经贸 金融 外文翻译 外文文献 英文文献 人民币汇率传递的不对称性对外商直接投资进出口业务的影响.doc

人民币汇率传递的不对称性对外商直接投资进出口业务的影响 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、引言自中国在2005年7月实施人民币汇率形成机制改革以来，人民币兑美元上升约5，人民币汇率波幅逐步扩大。与此同时,中国仍然呈现“双顺差”局面。据此,一些经济学家指出:实际有效汇率才是影响一国贸易收支的关键因素。因此上述局面形成的主要原因是人民币实际有效汇率在汇改后并未显著升值,货币当局应进一步关注人民币实际有效汇率的变动。他们认为货币当局应扩大人民币汇率的波幅,并预计其扩大将导致汇率在双边波动的情况下加速升值。也有一些学者则强调汇率对调节贸易收支的作用有限,认为应保持汇率的相对稳定,避免汇率大幅波动对中国进出口造成的冲击。对于如何选择最合适的汇率制度以促进发展，许多经济学家运用不同贸易的理论模型和经验来分析汇率波动的影响。库什曼（1983）认为，风险厌恶的厂商会选择降低他们的贸易量。doroodian（1999）和克鲁格曼（1989）强调汇率的波动性导致贸易中的风险增加，特别是当贸易商无法通过金融工具来避险或者避险成本过高的时候。另一派观点像sercu and vanhulle（1992），dellas and zilberfarb（1993）则认为汇率的波动性可能对贸易产生正面的影响。他们从期权定价的理论出发,认为未执行的贸易合同相当于期权,风险越大,收益越大。cote(1994)在一篇综述性文章中给出的结论认为:无论是从总量还是从双边贸易上看,大量的研究并不能给出汇率波动性同贸易之间明确的系统关系。有关人民币汇率对贸易的影响也是近年来的研究热点,但大多集中在考察汇率水平值对进出口总量和贸易收支的影响方面,考察其波动性对贸易影响的研究相对较少。少数有关人民币汇率波动性和进出口贸易之间的关系的文献都得出了人民币汇率波动性将对出口产生负面冲击的结果(chou, 2000;曹阳与李剑武, 2006)。李广众和voon(2004)关注了汇率波动性对制造业不同部门的影响,他们的研究表明汇率波动性对制造业中各细分行业出口的影响是不同的,并不都表现为负面冲击。基于对外商投资企业（外资企业）的行为，本文还试图从不同角度说明了人民币汇率波动和贸易流动的关系。有以下几个方面：首先，为吸引外商投资企业定向投资（fdi）和鼓励出口导向，近20年我国制定了一系列的宏观经济政策，使得外商投资企业在中国贸易发挥极其重要的作用，促进贸易的大量顺差。因此，研究汇率变动如何影响了他们的贸易是有必要的。其次，相对于中国的既定国有或民营企业，外商投资企业往往在国际金融市场上拥有更多处理风险的经验和市场地位。因此，很自然地想知道外商投资企业作为一个特殊群体是否有避免汇率风险的能力。第三，许多中国外商投资企业以加工贸易的方式，这些特征应该能处理是否会扭转外商投资企业贸易和汇率波动之间的关系的问题。二、汇率变动对外商投资企业的贸易影响的实证分析（1）进出口方程数据的处理及平稳性检验数据样本期间为1997年1季度到2006年3季度, x表示中国的实际出口额,用名义出口额除以出口价格指数(2000=100)计算得出; m表示中国的实际进口额,用名义进口额除以进口价格指数(2000=100)计算得出; y表示中国的实际收入,用实际gdp来进行衡量;yf表示中国主要贸易伙伴国的实际收入,是美国、日本、德国、荷兰、英国、韩国6国的以美元计的实际gdp加总后再乘以人民币对美元汇率得到的（2）分析人民币汇率变动和外商投资企业出口之间的关系由表 1检验结果可以看出，各变量的原值是i（1）过程，因此各变量单整阶数一致,可以使用engle-granger的两步法来判断变量间的长短期关系。检验结果如下：经adf检验表明各变量之间有一个长期平稳的协整关系。括号中的值为t统计量说明：表中的adf检验的最大滞后阶数为12, (n, nt, c)表示(滞后阶数,无趋势项,有截距)的检验形式, (n, nt, nc)表示(滞后阶数,无趋势项,无截距)的检验形式,其中的滞后阶数是根据sbc准则所确定的。*号表示5%的置信度下拒绝原假设。 方程（9）表明外商投资企业出口主要受实际收入水平拉动的影响。目前，中国开放的程度会影响外商投资企业出口积极。另一方面，人民币的升值对外商投资企业出口产生负面影响。结果证明，外国直接投资和外商投资企业有紧密积极的关系，这意味着，流入中国的外国直接投资中很大一部分是面向出口。罗德里克（2006）认为外商投资企业利用低成本的劳动力，土地和其他福利来实现我国政府提供的加工和出口基地中国的产业链。但是，外商投资企业输送货物的目的地主要是美国或欧洲，这些国家收入的增加对促进中国的外商投资企业出口作用日益显著。这解释了为什么中国随着美国和欧洲的经济在过去数年出口增长速度惊人。人民币升值将使中国出口产品价格更昂贵，这类产品的出口可能受到负面影响。特别是，人民币实际有效汇率变动不对称性对外商投资企业出口有负面影响，说明即使可能有外商投资企业更多的的优势和经验来处理汇率风险，但是面对人民币的汇率风险，他们还将改变他们的贸易金额。