經(jīng)貿 金融 外文翻譯 外文文獻 英文文獻 人民幣匯率傳遞的不對稱性對外商直接投資進出口業(yè)務的影響

1、人民幣匯率傳遞的不對稱性對外商直接投資進出口業(yè)務的影響 GU Yu , The Analysis of RMB Real Exchange Rate Asymmetric Volatility Impact on Foreign-Invested Enterprises Export and Import in ChinaInternational Conference of Management Science and Engineering, 2007 : 1641 - 1647一、引言自中國在2005年7月實施人民幣匯率形成機制改革以來，人民幣兌美元上升約5，人民幣匯率波幅逐步擴大。與此

2、同時,中國仍然呈現(xiàn)“雙順差”局面。據(jù)此,一些經(jīng)濟學家指出:實際有效匯率才是影響一國貿易收支的關鍵因素。因此上述局面形成的主要原因是人民幣實際有效匯率在匯改后并未顯著升值,貨幣當局應進一步關注人民幣實際有效匯率的變動。他們認為貨幣當局應擴大人民幣匯率的波幅,并預計其擴大將導致匯率在雙邊波動的情況下加速升值。也有一些學者則強調匯率對調節(jié)貿易收支的作用有限,認為應保持匯率的相對穩(wěn)定,避免匯率大幅波動對中國進出口造成的沖擊。對于如何選擇最合適的匯率制度以促進發(fā)展，許多經(jīng)濟學家運用不同貿易的理論模型和經(jīng)驗來分析匯率波動的影響。庫什曼（1983）認為，風險厭惡的廠商會選擇降低他們的貿易量。Doroodia

3、n（1999）和克魯格曼（1989）強調匯率的波動性導致貿易中的風險增加，特別是當貿易商無法通過金融工具來避險或者避險成本過高的時候。另一派觀點像Sercu and Vanhulle（1992），Dellas and Zilberfarb（1993）則認為匯率的波動性可能對貿易產(chǎn)生正面的影響。他們從期權定價的理論出發(fā),認為未執(zhí)行的貿易合同相當于期權,風險越大,收益越大。Cote(1994)在一篇綜述性文章中給出的結論認為:無論是從總量還是從雙邊貿易上看,大量的研究并不能給出匯率波動性同貿易之間明確的系統(tǒng)關系。有關人民幣匯率對貿易的影響也是近年來的研究熱點,但大多集中在考察匯率水平值對進出口總量

4、和貿易收支的影響方面,考察其波動性對貿易影響的研究相對較少。少數(shù)有關人民幣匯率波動性和進出口貿易之間的關系的文獻都得出了人民幣匯率波動性將對出口產(chǎn)生負面沖擊的結果(Chou, 2000;曹陽與李劍武, 2006)。李廣眾和Voon(2004)關注了匯率波動性對制造業(yè)不同部門的影響,他們的研究表明匯率波動性對制造業(yè)中各細分行業(yè)出口的影響是不同的,并不都表現(xiàn)為負面沖擊?；趯ν馍掏顿Y企業(yè)（外資企業(yè)）的行為，本文還試圖從不同角度說明了人民幣匯率波動和貿易流動的關系。有以下幾個方面：首先，為吸引外商投資企業(yè)定向投資（FDI）和鼓勵出口導向，近20年我國制定了一系列的宏觀經(jīng)濟政策，使得外商投資企業(yè)在中國

5、貿易發(fā)揮極其重要的作用，促進貿易的大量順差。因此，研究匯率變動如何影響了他們的貿易是有必要的。其次，相對于中國的既定國有或民營企業(yè)，外商投資企業(yè)往往在國際金融市場上擁有更多處理風險的經(jīng)驗和市場地位。因此，很自然地想知道外商投資企業(yè)作為一個特殊群體是否有避免匯率風險的能力。第三，許多中國外商投資企業(yè)以加工貿易的方式，這些特征應該能處理是否會扭轉外商投資企業(yè)貿易和匯率波動之間的關系的問題。二、匯率變動對外商投資企業(yè)的貿易影響的實證分析（1）進出口方程數(shù)據(jù)的處理及平穩(wěn)性檢驗數(shù)據(jù)樣本期間為1997年1季度到2006年3季度, X表示中國的實際出口額,用名義出口額除以出口價格指數(shù)(2000=100)計算

