宏观经济政策冲击下外部净资产的动态调整——基于估值效应视角的实证研究
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摘要
随着全球金融一体化的深化,代表国家外部财富的外部净资产除受国际贸易的调整影响外,受估值效应的调整影响也在加深。本文结合两类调整影响,重点从估值效应的视角,考察在国内财政政策与货币政策冲击下外部净资产的动态调整过程。本文通过结构向量自回归(SVAR)和随机动态一般均衡模型(DSGE)的实证分析方法,表明扩张性财政政策和紧缩性货币政策冲击可使估值效应在短期内改善外部净资产,抵消部分由国际贸易带来对外部净资产的恶化效果,但在长期,外部净资产仍是由国际贸易所决定。基于此分析结论,本文以崭新的分析视角,为我国资本在"引进来"和"走出去"的过程中,实现外部财富的增值保值,提供政策建议。
With the deepening of global financial integration, the foreign assets of one country were affected not only by the adjustment effects of international trade, but also by the adjustment effects of valuation effect. This article combined two types of adjustment factors, focusing on the perspective of valuation effect, to investigate the dynamic adjustment process of the net foreign assets under the impact of domestic fiscal policy and monetary policy. This article used structure vector autoregressive( SVAR) combined with stochastic dynamic general equilibrium model( DSGE) to analyze the problem above. The analysis showed that expansionary fiscal policy and tight monetary policy impact can improve the external net assets through valuation effect in the short term, and offset part of the effect of the deterioration of net foreign assets caused by international trade. However, the net foreign assets are still determined by the international trade in the long term. Based on this analysis, this article takes a new analysis perspective of view to provide policy recommendations for the purpose of keeping and adding value of overseas wealth of China in the process of capital "coming-in" and "going-out".
With the deepening of global financial integration, the foreign assets of one country were affected not only by the adjustment effects of international trade, but also by the adjustment effects of valuation effect. This article combined two types of adjustment factors, focusing on the perspective of valuation effect, to investigate the dynamic adjustment process of the net foreign assets under the impact of domestic fiscal policy and monetary policy. This article used structure vector autoregressive( SVAR) combined with stochastic dynamic general equilibrium model( DSGE) to analyze the problem above. The analysis showed that expansionary fiscal policy and tight monetary policy impact can improve the external net assets through valuation effect in the short term, and offset part of the effect of the deterioration of net foreign assets caused by international trade. However, the net foreign assets are still determined by the international trade in the long term. Based on this analysis, this article takes a new analysis perspective of view to provide policy recommendations for the purpose of keeping and adding value of overseas wealth of China in the process of capital "coming-in" and "going-out".
引文
[1]韩永超,杨万成.跨期平滑还是风险分散?——对中国对外净资产“估值效应”的再考察[J].国际金融研究,2016(5):15-26
[2]贺力平.估值效应和货币错配再定义:兼论汇率风险概念的一个宏观经济新应用[J].国际金融研究,2015(9):86-96
[3]李晓芳,高铁梅,梁云芳.税收和政府支出政策对产出动态冲击效应的计量分析[J].财贸经济,2005(2):32-39+97
[4]刘斌.基于CGE框架下的央行宏观经济模型研究[J].金融研究,2011(6):1-17
[5]刘琨,郭其友.估值效应规模及结构对外部均衡调整的影响——基于中、美、日及欧元区的实证研究[J].亚太经济,2016(1):37-43
[6]马勇.植入金融因素的DSGE模型与宏观审慎货币政策规则[J].世界经济,2013(7):68-92
