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

Long Inter-temporal Smoothing or Risk Sharing?——Reanalysis on the Valuation Effect of China's NFA

Gourinchas&Rey(2005)提出,衡量一国经济外部失衡要考虑资产"估值效应",而学界对估值效应起因的理解包括"跨期平滑消费"和"风险分散"两种思路,各自对应了可预期、未预期的估值效应。本文阐述了估值效应对外部均衡的调节机制,评价了两类估值效应对宏观经济的影响。实证研究中,本文根据中国样本数据估算外部失衡指标,并使用结构向量自回归(SVAR)与方差分解方法,具体展现了外部失衡的调节模式。本文发现,2010年之后未预期估值效应对外部失衡的影响增加,且未预期估值效应与宏观经济指标之间确实可能存在风险对冲的关联。同时,外部失衡对货币供给造成的冲击规模不断减小。上述实证结果说明,意愿结售汇制度一定程度上使货币供给对外汇储备存量变动的敏感性降低;同时,估算并理解"未预期估值损益",应成为货币当局应对"外部失衡"的一项重要工作。

Previous research of valuation effect, which is first mentioned by Gourinchas and Rey （2007） to quantify external imbalance, develop two different understandings of the cause of valuation effect： inter-temporal smoothing consumption and diversifying risk, which are in corresponding to two different indicators： expectable valuation effect and unexpected valuation effect. The study of the impact of the two types of valuation effect in economy is very important for us to understand external balance and properly handle macro-control measures. Our paper focused on the role and the influence of expectable and unexpected valuation effect. We quantify the influence of valuation effect on national wealth, using two methods to estimate the index of periodic external imbalance and specify the important role of exchange rates. On the basis of the estimation of valuation effect, we carry out SVAR estimation and variation decomposition on empirical research. The results show that the impact of unexpected valuation effect which can hedge the risk from the variation of macroeconomic index has dramatically increased after 2010 while expectable valuation effect significantly affects money supply during the research period. As for economic policy, our research supports the market-based exchange settlement system, which has decreased the sensitiveness of money supply to foreign currency reserve and consolidated the independency of monetary regime.