Existing research on the measurement of the valuation effect mainly follows the residual method proposed by Lane and Milesi-Ferretti(2001).This cannot be used to perform structural decomposition.We propose an aggregat...Existing research on the measurement of the valuation effect mainly follows the residual method proposed by Lane and Milesi-Ferretti(2001).This cannot be used to perform structural decomposition.We propose an aggregation approach rather than the residual method to measure structurally the investment flow and valuation effect of China's external assets.The results indicate that the valuation effect of China's external assets has been highly volatile and it was negative during the pandemic period.The structural decomposition shows that portfolio investment and direct investment made the main contributions to the valuation effect.The impact of exchange rates on the valuation effect has generally been higher than that of asset price in terms of direct investment and total external assets but the opposite has been true for portfolio investment.China's outward investments are currently more inclined to Asian countries and a few European countries but inflows to China still mainly come from developed countries.展开更多
In the following article, the “Satisfaction with the Environmental Condition” in the 20 Italian regions between 2004 and 2020 was estimated using ISTAT-BES data. The data were analyzed using the following econometri...In the following article, the “Satisfaction with the Environmental Condition” in the 20 Italian regions between 2004 and 2020 was estimated using ISTAT-BES data. The data were analyzed using the following econometric techniques, namely: Panel Data with Random Effects, Panel Data with Fixed Effects, Dynamic Panel, Pooled OLS, WLS. The results show that satisfaction with the environmental situation is positively associated with the following variables “People with at least high school diploma”, “Satisfaction with leisure time”, “Concern for the deterioration of the landscape” and negatively associated with “Gross disposable income per capita”, “Dissatisfaction with the landscape of the place of life”, “Perception of the risk of crime”. A cluster analysis was then carried out using the unsupervised k-Means algorithm optimized through the Silhouette coefficient and 3 clusters were found. A comparative analysis was then carried out between eight different machine learning algorithms to predict the trend of satisfaction by environmental situation. The analysis showed that the Tree Ensemble Regression algorithm is the best predictor and estimates a reduction of the variable of 0.05%. Subsequently, using augmented data, a further prediction was made with an estimated result equal to -1.93%.展开更多
An acquisition discount can reflect not only the liquidity demands for unlisted targets but also the strategic requirements, management efficiencies and capital allocations for the listed bidders.Based on Officer(2007...An acquisition discount can reflect not only the liquidity demands for unlisted targets but also the strategic requirements, management efficiencies and capital allocations for the listed bidders.Based on Officer(2007), the authors choose an acquisition approach to generate an acquisition discount for unlisted targets. In China, unlisted firms are sold at a deeper discount than listed firms. The deeper discount mainly depends on the liquidity demand and the characteristics of the bilateral trading components. Larger bidders tend to pay more, whereas smaller targets are sold at lower discounts. The values of unlisted targets in the TMT industry are underestimated. Furthermore, buying out unlisted targets can significantly increase the abnormal return of public bidders during the announcement period.Deeper discounts or stock payments have a positive effect on the stock values of the bidders, whereas this positive increase will be weakened if the bidder is large or has a previous ownership relationship.展开更多
At present China’s foreign assets are mainly denominated in foreign currencies,while a large part of foreign liabilities are denominated in domestic currency.Under this situation,the appreciation of domestic currency...At present China’s foreign assets are mainly denominated in foreign currencies,while a large part of foreign liabilities are denominated in domestic currency.Under this situation,the appreciation of domestic currency tends to have negative effects on net foreign assets through the valuation effect channel.This article gives a quantitative estimation of the scale of valuation effects in China and the research results show that the valuation effects in China are negative in the 20 years from 1982 to 2012.Furthermore,the scale of valuation effects has been increasing,which has lowered the scale of China’s net foreign assets.This paper also gives an estimation of the structure of the value effects,and finds that the volatility and the scale of asset price-related valuation effects are larger than that of exchange rate-related valuation effects.The results also show that the exchange rate has played a more and more important role in the fluctuation of value effects.Finally,this paper establishes an econometric model to value the function of valuation effects in the external adjustment and the results show that,during the period of 1981-2012,the role of valuation effects in China’s external adjustment were quite limited,but since 2007,valuation effects have played a more and more important role.展开更多
In this study, we expanded upon the current benchmark model of external adjustment and dissected the concept of international financial adjustment into two distinct components: valuation effect and investment income. ...In this study, we expanded upon the current benchmark model of external adjustment and dissected the concept of international financial adjustment into two distinct components: valuation effect and investment income. Our enhanced model, which we refer to as “tri-channel model,” incorporates three key elements: trade balance, valuation effect, and investment income. Using a consolidated quarterly dataset that encompassed China's balance of payments and international investment positions from 1998 to 2020, we estimated the relative importance of the three newly introduced adjustment channels to China's cyclical external imbalance. We found that the trade balance channel played a major role, accounting for approximately 76 percent of cyclical external adjustment. The contribution of the investment income channel to cyclical external adjustment (21 percent) was much greater than that of the valuation effect channel (3 percent). These findings imply that policy responses to the cyclical external imbalance in China should focus more on the trade balance and investment incomes channels rather than exploiting the valuation effects.展开更多
基金The authors appreciate the insightful comments and suggestions of editors and two anonymous reviewers.Guowei Cai thanks the National Natural Science Foundation of China(No.72073147)the National Social Science Major Project(No.22&ZD058)the Ministry of Education Humanities and Social Sciences Planning Foundation Project of China(No.19YJA790001)for their financial support.