6、得出; M表示中國的實際進口額,用名義進口額除以進口價格指數(shù)(2000=100)計算得出; Y表示中國的實際收入,用實際GDP來進行衡量;Yf表示中國主要貿易伙伴國的實際收入,是美國、日本、德國、荷蘭、英國、韓國6國的以美元計的實際GDP加總后再乘以人民幣對美元匯率得到的（2）分析人民幣匯率變動和外商投資企業(yè)出口之間的關系由表 1檢驗結果可以看出，各變量的原值是I（1）過程，因此各變量單整階數(shù)一致,可以使用Engle-Granger的兩步法來判斷變量間的長短期關系。檢驗結果如下：經(jīng)ADF檢驗表明各變量之間有一個長期平穩(wěn)的協(xié)整關系。括號中的值為t統(tǒng)計量說明：表中的ADF檢驗的最大滯后階數(shù)為12,

7、 (n, nt, c)表示(滯后階數(shù),無趨勢項,有截距)的檢驗形式, (n, nt, nc)表示(滯后階數(shù),無趨勢項,無截距)的檢驗形式,其中的滯后階數(shù)是根據(jù)SBC準則所確定的。*號表示5%的置信度下拒絕原假設。 方程（9）表明外商投資企業(yè)出口主要受實際收入水平拉動的影響。目前，中國開放的程度會影響外商投資企業(yè)出口積極。另一方面，人民幣的升值對外商投資企業(yè)出口產(chǎn)生負面影響。結果證明，外國直接投資和外商投資企業(yè)有緊密積極的關系，這意味著，流入中國的外國直接投資中很大一部分是面向出口。羅德里克（2006）認為外商投資企業(yè)利用低成本的勞動力，土地和其他福利來實現(xiàn)我國政府提供的加工和出口基地中國的產(chǎn)業(yè)

8、鏈。但是，外商投資企業(yè)輸送貨物的目的地主要是美國或歐洲，這些國家收入的增加對促進中國的外商投資企業(yè)出口作用日益顯著。這解釋了為什么中國隨著美國和歐洲的經(jīng)濟在過去數(shù)年出口增長速度驚人。人民幣升值將使中國出口產(chǎn)品價格更昂貴，這類產(chǎn)品的出口可能受到負面影響。特別是，人民幣實際有效匯率變動不對稱性對外商投資企業(yè)出口有負面影響，說明即使可能有外商投資企業(yè)更多的的優(yōu)勢和經(jīng)驗來處理匯率風險，但是面對人民幣的匯率風險，他們還將改變他們的貿易金額。另一方面，它會通過對外國直接投資的人民幣風險渠道對出口造成負面影響。在長期關系建立之后，基于協(xié)整理論和誤差修正模型（ECM），進一步了解了短期關系。令ecm1,t =

9、 1,t ,然后建立外商投資企業(yè)出口方程：令n = 4，用OLS法估計方法，然后按照從一般到具體的方法得到最終結果（見表2）。表2顯示了ln X 是由它滯后變化帶來積極影響。改革開放以來，外國直接投資和實際有效匯率變化對于lnX積極方面，或者lnX 對lnY的滯后影響是模糊的。人民幣匯率變動的滯后系數(shù)的變化表明，負面效應并不突出。（3）分析人民幣匯率變動與外商投資企業(yè)進口之間的關系同樣，我用恩格爾，格蘭杰方法來分析匯率的波動和外商投資企業(yè)進口的長期關系協(xié)整性。忽略對開放式變量和外國直接投資的未統(tǒng)計量的分析。變量有M, Y, V ， 估計結果如下。括號中的值是t 統(tǒng)計量，其余的方程用ADF檢驗來

