| 摘要: |
| 本文从中国外部财富的现状出发，利用中国1982~2012年外部财富的数据，测算出中国外部财富变动中的估值效应，运用脉冲响应函数和方差分解量化各因素对估值效应的影响。实证分析得出:中国外部财富变动中存在负估值效应，但估值效应的变动呈现波动性。美元兑人民币汇率对估值效应的影响最大且为正向；净外部资产变动率的影响呈现波动性；美国一年期国债利率对估值效应的影响为正向；外商来华投资回报率对估值效应的影响较小。 |
| 关键词: 外部失衡 估值效应 国际投资头寸 资本回报率 |
| DOI： |
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| 基金项目:国家自然科学基金“估值效应渠道对中国外部财富的调整研究”(项目编号:71503066)。 |
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| Research on the Valuation Effect in Chinese External Wealth |
| NA Ming,LI Kang |
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| Abstract: |
| This paper, based on the status of china’s external wealth, using china’s external wealth data from 1982 to 2012, estimates the valuation effect existing in China’s external wealth. The results show that there exists negative valuation effect in the changes of Chinese external wealth, but the valuation effect shows volatility. The role of exchange rate of RMB against the U.S. dollar on the valuation effect is the largest and its direction is positive; the change rate of net external assets affects secondly and the direction shows volatility. The impact of the one-year US national bond rate on valuation effect is positive. The return on capital of foreign investment affects valuation least. |
| Key words: external imbalance valuation effect international investment position return on capital |
