股票回报与中国经常项目差额波动研究——基于跨时最优现值模型  

Study on the Stock Return and Fluctuations of China's Current Account Balance Based on Intertemporal-optimized Present Value Model

作　　者：周亚军[1] 

机构地区：[1]中央财经大学金融学院,北京100081

出　　处：《广东商学院学报》2012年第6期4-11,共8页Journal of Guangdong University of Business Studies

基　　金：教育部人文社会科学研究项目(10YJA790240)

摘　　要：对经常项目的跨时最优现值模型进行扩展,将中国特定的股票回报变量包含进扩展模型进行实证检验,结果表明:扩展模型与中国经常项目动态路径相拟合,有较强的功效。中国股票回报的上升只是增加了居民的当前收入而不是永久收入,居民对于未来股票回报的预期较为悲观,从而增加储蓄导致经常项目盈余。加强资本市场制度建设、建立保护中小投资者的制度和机制、转变居民对于股票回报的预期,是调整中国经常项目差额波动的有效途径。This paper extends the intertemporal-optimized present value model, integrates the China-spe- cific stock return variable into the extended model, and uses standardized testing methods to conduct an em- pirical test. The test results show that the extended intertemporal-optimized present value model has a strong efficacy to fit the dynamic path of China＇s current account. The rise of China＇s stock returns only increases the current income of the residents rather than their permanent income, leading to the residents＇ more pessi- mistic expeetations for future stock returns, which result in the residents＇ increase of savings and the current account surplus. Therefore, to strengthen the capital market system construction, to establish the system and mechanism of protecting small investors, and to change the residents＇ stock return expectations are effective ways to adjust China＇s current account balance.

关 键 词：经常项目 差额波动 股票回报 跨时最优现值模型 

分 类 号：F224[经济管理—国民经济] F832.51