10、證明是不是平穩(wěn)序列，這意味著變量之間有一個長期的協(xié)整關系檢驗。方程（11）表明，中國外商投資企業(yè)的進口是由中國國內生產(chǎn)總值的拉動的。中國的快速發(fā)展意味著生產(chǎn)力水平的提高和擁有吸引更多市場的進口機會。人民幣升值會對中國的外商投資企業(yè)進口產(chǎn)生消極影響，它反映了人民幣升值將影響許多出口導向型外商投資企業(yè)其最終利潤產(chǎn)生負面影響。人民幣匯率波動不對稱性對外商投資企業(yè)的進口比出口影響的負面性更嚴重。也就意味著，外商投資企業(yè)加工貿易模式與我國內部和外部經(jīng)濟失衡的事實仍然普遍存在。由于我國需求不足，因此，輸出依賴于世界市場。所以，他們對于一定程度的利潤轉化無動于衷。然后，在變量之間的基礎上分析協(xié)整理論的短期關

11、系。令ecm2,t = 2,t, 然后將外商投資企業(yè)誤差修正模型導入。令n=4，并使用OLS法估計函數(shù)，然后從一般遵循的方法得到最終結果（見表3）。表3指出ln M是由它自身滯后性而產(chǎn)生負面影響的。我國國內生產(chǎn)總值的變化將積極影響ln M，而實際有效匯率的滯后影響是不確定的。人民幣匯率波動其滯后性表明它會給外商投資企業(yè)進口在短期內帶來積極變化。這與對外商投資企業(yè)出口的負面影響不同。三、結論本文估計了人民幣匯率的不對稱性對外商投資企業(yè)出口和進口匯率波動的影響。衡量人民幣實際有效匯率指數(shù)波動性的標準是運用TARCH模型得出條件方差。然后，本文采用恩-格爾，格蘭杰方法來探討匯率波動和外商投資企業(yè)之間

12、進出口的長期和短期關系。從長期來看，人民幣匯率的匯率水平對外商投資企業(yè)出口和進口都會產(chǎn)生負面影響。人民幣升值對外商投資企業(yè)出口的影響比進口更為嚴重。其原因可能與盛行的中國外商投資企業(yè)加工貿易形勢有關。外商投資企業(yè)加工貿易的依賴于進口材料和重要零部件加工模式，然后處理它們在海外銷售的最終市場。從短期來看，匯率波動對外商投資企業(yè)出口產(chǎn)生負面影響，除了對進口產(chǎn)生積極影響。我國的匯率水平對外商投資企業(yè)出口在短期內存在著積極影響，并且已經(jīng)對外商投資企業(yè)進口產(chǎn)生作用。此外，外國直接投資和外商投資企業(yè)出口促進了長期和短期開放發(fā)展的作用。本文沒有對協(xié)整研究變量之間的關系進行分析。總之，我國政府可能會逐漸減緩對

13、擴大人民幣匯率每日波動幅度，避免誘使陷入高風險的經(jīng)濟體系。并且，我國應采取措施改變貿易格局，采用更合理的方法來減少貿易盈余。 The Analysis of RMB Real Exchange Rate Asymmetric Volatility Impact on Foreign-Invested Enterprises Export and Import in China GU Yu , The Analysis of RMB Real Exchange Rate Asymmetric Volatility Impact on Foreign-Invested Enterprises Ex

14、port and Import in ChinaInternational Conference of Management Science and Engineering, 2007 : 1641 - 16471 IntroductionSince Chinese government launched the RMB exchange rate forming mechanism reform in July, 2005,the RMB against dollar appreciates about 5% until now, and the flexibility of RMB is

15、gradually enlarged. At the same time, China witnesses the surplus of current account and capital account, the so-called double surplus. Under this circumstance, some economists advise the government to enlarge the daily range of RMB exchange rate fluctuation and quicken the pace of RMB appreciation.

