货币、资产价格变动对估值效应的影响研究——来自金砖国家数据的实证分析  

The Impact of Money and Assets Price Change On Valuations Effect——Evidences From Brics Countries

作　　者：陈瑞[1,2] 曾英[1] 王景乐[3,2] 黄映红[1] 

机构地区：[1]对外经济贸易大学金融学院 [2]美国普渡大学统计系 [3]对外经济贸易大学统计学院

出　　处：《价格理论与实践》2017年第1期110-113,共4页Price:Theory & Practice

基　　金：中央高校基本科研业务费专项资金(14QN07)资助

摘　　要：本文选取金砖国家相关数据,构建基于汇率、资产收益率等变量的面板VAR模型,实证考察并比较货币、资产价格波动对估值效应的不同影响程度及其重要性。结果表明:资产收益率对估值效应的影响大于汇率,两者各约占44.99%、1.48%,且资产收益率的影响更持久,降低了前期估值效应的影响;估值效应波动受自身影响占53.95%,其本质是"存量估值",且在短、中期有效果。这为估值效应波动管理提供了一定的启示。This paper construct a theoretical model where exchange rate, return on assets impact valuation effect. Based on the panel data from Brics countries during 2005-2013, our findings show that return on assets on the fluctuation of valuation effects is mere efficient and durable than exchange rate fluctuation, the influence of both accounts for about 44.99% and 1.48%. Valuation effect of fluctua- tions mainly comes from its own, accounting for about 53.95%, which essence is ＂stock valuation＂ and obvious in the short, medium time. These conclusions are valuable for managing valuation effect.

关 键 词：金砖国家 估值效应 汇率 资产收益率 

分 类 号：F831.6[经济管理—金融学] F112F821