of time series analysis of the valuation effects between Thailand and UK.. Chapter V is specific to a single country, further decompose the fluctuations in valuation effects into their own separate component of the NFA.
In this paper, the main conclusions of the thesis are as the following:
First, both emerging markets and developed markets should be more concerned about their own structure allocation of NFA to management the fluctuations in valuation effects. It's more efficient in developed markets than in emerging markets through exchange rates and increase the relative equity return to manage the fluctuations in valuation effects.
Second, no matter in emerging markets or developed markets, one standard deviation of positive exchange rate shock will decrease the valuation effects. But, only the reducing of the valuation effects in emerging market has a reversal. This phenomenon is in line with Tille (2003) and many scholars who have pointed out the unique properties price of U.S. currency in the world monetary system.
Third, both in emerging markets or developed markets, one standard deviationof positive relative equity return shock will increase the valuation effects temporarily. This result provides a management guidance of valuation effects by increasing the relative equity return and the change of valuation effects is positive.
Fourth, both the exchange rate and relative equity return, only have impact on the valuation effects in the short run;it means that i changes in valuation effects are still affected by the real economy channels in the long run.
These main conclusions can provide some policy suggestions about the risk management of the valuation effects as follows:
First, China is still an emerging market country. When we manage the fluctuations in the valuation effects, more attentions still should be concerned about our own external asset allocation and the control of external liability for the risk holding of the financial products.We should not be too much focus on the exchange rate and increase the relative equity return.
Second, China is still an emerging market country. A smooth management of the valuation effect should take a gradual exchange rate policy of the RMB and find a balance between export promotions by the RMB exchange rate policy. Because the changes in the RMB exchange rate will affect the final value of the NFA through both valuation effects and current accounts.
Third, building a sound stock market can provide a positive influence to some extent for the stably management of the valuation effects. Combined with the speculation makers phenomenon in China, smooth management of the valuation effects has became one of the important reasons to speed up the establishment of a sound multi-level capital market in order to better service the real economy.
Fourth, as the valuation effects reflecting the real economy and measuring the value of economic activity, the attempt of our country to try to increase the value of NFA by change the exchange rates and the relative equity return, can only have a temporary effect in the short run. In the long run, they are not effective. Long-term growth can only come from real growth in the real economy.
引文
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