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A Theoretical and Empirical Study on the Valuation Effects of the External Adjustment

外部调整估值效应的理论与实证研究

基本信息

批准号：
22530309
负责人：
IWAMOTO Takekazu
金额：
$ 2.08万
依托单位：
Kyoto University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2010
资助国家：
日本
起止时间：
2010 至 2012
项目状态：
已结题

项目摘要

A prominent feature of international monetary evolution over the past two decades is that: (i) cross-border asset trade as two-way trade has expand explosively; (ii) gross financial inflows and outflows have increased even more dramatically; (iii) gross stocks of external asset and liability have ballooned to unprecedented levels. These new stylized facts are most evident for the high-income industrial countries. As a result, recent studies of external imbalances and their adjustment have put emphasis on the analysis of gross flows and stocks rather than net flows (current account).In the last few years, several studies have been made on the valuation effects derived from the ballooning of the international investment position (IIP) as the external balance sheet. For example, the past study of external adjustment focused on the traditional ‘trade channel’ that was the influence of the exchange rate movements on the current account (CA) adjustment. The recent study , however, begins to pay attention to the changes in a country’s net foreign asset position through the additional ‘valuation channel’ of external adjustment, namely capital gains and losses on the country’s external assets and liabilities.The purpose of this study is to analyze the IIP structure and the external return differentials in Japan and US from 1995 to 2010 and to show the asymmetry of the valuation effects between these two countries. Our concern is to consider some suggestions for Japan facing the similar CA structure as the US (the decrease of trade balance and increase of income balance) and still having the different IIP structure from the US.

近二十年来国际货币演变的一个突出特点是：一是双向贸易形式的跨境资产贸易呈爆炸式增长；㈡金融流入和流出总额的增加更加显着； (iii) 对外资产和负债的总存量激增至前所未有的水平。这些新的典型事实对于高收入工业国家来说最为明显。因此，近年来关于外部失衡及其调整的研究更多地侧重于对总流量和存量的分析，而不是对净流量（经常项目）的分析。近几年来，对于作为外部资产负债表的国际投资头寸（IIP）膨胀所产生的估值效应进行了一些研究。例如，过去对外部调整的研究主要集中在传统的“贸易渠道”上，即汇率变动对经常账户（CA）调整的影响。然而，最近的研究开始通过额外的外部调整“估值渠道”来关注一国净外国资产头寸的变化，即该国对外资产和负债的资本利得和损失。本研究的目的是分析日本和美国1995年至2010年的国际投资头寸结构和外部回报差异，揭示两国之间估值效应的不对称性。我们关心的是考虑为日本提供一些建议，因为日本面临与美国类似的CA结构（贸易差额减少和收入差额增加），但仍具有与美国不同的IIP结构。