外文翻譯---資本流入新興市場(chǎng)土耳其

1、<p>　　本科畢業(yè)論文外文翻譯</p><p>　　外文題目：Capital Flows to an Emerging Market in Turkey </p><p>　　出 處：International Advances in Economic Research, 2003, Volume 9, Number 3,

2、Pages 189-195 </p><p>　　作 者：Saziye Gazioglu </p><p><b>　　原文：</b></p><p>　　Capital Flows to an Eme

3、rging Market in Turkey</p><p><b>　　Abstract</b></p><p>　　Increased gIobalization in financial markets implies that the percentage of all shares under foreign ownership in domestic st

4、ock markets has been rising. Speculative attacks on the foreign exchange market in February 2001 led to deep economic crisis in Turkey.This article will explore various indicators of the financial crisis in Turkey based

5、on a macro-model. The foreign share of the domestic economy is a key variable to establish the degree of vulnerability during a financial crisis. An empiri</p><p>　　Introduction</p><p>　　Much wo

6、rk has been done in the area of financial crisis. Johnson et al. [2000] created a vulnerability matrix using sets of criteria including macro indicators. Other theories of crisis include speculative attacks [ Krugman et

7、al. 1979], and self-fulfilling hypotheses [Obstfelt,1995]. Other works include fundamentals, the second generations model moral hazard,and self-fulfilling expectations models on liquidity. Krugman [1996], Kaminsky [1998]

8、, and Kaminsky and Schumukler [1999] referred to thes</p><p>　　The arguments in this paper are based on a theoretical model that is different from others.The author argues that probability of future volatili

9、ty is closely related to the percentage of shares under foreign ownership in the domestic stock market and the volatility of stock market prices.</p><p>　　This paper is ordered as follows: section two presen

10、ts a summary of the model. Section three is an investigation into foreign share ownership on the Istanbul Stock Exchange and the forth section is a report on the empirical results. Section five concludes.</p><

11、p>　　Theoretical Model</p><p>　　The model is based on Gazioglu [2001] and Gazioglu and McCausland [2001; 2002], with a profit maximizing firm and a representative domestic consumer maximizing time separabl

12、e utility functions IObstfeld and Rogoff, 1995; Ramse~% 1928]. Following Obstfeld and Rogoff [1995], the stock market constraint is as follows:</p><p>　　VdXd=XdVd+XdDd</p><p>　　Equation (1) stat

13、es 1 that a change in the proportion (Xd) of the value of domestic firms 2 that domestic individuals own (that is, shares: the value of domestic claims to the total future profits of domestic firms, Vd), XdVd, is equal t

14、o the domestic proportion of the change in the stock market valuation of these shares, XdVd plus their proportion of dividends, XdVd.</p><p>　　The balance of payments constraint is:</p><p>　　H=∏

15、-T+H(1+ê/e)(1+Rf)</p><p>　　The aggregate constraint of the stock market and net accumulation of foreign assets, -H,can only be accumulated by running a trade surplus, where H is the foreign owned share

16、of domestic dividends minus the domestic owned share of foreign dividends and H=∏-T+H(1+ê/e)(1+Rf) is any capital gain from holding foreign money in terms of foreign goods (a simple representation can be found in Ga

17、zioglu [1996], where external balance is also equal to internal balance):</p><p>　　In essence, therefore, the right hand side of the constraint represents net domestic income (factor earmngs, net interest fr

18、om asset holdings, and return on shares) minus consumption (private and investment), reflected by the saving (net wealth accumulation) on the left hand side. It is the combination of the stock market constraint, followin

19、g Obstfeld and Rogoff [1995] and Net International Debt [Gazioglu and McCausland, 2000; 2001; 2002]. If the percentage of shares under foreign ownership in </p><p>　　The dynamics of the whole system may be s

20、ummarized 3 in matrix form by:</p><p>　　where the signs of the elements of the matrix are, from the discussion above: EE＞0，EH＜0，EV＞0 and EK＜0；HE＜0，HH＜0，HV＜0 and HK＞0；VE＜0，VH＞0，VV＜0，and VK＞0。The dynamic model