文摘Existing research on the measurement of the valuation effect mainly follows the residual method proposed by Lane and Milesi-Ferretti(2001).This cannot be used to perform structural decomposition.We propose an aggregation approach rather than the residual method to measure structurally the investment flow and valuation effect of China's external assets.The results indicate that the valuation effect of China's external assets has been highly volatile and it was negative during the pandemic period.The structural decomposition shows that portfolio investment and direct investment made the main contributions to the valuation effect.The impact of exchange rates on the valuation effect has generally been higher than that of asset price in terms of direct investment and total external assets but the opposite has been true for portfolio investment.China's outward investments are currently more inclined to Asian countries and a few European countries but inflows to China still mainly come from developed countries.
文摘In the following article, the “Satisfaction with the Environmental Condition” in the 20 Italian regions between 2004 and 2020 was estimated using ISTAT-BES data. The data were analyzed using the following econometric techniques, namely: Panel Data with Random Effects, Panel Data with Fixed Effects, Dynamic Panel, Pooled OLS, WLS. The results show that satisfaction with the environmental situation is positively associated with the following variables “People with at least high school diploma”, “Satisfaction with leisure time”, “Concern for the deterioration of the landscape” and negatively associated with “Gross disposable income per capita”, “Dissatisfaction with the landscape of the place of life”, “Perception of the risk of crime”. A cluster analysis was then carried out using the unsupervised k-Means algorithm optimized through the Silhouette coefficient and 3 clusters were found. A comparative analysis was then carried out between eight different machine learning algorithms to predict the trend of satisfaction by environmental situation. The analysis showed that the Tree Ensemble Regression algorithm is the best predictor and estimates a reduction of the variable of 0.05%. Subsequently, using augmented data, a further prediction was made with an estimated result equal to -1.93%.
基金supported by the National Natural Science Foundation of China under Grant No.71173213
文摘An acquisition discount can reflect not only the liquidity demands for unlisted targets but also the strategic requirements, management efficiencies and capital allocations for the listed bidders.Based on Officer(2007), the authors choose an acquisition approach to generate an acquisition discount for unlisted targets. In China, unlisted firms are sold at a deeper discount than listed firms. The deeper discount mainly depends on the liquidity demand and the characteristics of the bilateral trading components. Larger bidders tend to pay more, whereas smaller targets are sold at lower discounts. The values of unlisted targets in the TMT industry are underestimated. Furthermore, buying out unlisted targets can significantly increase the abnormal return of public bidders during the announcement period.Deeper discounts or stock payments have a positive effect on the stock values of the bidders, whereas this positive increase will be weakened if the bidder is large or has a previous ownership relationship.
基金This project is funded by National Social Science Fund,China(10CJL037)the Research Fund of School of Economics,PKU.
文摘At present China’s foreign assets are mainly denominated in foreign currencies,while a large part of foreign liabilities are denominated in domestic currency.Under this situation,the appreciation of domestic currency tends to have negative effects on net foreign assets through the valuation effect channel.This article gives a quantitative estimation of the scale of valuation effects in China and the research results show that the valuation effects in China are negative in the 20 years from 1982 to 2012.Furthermore,the scale of valuation effects has been increasing,which has lowered the scale of China’s net foreign assets.This paper also gives an estimation of the structure of the value effects,and finds that the volatility and the scale of asset price-related valuation effects are larger than that of exchange rate-related valuation effects.The results also show that the exchange rate has played a more and more important role in the fluctuation of value effects.Finally,this paper establishes an econometric model to value the function of valuation effects in the external adjustment and the results show that,during the period of 1981-2012,the role of valuation effects in China’s external adjustment were quite limited,but since 2007,valuation effects have played a more and more important role.
基金Wangyin Hu is grateful for financial support from Fundamental Research Funds for Central Universities,University of International Relations(No.3262024T23)Guangtao Xia thanks the Peak Strategy of Discipline Construction of the Chinese Academy of Social Sciences(No.DF2023YS41)the Laboratory of World Economic Forecasting and Policy Simulation of the Institute of World Economics and Politics of the Chinese Academy of Social Sciences(No.2024SYZH003)for their financial support.
文摘In this study, we expanded upon the current benchmark model of external adjustment and dissected the concept of international financial adjustment into two distinct components: valuation effect and investment income. Our enhanced model, which we refer to as “tri-channel model,” incorporates three key elements: trade balance, valuation effect, and investment income. Using a consolidated quarterly dataset that encompassed China's balance of payments and international investment positions from 1998 to 2020, we estimated the relative importance of the three newly introduced adjustment channels to China's cyclical external imbalance. We found that the trade balance channel played a major role, accounting for approximately 76 percent of cyclical external adjustment. The contribution of the investment income channel to cyclical external adjustment (21 percent) was much greater than that of the valuation effect channel (3 percent). These findings imply that policy responses to the cyclical external imbalance in China should focus more on the trade balance and investment incomes channels rather than exploiting the valuation effects.