16、 On the other hand, some scholars argued that enlarging the RMB daily floating range will make RMB appreciate so rapidly under the prevalent expectation of appreciation that it will impact negatively Chinese export, employment and social stability finally.As the key issue on choosing the best suitab

17、le exchange rate system to boost the development, many economists study how the exchange rate volatility impact trade theoretically and empirically, with different theoretical models and empirical conclusions. Cushman(1983) argues that risk-verse trader would low their trading volumes facing with th

18、e exchange rate risk. Doroodian (1999) and Krugman (1989) emphasized exchange rate risk is detrimental to trade especially when the traders can not be accessible to the hedging tools or the hedging cost is too high . On the other hand, some scholars, such as Sercu and Vanhulle (1992), Dellas and Zil

19、lberfarb (1993) suggest exchange rate volatility may stimulate trade flows based on the hypothesis that the trade contract could be treated as an option, which means more risk can induce more profit. Cote (1994) concludes that the empirical literature can not give explicit relationship of exchange r

20、ate volatility and trade volumes.For the past several years the RMB is a hot issue because of the trade surplus and vast reserves, many scholars illustrate the effects of the fluctuation of RMB exchange rate on trade volumes, employment and growth in China, but a few relating to the RMB exchange rat

21、e volatility. Chou (2000) give the conclusion RMB exchange rate volatility has negative impact on trade. Li and Voon (2004) analyze the exchange rate misalignment and volatility impact on different sector export of manufacturing industry.By focusing on the behavior of Foreign-Invested Enterprises (F

22、IEs), this paper also tries to illustrate the relationship of RMB exchange rate volatility and trade flows from a different angle. The reasons for focusing on FIEs are as follows. Firstly, because of the two decades macroeconomic policies of attracting Foreign Directed Investment (FDI) and encouragi

23、ng export-oriented FIEs, the FIEs play a very important role in Chinese trade and contribute lots of trade surplus. So it will be necessary to study how the exchange rate affects their trade. Secondly ,the FIEs tend to have superior market status in international market, more experience dealing with

24、 risks, more access to the world financial markets, compared with the stated-owned or private enterprises in China. So it is natural to ask whether the FIEs can avoid the exchange risk as a special group. Thirdly, many Chinese FIEs take the processing trade pattern, it should be dealt with whether t

25、hese characteristics of FIEs will twist the relationship between FIEs trade and exchange rate volatility. 2. The empirical analysis of exchange rate volatility impact on FIEs tradeData description and stability testThe dataset of this paper is from the period Q /1997 to Q3/2006. X is the real quarte

26、rly export amount of Chinese FIEs, deflated by the price index for Chinese export(2000=100), multiplied by RMB nominal exchange rate against dollar; M is the real quarterly import amount of Chinese FIEs, deflated by the price index for Chinese import (2000=100), multiplied by RMB nominal exchange ra

27、te against dollar; Y is Chinese real national income, measured as Chinese nominal GDP deflated by GDP deflator (2000=100);Yf is Chinese main trading partners national income in RMB, measured as the sum of their nominal GDP deflated by their own GDP deflators (2000=100), then multiplied by average RM

28、B nominal exchange rate against dollar, which including US, Japan, Germany, UK, Korea, Holland.（2）Testing the relationship between exchange rate volatility and FIEs exportAs the Tab. 1 indicates, all the variables are I(1) process, so I can use the Engle-Granger methods to analyze the long-run relat

29、ionship between the variables based on the function (3). The estimated result is as follows. The residual of equation is proved to be stationary series tested by the ADF test, which means the variables has a long-run co-integration relationship. T-statistics are in parentheses.The biggest lag length

30、 is 12 in the ADF test. (n, nt, c) means (lag length, no trend, with intercept), (n,nt,nc) means (lag length, no trend, no intercept). The lag length is decided by the SBC criteria.Equation (9) indicates that Chinese FIEs export is pulled by the income of trading partners income and inflow FDI. The