21、 is now complete and empirical analysis will follow in the next section. The model has two stable equilibria and one unstable equilibrium. Gaziogln and McCausland [2000; 2001; 2002] show that having a high percentage of

22、shares under foreign ownership has an asymmetrical effect on exchange rate and on international indebtedness duri</p><p>　　Foreign Share in Istanbul Stock Market (ISM)</p><p>　　One of the main a

23、ims of this paper is to argue that the percentage of shares under foreign ownership in any domestic stock market is a key indicator of vulnerability in the domestic stock market. The theoretical macro-model includes the

24、dynamics of this important indicator. As a case study in Turkey, data from the Istanbul Stock Market (ISM) is used. It is worth noting that liberal foreign exchange policies have applied since 1989, so foreign investors

25、are free to buy and sell in the ISM, as muc</p><p>　　Foreign portfolio investment in the Istanbut Stock Market (ISM or IMKB) increased from $33,654 million in 1996 to $83,069 million in 1999 and to $111,157

26、million in 2000. Since 1996, the level of foreign investment has been growing very rapidly. Furthermore, the percentage of shares owned by foreign investors is around 50 percent of the total market. This is quite high. N

27、o figures were available for foreign portfolio investment levels before 1995.</p><p>　　Structured VAR Approach</p><p>　　The daily data is extracted from the International Monetary Fund (IMF) dat

28、a stream for the period 01/01/1990 - 11/26/1999. Other stock market data is taken from Istanbul Stock Market publications. Real exchange rates, stock market prices, and international debt variables are used in order to r

29、elate it to the theory. This theory shows the possibility of unstable equilibrium when the share of foreign investment in the economy is high. A Structural VAR model was adopted as it overcomes the identifi</p>&l

30、t;p>　　Stationarity and Co-integration Tests</p><p>　　The stationarity of all variables is tested. The data was divided into sub-periods using Romers’ Narrative VAR Approach. The whole period (from 01/01/9

31、0 - 11/26/99) and the crisis period (from 11/26/95 - 11/26/99) were investigated separately. The Augmented Dickey Fuller (ADF) tests with and without a linear trend for the data in levels and first differences are report

32、ed in Table 1. The hypothesis of unit root cannot be rejected for two of the variables. Both real exchange rate (EXCCP) and stock</p><p><b>　　TABLE 1</b></p><p>　　Augmented Dickey-Fu

33、ller (ADF) Test</p><p>　　Critical values (no trend) for 1 percent, 5 percent and 10 percent are -3.436, -2.863, and-2.568 respectively. Critical values with trend for 1 percent (***), 5 percent (**), and 10

34、percent (*) are -3.97, -3.116, and -3.13 respectively.</p><p>　　The long-term relationships derived from macroeconomic theory are based on production, consumption, interest parity and external balances. The

35、Johanson estimation was used with the assumption of quadratic deterministic trends in the data. Eigen values of the variables are the following with 20 lags 4 (one month).</p><p>　　Tables 1 and 2 report on E

36、igen value tests for sample periods (one from 01/01/90 -11/26/1999 and another from 10/26/1995 - 11/26/1999). The resultshshow that the rank of the co-integrating vector is at most two. This implies that there are two co

37、-integrating vectors and one stochastic trend. The author reports the two co-integrating vectors in normalized form. Since the three variables do not have a co-integrating relationship, the disturbances are not stationar

38、y.</p><p>　　Possibility of instability has been established in the theoretical section. Here we have the empirical results, which can indicate instability. This can be done by coefficients of the normalized

39、co-integrating vectors, which are greater than unity. For the entire sample period the effect of capital outflows on the real exchange rate change is a 12 percent increase, implying depreciating Turkish currency against

40、the dollar, as in Table 1. A 42 percent rise in stock market prices for a unit increa</p><p><b>　　譯文：</b></p><p>　　資本流入新興市場(chǎng)土耳其</p><p>　　摘要：金融市場(chǎng)全球化的發(fā)展意味著，在國(guó)內(nèi)股市外資持股占所有股份的比

