资产组合配置和投资者异质性视域下汇率与资产价格的动态交互作用机制研究

In recent years, the process of opening-up of domestic financial markets and capital account liberalization has been accelerated in China. The issue that China’s authorities should concentrate on at present and in the future is how to prevent financial risks to transmit and spread among exchange rate market and domestic financial markets, thus to maintain the security and stability of its financial system. However, it is much difficult to handle this issue because of the complexity and variability of risk propagation. Therefore, understanding the transmission path and mechanism of risk propagation is a premise to make policies on preventing financial risks contagion. As foreign exchange market acts as a bridge which connects the domestic and international financial markets in open economies, financial risk contagion usually leads the exchange rate and domestic assets prices to fluctuate successively. Consequently, the transmission path and mechanism of risk propagation could be detected by investigating the correlation and the dynamic interactive relationships among exchange rate and domestic assets prices. Given the increasing complex international financial markets and China’s imperfect financial system, with the ultimate purpose of proposing policy suggestions to cope with the cross-market and cross-border propagation of financial risks for China’s regulators and policymakers, this project dissects the mechanism of dynamic interactions among exchange rate and assets prices from the perspective of assets portfolio and investors’ heterogeneity. In the light of the current situation and future trend of China’s economy and financial markets, this project is planned to do the research from both theoretical modeling and empirical study by a combination of global macro and microcosmic perspectives.

近年来，中国明显加快了国内金融市场对外开放和资本项目自由化的进程。如何防范金融风险跨市场、跨境传染和蔓延，保持中国金融体系的安全和稳定已成为中国监管层当前和未来需要重点关注的问题。防范金融风险跨市场、跨境传染和蔓延的前提是要明确风险传染的路径和机制。开放经济中外汇市场作为联系国内和国际金融市场的重要桥梁，风险传染和蔓延往往会引起汇率和国内资产价格的先后波动，汇率与国内资产价格的动态交互作用机制能够反映出金融风险传导的路径。在国际金融市场环境纷繁复杂，中国国内金融体系尚不健全的状况下，本项目将立足于中国经济金融发展的现状和未来趋势，基于全局性的宏观视角，从投资者资产组合配置和投资者异质性角度，采用理论建模和实证研究相结合的研究方法，对汇率与资产价格的动态交互作用机制展开剖析，力图为政府相关部门防范金融风险的传染和蔓延、促进外汇市场和国内市场的健康有序发展和金融稳定提供相应的政策参考。

近年来，我国明显加快了国内金融市场对外开放的节奏和步伐，金融开放程度显著提升，同时人民币汇率形成机制也不断完善。在新的形势下，如何防范金融风险跨市场、跨境传染和蔓延，保持我国金融体系的安全和稳定已成为监管层当前和未来需要重点关注的问题。防范金融风险跨市场、跨境传染和蔓延的前提是要明确风险传染的路径和机制。开放经济中外汇市场作为联系国内和国际金融市场的重要桥梁，风险传染和蔓延往往会引起汇率和国内资产价格的先后波动，汇率与国内资产价格的动态交互作用机制能够反映出金融风险传导的路径。在国际金融市场环境纷繁复杂，我国国内金融体系尚不健全的状况下，本项目立足于我国经济金融发展的现状和未来趋势，基于全局性的宏观视野，以异质性经济主体和资产组合配置的视角，采用理论建模和实证研究相结合的研究方法，对汇率与资产价格的动态交互作用机制展开剖析，在此基础上从宏观经济政策角度研究了如何将货币政策与宏观审慎政策相匹配，以提高金融市场稳定性和增加社会福利，破除汇率与资产价格的关联效应。理论研究结果表明在异质性经济主体的作用下汇率与资产价格会产生内生性的波动，且汇率与资产价格的内在关联具有时变特征，以股价和房价为例的数值模拟分析发现汇率与资产价格具有较强的正相关性。通过实证研究发现汇率与资产价格的关系异常复杂，利用对中国数据的检验和分析也并没有一般性结论，其中一个很重要的原因是样本区间、变量设定、模型设定不同都可能导致结论不一致。通过对美国数据的实证研究也未发现汇率与主要资产价格具有显著的互动关系。政策研究的结果显示货币政策应对房价波动作出响应，但不需要关注汇率和股价波动，采取对金融交易征税的措施可以缓解金融市场短期交易行为，抑制过度波动，提高金融市场稳定性，同时能够阻断汇率与资产价格的关联。