人民币汇率波动与中国对外直接投资:促进还是挤出
发布时间：2018-08-02 19:09
【摘要】：在转型经济中,汇率及其波动对一国对外直接投资(OFDI)的规模及效率将产生重要影响,但相互作用机制及作用结果并非相同。本文基于中国1994—2013年汇率波动及OFDI的时序变化特征,并考虑2005年汇率制度改革影响,构建VEC模型和脉冲响应函数,重点考察人民币实际有效汇率、汇率波动对中国OFDI的短期冲击和长期影响。结果发现,不论长期还是短期,汇率波动幅度增大对OFDI存在挤出效应。然而人民币汇率水平上升只在长期内对OFDI有促进作用,短期影响并不显著。同时,汇率变化对OFDI具有显著单向引导关系,广义脉冲响应函数也显示针对OFDI的冲击,人民币汇率反应微弱。
[Abstract]:In the transition economy, the exchange rate and its fluctuation will have an important impact on the scale and efficiency of a country's (OFDI), but the interaction mechanism and the results are not the same. Based on the time series characteristics of China's exchange rate fluctuation and OFDI from 1994 to 2013, and considering the influence of the exchange rate regime reform in 2005, this paper constructs the VEC model and impulse response function, and focuses on the real effective exchange rate of RMB. The short-term impact and long-term impact of exchange rate fluctuations on China's OFDI. The results show that the increase of exchange rate volatility has crowding out effect on OFDI in both long and short term. However, the rise of RMB exchange rate can only promote OFDI in the long run, but the short-term effect is not significant. At the same time, the change of exchange rate has a significant unidirectional guidance relationship to OFDI, and the generalized impulse response function also shows that the exchange rate response of RMB is weak.
【作者单位】： 中南财经政法大学工商管理学院、国际商务研究所;复旦大学经济学院;
【基金】：湖北省科技计划项目软科学面上项目“新制度环境下劳动力市场与创新型人才培养战略研究”(2016ADC105) 湖北省教育厅人文社会科学研究项目“新制度环境下的湖北对外直接投资区位选择影响研究”(15G020)的资助
【分类号】：F125;F832.6
[Abstract]:In the transition economy, the exchange rate and its fluctuation will have an important impact on the scale and efficiency of a country's (OFDI), but the interaction mechanism and the results are not the same. Based on the time series characteristics of China's exchange rate fluctuation and OFDI from 1994 to 2013, and considering the influence of the exchange rate regime reform in 2005, this paper constructs the VEC model and impulse response function, and focuses on the real effective exchange rate of RMB. The short-term impact and long-term impact of exchange rate fluctuations on China's OFDI. The results show that the increase of exchange rate volatility has crowding out effect on OFDI in both long and short term. However, the rise of RMB exchange rate can only promote OFDI in the long run, but the short-term effect is not significant. At the same time, the change of exchange rate has a significant unidirectional guidance relationship to OFDI, and the generalized impulse response function also shows that the exchange rate response of RMB is weak.
【作者单位】： 中南财经政法大学工商管理学院、国际商务研究所;复旦大学经济学院;
【基金】：湖北省科技计划项目软科学面上项目“新制度环境下劳动力市场与创新型人才培养战略研究”(2016ADC105) 湖北省教育厅人文社会科学研究项目“新制度环境下的湖北对外直接投资区位选择影响研究”(15G020)的资助
【分类号】：F125;F832.6
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