41、例一直在上升。在2001年2月投機(jī)性攻擊對(duì)深土耳其的外匯市場(chǎng)造成了嚴(yán)重的經(jīng)濟(jì)危機(jī)。本文將在宏觀經(jīng)濟(jì)模型的基礎(chǔ)上探討在土耳其各項(xiàng)金融危機(jī)時(shí)的指標(biāo)。國(guó)內(nèi)經(jīng)濟(jì)的外資股是一個(gè)關(guān)鍵變量，建立在金融危機(jī)期間穩(wěn)定程度的脆弱性上。一個(gè)實(shí)證調(diào)查顯示，在伊斯坦布爾證券交易所（ISE）的外國(guó)人擁有股份的百分比自1995年以來(lái)不斷上升，目前約占總數(shù)的百分之五十。此外，股票的市場(chǎng)價(jià)格總指數(shù)子1995年以來(lái)到1999年處在了最高水平。這意味著，股票市場(chǎng)的股價(jià)指數(shù)是

42、另一個(gè)迫使金融危機(jī)發(fā)生的強(qiáng)勁指標(biāo)。在理論模型的基礎(chǔ)上土耳其經(jīng)過(guò)數(shù)據(jù)的實(shí)證調(diào)查，提出了研究結(jié)論。即一個(gè)意外的資本流出肯定會(huì)導(dǎo)致匯率的波動(dòng)，國(guó)際收支問(wèn)題，以及國(guó)際債務(wù)危機(jī)。熱錢(qián)流入會(huì)推動(dòng)股票價(jià)格和實(shí)際匯率的提高。不過(guò)，短期逗留的資本意味著資本可能會(huì)突然外流導(dǎo)致造成金融危機(jī)，國(guó)際債務(wù)危機(jī)的結(jié)果。這反過(guò)來(lái)又導(dǎo)致要在從國(guó)際貨幣基金（IMF）貸款進(jìn)一步增加。相對(duì)來(lái)說(shuō)處于高位股票市場(chǎng)價(jià)格可能會(huì)暗示著一個(gè)迫近的金融危機(jī)。使用土耳其股票市場(chǎng)價(jià)格的數(shù)據(jù)，一

43、個(gè)迫近的金融危機(jī)能夠被預(yù)測(cè)。</p><p><b>　　1.簡(jiǎn)介</b></p><p>　　在金融危機(jī)的地區(qū)人們已經(jīng)做了許多工研究，包括約翰遜等人。 他們（2000）利用宏觀經(jīng)濟(jì)指標(biāo)創(chuàng)建了自回歸模型。其他危機(jī)理論</p><p>　　危機(jī)包括外部事件沖擊[克魯格曼等人.，1979]，內(nèi)部變量的假設(shè)[Obstfelt，1995]。其他研究還包

44、括二元回國(guó)模型，和自身流動(dòng)性引起的內(nèi)部變量模型。克魯格曼[1996]，Kaminsky[1998]，和Kaminsky與Schumukler[1999]被稱(chēng)為影響到所有國(guó)家的共同因素。經(jīng)驗(yàn)表明短期資本的流入是在追求快速的收益進(jìn)行并包括或包括在匯率市場(chǎng)的投機(jī)活動(dòng)。其結(jié)果是越來(lái)越多國(guó)際債務(wù)和國(guó)民財(cái)富可能在一夜之間減少一半，如2001年發(fā)生在土耳其的危機(jī)。大多數(shù)的分析是在資本的大規(guī)模流動(dòng)因素上分析股市的金融危機(jī)，就如國(guó)際債務(wù)和財(cái)富存量減少的金

