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題名:資產價值變動效果及其影響因素
作者:丁千容 引用關係
作者(外文):Ting, Chien-Jung
校院名稱:國立中正大學
系所名稱:國際經濟研究所
指導教授:Wu, Jyh-Lin
學位類別:博士
出版日期:2011
主題關鍵詞:資產價值變動效果淨國外資產部位失衡神秘物質本國投資偏向國際資產負債平衡表之外幣曝露Valuation EffectExternal ImbalanceDark MatterPortfolio Home BiasForeign Currency Exposure in International Balance Sheets
原始連結:連回原系統網址new window
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一國淨國外資產部位 ( net foreign asset position ) 的跨期預算限制式指出今日一國淨國外資產減少,未來將透過貿易調整管道或金融調整管道彌補。而傳統分析淨國外資產變動之文獻忽略了金融調整管道。本文強調金融調整管道,自二個議題探討資產價值變動效果及其影響因素。第一個議題探討因匯率變動造成台灣淨國外資產部位所產生的資產價值變動效果 ( valuation effect ) 對台灣淨國外資產部位失衡 ( external imbalance ) 之影響程度。實證結果指出資產價值變動效果對台灣淨國外資產部位失衡調整之貢獻約為23.88%。當期的台灣淨國外資產部位失衡可預測未來的淨國外資產實質總報酬及淨出口成長,也可在樣本內 ( in sample ) 及樣本外 ( out of sample ) 預測未來的新台幣金融加權匯率。本議題亦發現台灣的國外負債存在被忽略之神秘物質 ( dark matter ),導致國外負債被低估,造成台灣經常帳餘額被高估,此結果不僅顯示存在過高且負向之超額報酬 ( abnormal return ) 效果,亦對新台幣合理價位之判斷具參考性。第二個議題探討本國投資偏向 ( portfolio home bias ) 因素對一國國際資產負債平衡表之外幣曝露 ( foreign currency exposure in external balance sheets ) 的影響,及其是否進一步影響一國總資產價值變動規模?本文的重要結果如下。第一,控制國家政策選擇及制度因素後,外幣曝露之收斂速度更快,顯示國家特性確為影響外幣曝露變化的重要原因。第二,外幣曝露顯著受本國投資偏向因素之影響。第三,當一國實質匯率與報酬差異非正向相關時,則該國傾向多以外幣持有淨國外資產,對本國相對低的報酬提供一避險管道。第四,多國的外幣曝露變化,呼應文獻所提的原罪現象 ( Original Sin )。實證結果尤其發現匯率穩定及單一貨幣區國家 ( 如:歐元區 ) 之投資組合仍存在顯著的本國投資偏向,除影響這些國家的資產價值變動規模外,亦呼應既存文獻認為歐元區的金融整合力量不夠之論點。本議題主要結論為本國投資偏向因素確為影響一國淨國外資產總資產價值變動、淨國外資產失衡調整的重要因素。
From a country’s external budget constraint and long-run stability conditions for the dynamics of external adjustment, the current external imbalances must be offset by future improvements in trade surpluses ( trade channel ), or excess returns on the net foreign portfolio ( valuation channel ), or both. However, most existing literatures omit the valuation channel in model specification. This dissertation emphasizes the contribution of “valuation channel” on Taiwan’s external adjustment, and discusses the theoretically relevant factors of valuation effects.
In the first essay, we estimate the contributions of the valuation channel to the external adjustment process on Taiwan gross foreign positions. The empirical results indicate that about 23.88 percent of the cyclical international adjustment of Taiwan is realized through valuation effects. In addition, Taiwan’s external imbalances predict future movements in returns of the net foreign asset portfolio and future export growth. These external imbalances also forecast financial-weighted exchange rate movements based on in- and out-of-sample tests. Besides, we find that Taiwan exists “dark matter liability”, suggesting a significant undervaluation of foreign liability positions and overvaluation of current account surpluses of Taiwan. It not only reflects large and negative abnormal returns but also provide useful information to evaluate the misalignment of NTD.
The second essay focuses on how portfolio home bias sources affect the foreign currency exposure in external balance sheets, which may, in turn, affect the valuation effect. Empirical analysis indicates that several interesting results. First, controlling the trilemma policy and institutional quality, the convergence rates of aggregate foreign currency exposure are faster. It implies that country characteristics are important determinants of aggregate foreign currency exposure. Second, portfolio home bias sources have prominent effects on foreign currency exposure. Third, countries that have experienced a non-increase in the covariance-variance term take a longer position in foreign currencies, providing a hedge against expected future lower portfolio returns. Fourth, it is noteworthy that the cross-country and time-series variation in aggregate foreign currency exposure appears to be consistent with the “original sin” argument.
We also find that the portfolio allocations of countries with greater exchange rate stability and of the Currency Union ( such as the Eurozone ) are biased toward domestic assets. This result not only affects the magnitude of the valuation effect, but also explains the existence of the Eurozone does not provide a strong integrating force. Our findings in the second essay point out that portfolio home bias sources are important factors that affect the external imbalance adjustment and the magnitude of valuation effects.
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