Share This Article:

Valuation Channel and Losses of Chinese External Wealth

Abstract Full-Text HTML Download Download as PDF (Size:243KB) PP. 21-25
DOI: 10.4236/ib.2013.53B005    3,076 Downloads   3,839 Views  

ABSTRACT

Based on the intertemporal theoretical framework of Gourinchas and Rey ( 2005), using Vector Error Correction Model and time-varying Space State Model, the paper estimates the return and factors of China’s net foreign assets. The results show that significant negative valuation effects in the change of net foreign assets and its sub-category, “risk assets”, especially at short and medium horizons. The fluctuation of assets prices arising from international financial crisis and appreciation of RMB contribute to the losses of external wealth, implying much wealth outflow to other economies.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

Z. Liao, J. Zhang and B. Li, "Valuation Channel and Losses of Chinese External Wealth," iBusiness, Vol. 5 No. 3B, 2013, pp. 21-25. doi: 10.4236/ib.2013.53B005.

References

[1] L. B. Smaghi, “Global Imbalances and Monetary Policy,”Journal of Policy Modeling, Vol. 29, No. 5, 2007, pp. 711-727.doi:10.1016/j.jpolmod.2007.06.008
[2] P. Lane and G. M. Milesi-Ferretti, “The External Wealth of Nations: Measures of Foreign Assets and Liabilities for Industrial and Developing Countries,” Journal of International Economics, Vol. 55, No. 2, 2001, pp. 263-294. doi:10.1016/S0022-1996(01)00102-7
[3] P. Lane and G. M. Milesi-Ferretti, “Where did all the Borrowing Go? A Forensic Analysis of the U.S. External Position,” J. Japanese Int. Economies, Vol. 23, 2009, pp. 177-199.
[4] P. Th. Konstan, “Adjustment of US External Imbalances: At what horizon?” Economics Letters, Vol. 106, No. 3, 2010, pp. 166 -168.
[5] Gourinchas, Pierre-oliver and H. Rey, “International Financial Adjustment,” NBER Working Paper, 2005.
[6] IMF, “Globalization and External Imbalance,” World Economic Outlook, 2005.
[7] P. Lane and G. M. Milesi-Ferretti, “A global Perspective on External Positions,” In: Clarida, R. (Ed.), G7 Current Account Imbalances: Sustainability and Adjustment. The University of Chicago Press, Chicago, 2007, pp. 67-98. doi:10.7208/chicago/9780226107288.003.0003
[8] P. Lane and G. M. Milesi-Ferretti, “The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004,”Journal of International Economics, Vol. 73, No. 2, 2007, pp. 223-250. doi:10.1016/j.jinteco.2007.02.003
[9] P. Lane and G. M. Milesi-Ferretti, “External Wealth, the Trade Balance, and the Real Exchange Rate,” European Economic Review, Vol. 46, No. 6, 2002, pp. 1049-1071. doi:10.1016/S0014-2921(02)00160-5

  
comments powered by Disqus

Copyright © 2019 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.