45、融危機(jī)。近期Borensztein （2000） 和 Lane Milesi-Ferretti （2000）通過(guò)國(guó)際貨幣基金組織文件強(qiáng)調(diào)其實(shí)際中的匯率和債務(wù)相聯(lián)系理論的重要性。長(zhǎng)期不穩(wěn)定運(yùn)行的可能性是建立在對(duì)我們的理論模型的平衡通常是在忽略這些而研究的（而可能是作為這里給出）。</p><p>　　本文堅(jiān)持的觀點(diǎn)是，國(guó)內(nèi)股票市場(chǎng)股價(jià)未來(lái)的價(jià)格波動(dòng)的可能性大小是密切與外資持股比例相關(guān)的。</p>&l

46、t;p>　　本文結(jié)構(gòu)如下：第二部分介紹了該模型的摘要。第三部分是介紹將伊斯坦布爾證券交易所外資股所有權(quán)占得比例。和第四部分是關(guān)于調(diào)查研究結(jié)果的報(bào)告。第五節(jié)是總結(jié)。</p><p><b>　　2、理論模型</b></p><p>　　該模型是基于Gazioglu[2001]和Gazioglu和麥考斯蘭[2001，2002]的企業(yè)利潤(rùn)最大化和具有代表性的國(guó)內(nèi)消費(fèi)時(shí)

47、間可分離的效用函數(shù)最大化函數(shù)（Obstfeld和Rogoff，1995; Ramsey，1928）。還有（Obstfeld和Rogoff[1995]，股市約束如下：</p><p>　　VdXd=XdVd+XdDd</p><p>　　方程（1）國(guó)1，一個(gè)在國(guó)內(nèi)企業(yè)的比重變化國(guó)內(nèi)個(gè)人自己的（即股份：國(guó)內(nèi)聲稱(chēng)國(guó)內(nèi)企業(yè)未來(lái)的利潤(rùn)總額，價(jià)值是等于在這些股票的估值變化的國(guó)內(nèi)股市的比例，加上他們的分

48、紅比例。國(guó)際收支平衡的約束是：</p><p>　　H=∏-T+H(1+ê/e)(1+Rf)</p><p>　　股票的市場(chǎng)總額的限制和國(guó)外凈資產(chǎn)凈積累是：H-h，，能通過(guò)貿(mào)易順差計(jì)算出積累，其中H是外商擁有的國(guó)內(nèi)每股紅利和國(guó)外擁有的紅利即H=∏-T+H(1+ê/e)(1+Rf)，就是任何從持有外國(guó)短期貨幣的資本增益（被Gazioglu 1996發(fā)現(xiàn)的一個(gè)具有代表性的簡(jiǎn)

49、單案例），外部的平衡都要通過(guò)國(guó)內(nèi)的平衡來(lái)解決。</p><p>　　從本質(zhì)上講，所以該等式的右邊代表國(guó)內(nèi)收入凈額（收益因素，持有資產(chǎn)凈利息，以及股票回報(bào)）減去消費(fèi)（私人和投資），等式左邊代表了儲(chǔ)蓄（凈財(cái)富的積累）。它是市場(chǎng)約束的股票組合，以下是Obstfeld和Rogoff（1995）和凈國(guó)際債務(wù)（Gazioglu和麥考斯蘭，2000，2001，200）。如果根據(jù)股份比例，國(guó)內(nèi)股市外國(guó)投資比例的上升，國(guó)內(nèi)經(jīng)濟(jì)增長(zhǎng)

50、是外債的增多，這類(lèi)似于出售家當(dāng)?，F(xiàn)在看來(lái)，國(guó)內(nèi)經(jīng)濟(jì)對(duì)的外國(guó)投資在股市上的水平是非常敏感的。外國(guó)投資者的持股的比例是如何直接關(guān)系沖擊國(guó)內(nèi)市場(chǎng)的。外國(guó)投資者擁有國(guó)內(nèi)股市股票的比例越大，國(guó)內(nèi)經(jīng)濟(jì)越具有脆弱性。亞洲危機(jī)可以被認(rèn)為是這一類(lèi)。其他新興金融市場(chǎng)相似的同樣因此而脆弱，同樣得，在國(guó)內(nèi)市場(chǎng)的所有權(quán)外國(guó)的持股比例。</p><p>　　整個(gè)系統(tǒng)可能是動(dòng)態(tài)矩陣形式，總結(jié)如下：</p><p>　　

