發(fā)布時間：2018-03-10 12:12

  本文選題：人民幣匯率　切入點：資產價格　出處：《廣東商學院》2013年碩士論文　論文類型：學位論文

【摘要】：財富效應是指資產價值變動引起居民消費的變化。當前關于財富效應的研究較多，但是研究匯率變化對財富效應影響的研究較少見。本文以匯率對財富效應的影響作為研究對象，而不是直接研究匯率對資產價格的影響。本文的研究分為兩個層面。第一個層面進行匯率影響財富效應的機制分析。匯率對財富效應的影響，主要通過匯率對資產價格或資產價值影響來實現(xiàn)。如匯率變動通過資本流動，預期效應，利率和流量理論等機制影響居民資產財富效應。第二個層面是進行匯率對財富效應影響的實證檢驗。這實證檢驗分為兩個步驟。首先測度財富效應的水平，然后將匯率和其他變量作為解釋變量，將財富效應作為被解釋變量，來檢驗匯率對財富效應的影響。由于財富效應的檢驗又分為總資產的財富效應和金融資產與不動產的財富效應，所以上述實證檢驗又分為“總資產的視角”和“資產結構的視角”。 本文實證分析發(fā)現(xiàn)我國居民資產的財富效應符合經(jīng)驗值，包括總資產、金融資產和房地產資產，房地產的財富效應相對更加顯著，結論符合生命周期消費理論。值得注意的是財富效應在1997年亞洲金融危機和2008年次貸金融危機這兩個時期表現(xiàn)的比較突出，都顯示降低再反彈，這一定程度上說明匯率變動對財富效應的影響作用。接下分析得出我國不同資產財富效應受實際匯率和升值預期影響具差異性，且與理論分析結果不一致。對于總資產，實際有效匯率變動對其財富效應影響是抑制作用且顯著的，匯率預期升值率對其財富效應從促進作用到2004年后的抑制作用；對于金融資產，實際有效匯率和匯率預期升值率對其財富效用影響不夠顯著，整體上都是從促進作用轉為抑制作用。對于房地產，實際有效匯率和人民幣匯率預期升值率對房地產資產財富效應影響效果顯著且是抑制作用的�？傮w來看，對于我國居民資產，匯率變動主要通過房地產資產渠道來影響財富效應，雖然影響作用為抑制作用。對此，，本文最后根據(jù)理論與實證檢驗得出的結果提出匯率相關政策建議，政策制定者所要關注匯率的是，應該考慮如何使匯率變化更好發(fā)揮居民資產的財富效應。
[Abstract]:Wealth effect refers to the change of consumption caused by the change of asset value. However, it is rare to study the effect of exchange rate change on wealth effect. The research of this paper is divided into two levels. The first level is to analyze the mechanism of the effect of exchange rate on wealth, the influence of exchange rate on wealth effect, and the influence of exchange rate on wealth effect. Mainly through the exchange rate influence on asset price or asset value. For example, exchange rate change through capital flow, expected effect, The second level is the empirical test of the effect of exchange rate on wealth effect. This empirical test is divided into two steps. First, the level of wealth effect is measured. The exchange rate and other variables are then used as explanatory variables, and the wealth effect is used as the explained variable. To test the effect of exchange rate on wealth effect. Because the test of wealth effect is divided into the wealth effect of total assets and the wealth effect of financial assets and real estate, Therefore, the above empirical test is divided into the perspective of total assets and the perspective of asset structure. The empirical analysis shows that the wealth effect of Chinese residents' assets is consistent with the empirical value, including total assets, financial assets and real estate assets, and the wealth effect of real estate is more significant. The conclusion is in line with the life-cycle consumption theory. It is worth noting that the wealth effect was prominent in the Asian financial crisis in 1997 and the subprime mortgage financial crisis in 2008. This indicates to some extent the effect of exchange rate change on wealth effect. Then, the analysis shows that the wealth effect of different assets in China is different from the theoretical analysis, and is not consistent with the theoretical analysis, which is influenced by the real exchange rate and appreciation expectation. The effect of the real effective exchange rate on its wealth effect is significant. The expected appreciation rate of exchange rate inhibits the wealth effect from promoting effect to 2004. The real effective exchange rate and the expected appreciation rate of the exchange rate are not significant enough to influence their wealth utility. The real effective exchange rate and the expected appreciation rate of the RMB exchange rate have a significant effect on the wealth effect of real estate assets. Exchange rate changes mainly influence wealth effect through real estate asset channel, although the effect is restraining effect. In the end, according to the results of theoretical and empirical tests, this paper puts forward some policy recommendations on exchange rate. What policymakers need to focus on is how to make changes in exchange rates work better on the wealth effects of household assets.
【學位授予單位】：廣東商學院
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F124.7;F832.6

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