[7]那明,戴振亚.估值效应规模及结构对中国外部财富的影响[J].首都经济贸易大学学报,2017,19(2):3-11
[8]王君斌,郭新强.经常账户失衡、人民币汇率波动与货币政策冲击[J].世界经济,2014(8):42-69
[9]王文甫,张南,岳超云.中国财政政策冲击的识别与效应——符号约束方法下的SVAR分析[J].财经研究,2015(6):70-81
[10]王艺明,蔡昌达.货币政策的成本传导机制与价格之谜——基于新凯恩斯主义DSGE模型的研究[J].经济学动态,2012(3):14-25
[11]吴超,王彬.国家货币政策对天津经济的调控效应分析———动态随机一般均衡模型视角[J].现代财经(天津财经大学学报),2013(6):23-34
[12]肖立晟,陈思翀.中国国际投资头寸表失衡与金融调整渠道[J].经济研究,2013(7):20-34
[13]Aguiar M,Gopinath G.Emerging Market Business Cycles:The Cycle Is the Trend[J].Journal of Political Economy,2007(115):69-102
[14]Benetrix A S,Lane P R,Shambaugh J C.International Currency Exposures,Valuation Effects and the Global Financial Crisis[J].Journal of International Economics,2015(96):98-109
[15]Blanchard O J,Quah D.The Dynamic Effects of Aggregate Demand and Supply Disturbances[J].American Economic Review,1989,79(4):655-673
[16]Christiano L J,Trabandt M,Walentin K.DSGE Models for Monetary Policy Analysis[M].Handbook of Monetary Economics,Chapter7,Elsevier,2010:285-367
[17]Clarida R,Gali J,Gertler M.Optimal Monetary Policy in Open versus Closed Economies:An Integrated Approach[J].American Economic Review,2001(91):248-252
[18]Coeurdacier N,Kollmann R,Martin P.International Portfolios,Capital Accumulation and Foreign Assets Dynamics[J].Journal of International Economics,2010(80):100-112
[19]Devereux M B,Sutherland A.Valuation Effects and the Dynamics of Net External Assets[J].Journal of International Economics,2010(80):129-143
[20]Georgiadis G,Mehl A.Financial Globalisation and Monetary Policy Effectiveness[J].Journal of International Economics,2016,103(C):200-212
[21]Ghironi F,Lee J,Rebucci A.The Valuation Channel of External Adjustment[J].Journal of International Money and Finance,2015(57):86-114
[22]Gourinchas P O,Rey H.International Financial Adjustment[J].Journal of Political Economy,2007(115):665-703
[23]Gourinchas P O,Rey H,Truempler K.The Financial Crisis and the Geography of Wealth Transfers[J].Journal of International Economics,2012,88(2):266-283
[24]Gourinchas P O,Rey H.External Adjustment,Global Imbalances,Valuation Effects[M].Handbook of International Economics,Elsevier,2014
[25]Lane P R,Milesi-Ferretti G M.The External Wealth of Nations Measures of Foreign Assets and Liabilities for Industrial and Developing Countries[J].Journal of International Economics,2001(55):26
[26]Lane P R,Shambaugh J C.Financial Exchange Rates and International Currency Exposures[J].American Economic Review,2010(100):518-40
[27]Nguyen Ha.Valuation Effects with Transitory and Trend Productivity Shocks[J].Journal of International Economics,2011(85):245-255
[28]Rabanal P.Does Inflation Increase after a Monetary Policy Tightening?Answers Based on an Estimated DSGE Model[J].Journal of Economic Dynamics and Control,2007(31):906-937
[29]Wickens M.Macroeconomic Theory—A Dynamic General Equilibrium Approach[M].New Jersey:Princeton University Press,2008
(1)此处F表示外国。为简化篇幅,此处略去外国方程的表达式。
(1)可观测数据处理统一以亿美元为单位,再对中美两国名义GDP按季度GDP平减指数进行平减后得到季度实际GDP,最后取自然对数后进行相减表示变动差额,将差额用HP滤波除去趋势性因素后得到。
[2]贺力平.估值效应和货币错配再定义:兼论汇率风险概念的一个宏观经济新应用[J].国际金融研究,2015(9):86-96
[3]李晓芳,高铁梅,梁云芳.税收和政府支出政策对产出动态冲击效应的计量分析[J].财贸经济,2005(2):32-39+97
