估值效应规模及结构对中国外部财富的影响

摘要

基于估值效应规模及结构分解理论,可以对中、美两国的估值效应进行测算.针对1982-2012年中国经济数据构建VAR模型,实证分析中国外部财富中估值效应变动与净外部资产、汇率、资产价格之间的动态关系.研究结果表明,估值效应对中国外部财富变动的影响在不断加大,估值效应的变动主要由净外部资产自身的投资组合和币种配置决定,资产价格比汇率能解释更多的估值效应波动.%Based on the latest theory of mechanism of valuation effect,the article measures the scale of valuation effect and analyzes its structure,compares the results of China and USA,then uses Chinese external wealth data from 1982 to 2012 to construct a VAR model,and analyzes the three major factors' impacts on China's external wealth.The results show that the effect of valuation effect on the external wealth raises constantly,valuation effect volatility mainly depends on the portfolio and currency allocation of NFA,and the asset price can explain more valuation effect volatility than exchange rate.