Financial Reforms and the US Role in the Mechanism of Asset Prices: Based on TVP-VAR Model

本文以时变系数向量自回归(TVP-VAR)模型作为实证方法,紧密联系各国(地区)在资本账户开放、汇率制度以及货币政策制定等方面金融体制改革的历程和特点,研究美国股市收益率对12个国家(地区)股市收益率的影响、美元币值走势对15种货币兑美元汇率的影响以及美元利率对15个国家利率的影响。结果表明,一国资本账户开放水平越高、开放时间越早,其股票市场受美国股市的影响就越大;一国(地区)所实行的汇率制度是该国货币兑美元汇率受美元币值走势影响程度大小的决定因素;一国的利率受美国利率变动的影响程度大小与该国的资本账户开放度、所实行的汇率制度以及在经济周期方面与美国的一致性程度密切相关。随着我国不断深化金融体制改革,美国市场对我国股价、人民币利率和汇率走势的影响将逐步加大。This paper uses TVP- VAR model to empirically study the effects of the movements of US equity returns on the equity returns of 12 stock markets,the effects of the movements of the value of US dollar on the exchange rates of 15 currencies,and the effects of the movements of US interest rates on the interest rates of 15 economies. By emphasizing on the crucial roles of capital account liberalization and other financial reforms on exchange rate regime and monetary policy- making rules,this study demonstrates that,first,the more or the earlier an economy opens its capital account,the more its stock market will be affected by US stock market; second,the exchange rate regime an economy chooses plays a decisive role on the effects of the movements of the value of the US dollar on the exchange rate of corresponding currency; third,the effects of the US interest rate movements on the interest rate of an economy are closely linked with three factors including the level of its capital account openness,the exchange rate regime an economy chooses,and the similarity between US and the economy in terms of business cycle. fourth,as China deepens its financial reforms,the US financial markets will have much more significant effects on China' s stock price as well as RMB interest rate and exchange rate