亚洲国家估值效应波动分析

Analysis of Asian Countries Valuation Effects Fluctuation

本文构建了汇率波动、资产收益率影响估值效应的理论模型,表明汇率波动、资产收益率对估值效应存在跨期的动态影响,并对亚洲13个主要国家2006-2013年相关变量采用面板VAR分析。结果表明:估值效应波动主要是由对外净资产自身的投资组合和币种配置决定的,占76.25%,且见效快;资产收益率对估值效应的作用大于汇率波动,但见效慢,两者各占20.17%、3.57%。从管理估值效应波动、减少亚洲国家财富外流的角度来看,存量估值的管理应是重中之重;同时,从现实来看,运用汇率政策来管理估值效应波动难度较大。建议亚洲国家考虑将存量估值与资产收益率结合起来管理估值效应波动。

This paper builds a theoretical model that exchange rate fluctuation and return on assets both influence valuation effects and this model shows that these effects are dynamicintertemporally. Using the panel data of thirteen Asian countries from 2006 to 2013, the VAR result shows that fluctuations in valuation effects mainly come from the portfolio and currency allocation decisions whichinterpret 75.25% variation and work instantly. The effect of return on assets is greater than the effect of exchange rate fluctuationon the fluctuations of valuation, and their influence extent accounts for about 20.17% and 3.57% respectively, but the former works more slowly. Based on the valuation effects management and reducing Asian countries wealth outflow, the management of the stock valuation should be priority. Meanwhile, it is difficult to introduce exchange rate policyto manage the fluctuations in valuation effects. We suggest that Asian countries should combine stock valuation and return on assets in the management of fluctuations in valuation effects.