[4]刘斌.基于CGE框架下的央行宏观经济模型研究[J].金融研究,2011(6):1-17
[5]刘琨,郭其友.估值效应规模及结构对外部均衡调整的影响——基于中、美、日及欧元区的实证研究[J].亚太经济,2016(1):37-43
[6]马勇.植入金融因素的DSGE模型与宏观审慎货币政策规则[J].世界经济,2013(7):68-92
[7]那明,戴振亚.估值效应规模及结构对中国外部财富的影响[J].首都经济贸易大学学报,2017,19(2):3-11
[8]王君斌,郭新强.经常账户失衡、人民币汇率波动与货币政策冲击[J].世界经济,2014(8):42-69
[9]王文甫,张南,岳超云.中国财政政策冲击的识别与效应——符号约束方法下的SVAR分析[J].财经研究,2015(6):70-81
[10]王艺明,蔡昌达.货币政策的成本传导机制与价格之谜——基于新凯恩斯主义DSGE模型的研究[J].经济学动态,2012(3):14-25
[11]吴超,王彬.国家货币政策对天津经济的调控效应分析———动态随机一般均衡模型视角[J].现代财经(天津财经大学学报),2013(6):23-34
[12]肖立晟,陈思翀.中国国际投资头寸表失衡与金融调整渠道[J].经济研究,2013(7):20-34
[13]Aguiar M,Gopinath G.Emerging Market Business Cycles:The Cycle Is the Trend[J].Journal of Political Economy,2007(115):69-102
[14]Benetrix A S,Lane P R,Shambaugh J C.International Currency Exposures,Valuation Effects and the Global Financial Crisis[J].Journal of International Economics,2015(96):98-109
[15]Blanchard O J,Quah D.The Dynamic Effects of Aggregate Demand and Supply Disturbances[J].American Economic Review,1989,79(4):655-673
[16]Christiano L J,Trabandt M,Walentin K.DSGE Models for Monetary Policy Analysis[M].Handbook of Monetary Economics,Chapter7,Elsevier,2010:285-367
[17]Clarida R,Gali J,Gertler M.Optimal Monetary Policy in Open versus Closed Economies:An Integrated Approach[J].American Economic Review,2001(91):248-252
[18]Coeurdacier N,Kollmann R,Martin P.International Portfolios,Capital Accumulation and Foreign Assets Dynamics[J].Journal of International Economics,2010(80):100-112
[19]Devereux M B,Sutherland A.Valuation Effects and the Dynamics of Net External Assets[J].Journal of International Economics,2010(80):129-143
[20]Georgiadis G,Mehl A.Financial Globalisation and Monetary Policy Effectiveness[J].Journal of International Economics,2016,103(C):200-212
[21]Ghironi F,Lee J,Rebucci A.The Valuation Channel of External Adjustment[J].Journal of International Money and Finance,2015(57):86-114
[22]Gourinchas P O,Rey H.International Financial Adjustment[J].Journal of Political Economy,2007(115):665-703
[23]Gourinchas P O,Rey H,Truempler K.The Financial Crisis and the Geography of Wealth Transfers[J].Journal of International Economics,2012,88(2):266-283
[24]Gourinchas P O,Rey H.External Adjustment,Global Imbalances,Valuation Effects[M].Handbook of International Economics,Elsevier,2014
[25]Lane P R,Milesi-Ferretti G M.The External Wealth of Nations Measures of Foreign Assets and Liabilities for Industrial and Developing Countries[J].Journal of International Economics,2001(55):26
[26]Lane P R,Shambaugh J C.Financial Exchange Rates and International Currency Exposures[J].American Economic Review,2010(100):518-40
[27]Nguyen Ha.Valuation Effects with Transitory and Trend Productivity Shocks[J].Journal of International Economics,2011(85):245-255
[28]Rabanal P.Does Inflation Increase after a Monetary Policy Tightening?Answers Based on an Estimated DSGE Model[J].Journal of Economic Dynamics and Control,2007(31):906-937
[29]Wickens M.Macroeconomic Theory—A Dynamic General Equilibrium Approach[M].New Jersey:Princeton University Press,2008
(1)此处F表示外国。为简化篇幅,此处略去外国方程的表达式。
(1)可观测数据处理统一以亿美元为单位,再对中美两国名义GDP按季度GDP平减指数进行平减后得到季度实际GDP,最后取自然对数后进行相减表示变动差额,将差额用HP滤波除去趋势性因素后得到。