31、openness degree of China can impact FIEs export positively. On the other hand, the appreciation of RMB impacts FIEs export negatively.The result prove that FDI and FIEs has tight and positive relationship, which means that large share of inflow FDI in China is export-oriented. Rodrik (2006) argues t

32、he FIEs utilize the low cost workforce, land and other benefits Chinese government offers and treat China as the processing and export base of their industrial chain. But the destination of FIEs goods is mainly US or Europe, whose national income increase can boost Chinas FIEs export dramatically. T

33、hat explains why China witness amazing export growth rate along with the recovery of US and Europe economy for the past several years. Because the appreciation of RMB will make Chinese export goods more expensive, the export of those goods might be affected negatively.Especially, the asymmetric vola

34、tility of RMB real effective exchange rate impacts FIEs export negatively, which proves that even FIEs might have more advantages and experience to deal with the exchange rate risk, the risk of RMB will make their change their trade amount. Another cause of negative impact by the RMB risk on export

35、flow is through the channel of RMB risk on FDI.After the long-run relationship is established, I further find out the short-run relationship based on the co-integration theory and Error-Correction Model (ECM).Let ecm1,t = 1,t, then set up the ECM of FIEs export:Let n=4 and use the OLS method to esti

36、mate the function, then follow from general to specific methods to get the final results (see Tab. 2).Table 2 shows that ln X is positively affected by its lagged change. The change of Open, FDI and reer will affect ln X positively, the impact of lagged ln Y on ln X is ambiguous. The lagged change o

37、f RMB exchange rate volatility shows the negative coefficient, even not prominent in statistics.（3）Testing the relationship volatility and FIEs import between exchange rate Similarly, I use the Engle-Granger method to find out the long-run co-integration relationship between exchange rate volatility

38、 and FIEs import.Because of the variable of Open and FDI are not prominent in statistics, so I eliminate these two variables in the analysis. The co-integration vector includes M ,Y ,reer V . The estimated result is as follows. T-statistics are in parentheses. The residual of equation is proved to b

39、e stationary series tested by the ADF test, which means the variables has a long-run co-integration relationship.Equation (11) indicates that Chinese FIEs import is pulled by Chinese GDP. The fast development of China means the improved production level and more market opportunities in China, which

40、inducing more import. The appreciation of RMB would have negative effect on Chinese FIEs import, which reflects the RMB appreciation will affect their final profits of many export-oriented FIEs.The asymmetric volatility of RMB exchange rate impacts FIEs import negatively and more severely than FIEs

41、export. It could be still explained by the facts of prevalent processing trade pattern of FIEs and the imbalance of Chinese inner and external economy. The demand of China is insufficient, so the output rely on the world market. So they are irresponsive to the change of profit to some degree.Then I

42、investigate the short-run relationship based on the co-integration theory between the variables.Let ecm2,t = 2,t, then set up the Error-Correction model of FIEs import:Let n=4 and use the OLS method to estimate the function, then follow from general to specific methods toget the final results (see T

43、ab. 3).Tab. 3 shows that l n M is negatively affected by its lagged change. The change of Chinese GDP will affect A in M positively, the impact of lagged l n reer on l n M is ambiguous. The lagged change of RMB exchange rate volatility has the positive coefficient, indicating it will impact FIEs imp

44、ort positively in short run., which is different with the negative effect on FIEs export.三. ConclusionThis paper estimates the impact of asymmetric RMB exchange rate volatility on the FIEs export and import. The volatility is measured by the conditional variance of RMB real effective exchange rate i

45、ndex from a TARCH model. Then, this paper uses the Engle-Granger methods to investigate the long-run and short-run relationship between exchange rate volatility and FIEs export and import.The empirical analysis finds out that the volatility of RMB exchange rate will impact FIEs export and import negatively in the long