金融一体化进程中的东亚风险分担研究——纳入估值效应渠道的实证

Risk Sharing in the Process of East Asia Financial Integration: the Role of Valuation Effects

东亚金融一体化程度的显著提升,使规模持续增长的估值效应成为促进东亚风险分担的潜在渠道。基于对外净资产跨期变动来源的构成,梳理并修正跨国风险分担机制和实现渠道,在传统的净要素投资收入和储蓄渠道的基础上,纳入估值效应潜在渠道,探讨该渠道影响风险分担的机理以及促进风险分担需满足的条件。之后,运用纳入估值效应渠道的ASY方差分解模型,分析东亚风险分担的水平及各渠道的贡献。结果显示,东亚金融一体化并未促成风险分担水平的持续改善。其中储蓄仍是东亚风险分担最有效的渠道,但其作用正在缓慢下降;净要素投资收入并非是东亚风险分担持续有效的渠道;由于估值效应的周期性特征日益满足促进风险分担的前提,其积极作用开始显现。

This paper splits the aggregate return on the external investment position into net factor investment income and valuation effects to investigate which of the two channels delivers the largest potential for risk sharing. Using a modified ASY model,the empirical results show that the financial integration does not improve risk sharing efficiently. The main channel contributing to risk sharing is intertemporal consumption smoothing provided by saving channel,although its influence is declining. In contrast to net fact investment income,the risk sharing properties of valuation effects have increased through time. Valuation effects behave in a countercyclical way,in particular during the past 10 years,and play an increasing important role in East Asia risk sharing.