国际贸易结构对国际资产价格的影响研究:基于地缘冲突风险的视角  

Research on the Impact of International Trade Structure on International Asset Prices:Based on the Perspective of Geo-Conflict Risk

作　　者：刘昌阳 汪勇 尹玉刚[1] 王高义[1] Liu Changyang;Wang Yong;Yin Yugang;Wang Gaoyi

机构地区：[1]西南财经大学证券与期货学院

出　　处：《世界经济研究》2020年第10期45-62,M0003,共19页World Economy Studies

基　　金：国家自然科学基金项目“用国际贸易投资流量模式预测地缘风险与资产价格”(项目编号:71373214)的阶段性成果;国家自然科学基金项目(项目编号:71874145;71903154)的资助。

摘　　要：结合国际贸易秩序服务于国际政治秩序核心国家相关理论,文章分析和实证了国际贸易结构中反映的地缘冲突风险对国际风险资产价格的影响。文章利用国际贸易流量构造"秩序距离"这一指标来描述一国对秩序核心国的偏离程度后,研究发现,一国与秩序核心国之间秩序距离的变动模式对其未来卷入地缘冲突的概率具有显著的解释力,即国际贸易结构中暗含了未来地缘冲突发生概率的信息。而基于上述地缘冲突预测模型测度的地缘冲突风险对国际风险资产未来收益具有显著的预测性:地缘冲突风险越高的国家和地区,其货币市场、债券市场和股票市场在未来都具有更高的收益。文章为联系国际贸易与金融两个市场提供了新的视角,同时也对中国资本全球配置的优化具有参考意义。Combined with the theory that the international trade order serves the core countries of the international political order,this paper analyzes and empirically demonstrates the impact of geopolitical conflict risk,which is reflected in the international trade structure,on the prices of international risk assets.After constructing a measure called"order distance"to describe the degree of deviation of a country from the core country of order in terms of international trade flow,this paper finds that the pattern of the order distance between a country and the core countries of order is strongly significant to find the probability of its future involvement in geo-conflict,which indicates that the information on the probability of future geo-conflicts is implicit in the international trade structure.The geopolitical conflict risk measured based on previous prediction model is significantly predictive of future returns of international risk assets.Countries and regions with higher risk in geopolitical conflict risk will have higher return in currency markets,bond markets and stock markets.This study provides a new perspective for linking international trade market and international finance market,and also has high reference value for the optimization of the global allocation of Chinese capital.

关 键 词：国际贸易 国际资产价格 国际关系 地缘冲突风险 

分 类 号：D81[政治法律—国际关系] F742[政治法律—政治学] F113[政治法律—外交学]