国际主要经济体货币错配现象的实证研究

发布时间：2018-04-09 14:24

本文选题：货币错配　切入点：金融安全　出处：《中国海洋大学》2014年硕士论文

【摘要】：货币错配现象，指的是国家或区域经济体在进行国际经贸合作和资本交易的时候，以外币计价的资产与负债对汇率波动存在弹性敏感，从而出现了资产负债价值上的不匹配，即出现了所谓的货币错配。国外学者对货币错配现象的研究始于拉美货币危机和亚洲金融风暴，学者研究发现危机国家手中都握有大量以外币计价的负债，本币被国际资本狙击后严重贬值，而本国的企业资本构成中存在着大量外债，货币贬值会产生大程度的净值损失，配合以国家货币政策和汇率政策的集体失灵，实体经济陷入衰退，金融安全受到严重冲击。新世纪以来，外汇储备的膨胀又让资产负债不匹配的情况出现反转，经济体存在着债权型货币错配的风险。由危机经验可以看到，货币错配现象是一种隐藏性风险，在净值损失的同时，造成宏观经济政策的冲突，影响宏观经济稳定和金融安全。当前，全球经济形势阴霾不散，，金融环境不容乐观，我国持有巨额的外汇储备，庞大的净外币资产蕴藏着着非常严重的货币错配风险，而能够有效解决货币错配问题事关我国金融安全和经济持续发展。以往国内学者关注的焦点多在于我国的货币错配程度测度，鲜有从国际经济体比较的角度和金融因素与货币错配关系的角度分析。本文以存在货币错配现象的国际大国经济体为研究对象，结合经济体的经济实力和货币错配状况，有针对性的选取了韩国、日本、中国、巴西、俄罗斯、印度六个主要经济体作为研究样本，从外汇储备、汇率、汇率制度三个金融要素入手，运用实证模型研究金融要素与货币错配的内在关系，以主要经济体的检验结果为依据，有针对性地提出相应的对策建议，文章具体内容和结构包括以下几个部分： 1.本文首先从研究背景和研究意义出发，对货币错配现象已有的国内外研究成果进行整理和梳理。其次介绍了货币错配的基本理论，从概念分析、测度模型选取两个角度进行阐释，通过比较确立本文要使用的测度指标AECM模型，在理论分析的最后，着重从金融安全的角度对货币错配进行分析，以内部和外部两个维度来进行因素分析。 2.对主要经济体货币错配的状况进行分析。结合国家区域分布和经济发展特点，本文以六个国家货币错配现象发生前后的经济背景为切入视角，分别进行原因分析和货币错配程度测算。韩国货币错配的分析集中在过度借债以及债务结构的原因分析，日本的货币错配集中在国内政策失灵、金融部门和私人部门外汇资产变动两个影响维度，而对我国货币错配程度的分析集中在金融安全因素分析和与日本债权型货币错配现象的比较上。金砖国家中，结合巴西和俄罗斯的高通胀背景，货币错配分析主要集中在政策制定和债务结构两个方向，印度的货币错配集中在净外币资产的安全性分析。在此基础上测算了六个主要经济体的AECM指数，分析主要经济体不同时期货币错配的程度和相应的原因。 3.通过实证检验对六个主要经济体货币错配程度与外汇储备、汇率、汇率制度间的内在关系进行了实证研究。创新性的采用状态空间模型SSM模型进行影响机制分析。实证结果表明：所有主要经济体的货币错配程度受汇率变动影响最大，汇率变化对货币错配的影响是长期的。而对于汇率制度，由进行过汇率改革的几个国家的状态空间分析可以看到，汇率制度越往浮动化和自由化方向发展，越能有效减弱货币错配程度。对于外汇储备，可以看到外汇储备对于债权型货币错配国家的货币错配产生非常大程度的影响，由状态空间弹性分析看，外汇储备净值与货币错配存在较强的弹性关系，反映外汇储备额对货币错配影响较为显著。从金融安全的视角看，货币错配会影响经济发展，加剧金融风险积累，危害金融系统稳定性。本文从金融改革方面，我们应该从国内金融改革和国际货币体系合作两个维度进行改革，从汇率制度安排、外汇市场发展、外汇储备管理角度予以改进和优化，积极推进人民币国际化进程，增加我国在货币体系中的话语权和参与度。
[Abstract]:The currency mismatch phenomenon, refers to the time of the national or regional economy in the international economic and trade cooperation and capital transactions, assets and liabilities denominated in foreign currency exchange rate fluctuations are sensitive to the elasticity, which have not matched the value of assets and liabilities, which is called currency mismatch. The research of foreign scholars on the wrong currency with the phenomenon began in Latin American currency crisis and Asian financial crisis, researchers find that the crisis countries have a large number of foreign currency denominated debt, currency devaluation is serious international capital sniper after the existence of a large number of foreign debt, and its capital structure, currency devaluation will produce greater net loss, with the monetary policy and exchange rate the national policy of collective failure, real economic recession, financial security has been severely impacted. Since the new century, the expansion of foreign exchange reserves and asset liability mismatch. A reversal, the economy there is a risk of currency mismatch. The crisis experience can be seen, the currency mismatch phenomenon is a hidden risk in net losses at the same time, the conflict caused by macroeconomic policies, the impact of macroeconomic stability and financial security. At present, the global economic situation is looming, financial the environment is not optimistic, China's huge holdings of foreign exchange reserves, large net foreign assets is a very serious currency mismatch risk, and can effectively solve the problem of currency mismatch is related to the sustainable development of our country's economic and financial security.
The focus of attention among scholars in China's currency mismatch degree, rarely from the international economy comparison analysis perspective and financial factors and currency mismatches in the perspective of the relationship between international economic powers. In this paper, the existence of currency mismatch phenomenon as the research object, combined with the economy's economic strength and currency mismatch in selecting the targeted at South Korea, Japan, Brazil, Russia, India Chinese, the six major economies as the research sample, from the exchange rate, foreign exchange reserves, with the exchange rate system of three financial factors, using empirical models of relationship between financial factors and currency mismatch, to test results for the major economies the basis, puts forward corresponding countermeasures and suggestions, the specific content and structure includes the following parts:
1. this paper from the research background and significance of domestic and foreign research results were collected and sort of currency mismatch existed. Then it introduces the basic theory of currency mismatch, from concept analysis, measure model selected two perspectives, by comparing the establishment of index AECM model to be used in this paper. Finally, the theoretical analysis, focuses on the analysis of currency mismatch from the aspect of financial safety, the two dimensions of internal and external factors were analyzed.
Analysis of currency mismatches on body with 2. main economic situation. Combined with the national regional distribution and characteristics of the economic development, the economic background before and after taking six national currency mismatch phenomenon as the angle of view, respectively, analyzes the reasons and the degree of currency mismatch measure. In the analysis of excessive borrowing and causes the debt structure of the South Korean currency analysis the mismatch, the Japanese currency mismatch on failure policy at home, the financial sector and the private sector foreign assets changes in two dimensions, comparison and analysis of China's currency mismatch on financial safety factor analysis and monetary and credit mismatch phenomenon in Japan. BRIC countries, with Qualcomm the background of expansion in Brazil and Russia, currency mismatch analysis mainly focus on policy formulation and the debt structure of the two direction, India's currency mismatch in safety net foreign assets analysis. On this basis, the AECM index of six major economies was calculated, and the degree and the corresponding reasons for the mismatch of the main economies in different periods were analyzed.
3. through the empirical test of the six major economies, the degree of currency mismatch and foreign exchange reserves, exchange rate, relationship between the exchange rate system carries out an empirical study on the innovative use of state space model SSM model to analyze the influence mechanism. The empirical results show that all the major economies of the currency mismatch degree affected by exchange rate movements, effect of exchange rate changes on the currency mismatch is long. The exchange rate system, the state space of several countries of the exchange rate reform analysis can see, more to the floating exchange rate system and the freedom of the direction of development, more can effectively reduce the degree of currency mismatch. The foreign exchange reserves, can see the effect very much the foreign exchange reserves to currency mismatch currency mismatch, by state space elastic analysis, the net foreign exchange reserves and currency mismatch has strong anti elastic relations The amount of foreign exchange reserves has a significant impact on the mismatch of money.
From the perspective of financial security, currency mismatch will influence the development of the economy, exacerbating the financial risk accumulation, endanger the stability of the financial system. This article from the financial reform, we should start from the domestic financial reform the international monetary system and international cooperation in two dimensions for the reform of the exchange rate system arrangement, the development of the foreign exchange market, foreign exchange reserve management perspectives and improvement optimization, and actively promote the process of internationalization of the RMB, increase our right to speak in the monetary system and participation.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F821

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