51、以上討論矩陣元素的具體代表符號(hào)：EE＞0，EH＜0，EV＞0和EK＜0；HE＜0，HH＜0，HV＜0和HK＞0；VE＜0，VH＞0，VV＜0，和VK＞0。這個(gè)動(dòng)態(tài)模型以下部分現(xiàn)在是完全和以分析為依據(jù)的。該模型有兩個(gè)穩(wěn)定的平衡點(diǎn)和一個(gè)不穩(wěn)定的平衡點(diǎn)。Gaziogln和麥考斯蘭（2000；2001；2002）表明，在外國(guó)擁有高比例的股票所有權(quán)在資本流入和流出時(shí)對(duì)匯率和國(guó)際債務(wù)的效果不對(duì)稱(chēng)。不穩(wěn)定的平衡是一個(gè)國(guó)家長(zhǎng)期習(xí)慣通過(guò)借入外債來(lái)平衡收支

52、平衡所形成的。</p><p>　　實(shí)證研究使用實(shí)際匯率，實(shí)際股市動(dòng)態(tài)變量指數(shù)和外資流入量。Ghosh[2000]只用實(shí)際匯率和實(shí)際股市指數(shù)來(lái)找出因果關(guān)系的方向。在因果關(guān)系檢驗(yàn)表明，該變量的順序如下是：資本流動(dòng)（FORNFLP），股市指數(shù)（STOCKP），以及實(shí)際匯率（EXCCPI）。</p><p>　　3、伊斯坦布爾股市的外資</p><p>　　本文件的主要目

53、的之一是認(rèn)為，外國(guó)持有股份比例在任何一個(gè)國(guó)家的國(guó)內(nèi)股市都是一個(gè)國(guó)內(nèi)股票市場(chǎng)的脆弱性關(guān)鍵指標(biāo)。理論宏觀模型包括這一重要指標(biāo)的動(dòng)態(tài)。在以土耳其作為的案例研究中，來(lái)自伊斯坦布爾股票市場(chǎng)（ISM）的數(shù)據(jù)被使用。這是值得指出的是在自1989年起實(shí)施的開(kāi)放外匯政策下，導(dǎo)致外國(guó)投資者盡可能按自己的意愿自由購(gòu)買(mǎi)和出售在伊斯坦布爾股票市場(chǎng)。</p><p>　　外商在伊斯坦布爾股票市場(chǎng)（ISM或IMKB）的有價(jià)證券投資增加從199

54、6年的33654百萬(wàn)美元增加到1999年的83069百萬(wàn)美元和2000年的111157百萬(wàn)美元。自1996年以來(lái)，外國(guó)的投資速率已經(jīng)增長(zhǎng)十分迅速。此外，該國(guó)外國(guó)投資者擁有股份的總數(shù)的百分之50左右的市場(chǎng)份額。這是相當(dāng)高。現(xiàn)在沒(méi)有指標(biāo)能達(dá)到外國(guó)證券投資在1995年以前的水平。</p><p><b>　　4、VAR結(jié)構(gòu)方法</b></p><p>　　每日數(shù)據(jù)是采集自國(guó)

55、際貨幣基金組織（IMF）資料來(lái)自1999年1月1號(hào)到1999年11月26號(hào)。其他股票市場(chǎng)的數(shù)據(jù)采集自伊斯坦布爾股票市場(chǎng)的公布。實(shí)際外匯匯率、股價(jià)指數(shù)、和國(guó)際債務(wù)變量使用，以涉及到理論。這個(gè)理論說(shuō)明的可能性不穩(wěn)定平衡的時(shí)候，外國(guó)投資在經(jīng)濟(jì)中所占的份額很高。這個(gè)結(jié)構(gòu)VAR模型，讓它去克服了VAR模型的識(shí)別問(wèn)題估計(jì)。筆者的貢獻(xiàn)是用計(jì)量經(jīng)濟(jì)去分析宏觀經(jīng)濟(jì)模型。</p><p>　　5、平穩(wěn)性和協(xié)整檢驗(yàn)</p>

56、<p>　　對(duì)所有變量的平穩(wěn)性進(jìn)行測(cè)試。這些數(shù)據(jù)被分時(shí)段使用Romers講訴的VAR方法。在整個(gè)期間（從01/01/90-11/26/99）和危機(jī)期間（從11/26/95-11/26/99）分別進(jìn)行了調(diào)查。增加ADF的試驗(yàn)和表1不在不同一層次，第一個(gè)數(shù)據(jù)的線(xiàn)性趨勢(shì)報(bào)告。對(duì)單位根的假設(shè)不能被拒絕的兩個(gè)變量。不管是真實(shí)匯率（EXCCP）和股票市值（STOCKP）是被其趨勢(shì)所拒絕。但是，實(shí)際匯率（EXCCPI）及實(shí)質(zhì)股票市場(chǎng)收益

57、與趨勢(shì)變量（STOCKP）都沒(méi)有無(wú)論是全部和最終期限百分之信心。對(duì)外國(guó)資本的流入（FORNFLP），協(xié)議假設(shè)為空，甚至自信區(qū)間的百分之一個(gè)單位根被拒絕。請(qǐng)注意，F(xiàn)ORNFLP是債務(wù)（DDEBT）第一個(gè)區(qū)別。其中一點(diǎn)需要采取與第一個(gè)數(shù)據(jù)的區(qū)別（EXCCPI）和（STOCKP），以便使所有數(shù)據(jù)系列是平穩(wěn)的。</p><p><b>　　表1</b></p><p><

58、;b>　　ADF檢驗(yàn)測(cè)試</b></p><p>　　參照值無(wú)趨勢(shì)的1%、5%和10%的自信區(qū)間的值分別是-3.436，-2.863，和-2.568。參照值有趨勢(shì)的1%、5%和10%的自信區(qū)間的值分別是-3.97，-3.116，和-3.13。</p><p>　　長(zhǎng)期來(lái)看從宏觀經(jīng)濟(jì)理論推導(dǎo)出的關(guān)系是基于生產(chǎn)，消費(fèi)，利率平價(jià)和外部平衡。Johanson 估計(jì)的使用假設(shè)的進(jìn)行

59、二次數(shù)據(jù)來(lái)判定趨勢(shì)。特征值的變量是20以下滯后的（一個(gè)月）。</p><p>　　表1和2個(gè)采樣周期為特征值測(cè)試報(bào)告（一從01/01/90-1999年11月26日，從95年10月26日另一個(gè) -1999年11月26日）。該結(jié)果顯示協(xié)整檢驗(yàn)的變量最多只有兩個(gè)。這意味著有兩個(gè)協(xié)整變量和一個(gè)隨機(jī)趨勢(shì)。作者報(bào)告將兩個(gè)協(xié)整變量共同納入正規(guī)的形式。即使三個(gè)變量沒(méi)有協(xié)整關(guān)系，但也不會(huì)存在干擾。不穩(wěn)定的可能性已被確立為了理論部分

60、。在這里，我們有的實(shí)證結(jié)果可以說(shuō)明這種不穩(wěn)定。這里能通過(guò)協(xié)整檢驗(yàn)來(lái)進(jìn)行分析，看那些是一致的。期間整個(gè)樣本的資本外流對(duì)實(shí)際匯率的變動(dòng)的影響是增加了百分之十二，這意味著土耳其對(duì)美元貶值的貨幣，如表1。一個(gè)股票的市場(chǎng)價(jià)格百分之42的資本流入增加也可以被觀測(cè)到。在1995-99的危機(jī)期間，資本流入每增加一個(gè)百分點(diǎn)，導(dǎo)致實(shí)際匯率（或防止進(jìn)一步貶值）升值百分之44，在股市的價(jià)格（見(jiàn)表2）增加123個(gè)百分點(diǎn)。股市的高估可能被解釋為一個(gè)即將到來(lái)的未來(lái)匯