另一方面，它会通过对外国直接投资的人民币风险渠道对出口造成负面影响。在长期关系建立之后，基于协整理论和误差修正模型（ecm），进一步了解了短期关系。令ecm1,t = 1,t ,然后建立外商投资企业出口方程：令n = 4，用ols法估计方法，然后按照从一般到具体的方法得到最终结果（见表2）。表2显示了ln x 是由它滞后变化带来积极影响。改革开放以来，外国直接投资和实际有效汇率变化对于lnx积极方面，或者lnx 对lny的滞后影响是模糊的。人民币汇率变动的滞后系数的变化表明，负面效应并不突出。（3）分析人民币汇率变动与外商投资企业进口之间的关系同样，我用恩格尔，格兰杰方法来分析汇率的波动和外商投资企业进口的长期关系协整性。忽略对开放式变量和外国直接投资的未统计量的分析。变量有m, y, v ， 估计结果如下。括号中的值是t 统计量，其余的方程用adf检验来证明是不是平稳序列，这意味着变量之间有一个长期的协整关系检验。方程（11）表明，中国外商投资企业的进口是由中国国内生产总值的拉动的。中国的快速发展意味着生产力水平的提高和拥有吸引更多市场的进口机会。人民币升值会对中国的外商投资企业进口产生消极影响，它反映了人民币升值将影响许多出口导向型外商投资企业其最终利润产生负面影响。人民币汇率波动不对称性对外商投资企业的进口比出口影响的负面性更严重。也就意味着，外商投资企业加工贸易模式与我国内部和外部经济失衡的事实仍然普遍存在。由于我国需求不足，因此，输出依赖于世界市场。所以，他们对于一定程度的利润转化无动于衷。然后，在变量之间的基础上分析协整理论的短期关系。令ecm2,t = 2,t, 然后将外商投资企业误差修正模型导入。令n=4，并使用ols法估计函数，然后从一般遵循的方法得到最终结果（见表3）。表3指出ln m是由它自身滞后性而产生负面影响的。我国国内生产总值的变化将积极影响ln m，而实际有效汇率的滞后影响是不确定的。人民币汇率波动其滞后性表明它会给外商投资企业进口在短期内带来积极变化。这与对外商投资企业出口的负面影响不同。三、结论本文估计了人民币汇率的不对称性对外商投资企业出口和进口汇率波动的影响。衡量人民币实际有效汇率指数波动性的标准是运用tarch模型得出条件方差。然后，本文采用恩-格尔，格兰杰方法来探讨汇率波动和外商投资企业之间进出口的长期和短期关系。从长期来看，人民币汇率的汇率水平对外商投资企业出口和进口都会产生负面影响。人民币升值对外商投资企业出口的影响比进口更为严重。其原因可能与盛行的中国外商投资企业加工贸易形势有关。外商投资企业加工贸易的依赖于进口材料和重要零部件加工模式，然后处理它们在海外销售的最终市场。从短期来看，汇率波动对外商投资企业出口产生负面影响，除了对进口产生积极影响。我国的汇率水平对外商投资企业出口在短期内存在着积极影响，并且已经对外商投资企业进口产生作用。此外，外国直接投资和外商投资企业出口促进了长期和短期开放发展的作用。本文没有对协整研究变量之间的关系进行分析。总之，我国政府可能会逐渐减缓对扩大人民币汇率每日波动幅度，避免诱使陷入高风险的经济体系。并且，我国应采取措施改变贸易格局，采用更合理的方法来减少贸易盈余。 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 export 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 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. 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 suitable 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 the 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 zillberfarb (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 rate 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 rate 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 (fies), 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 encouraging 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 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 these 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 trade（1） data description and stability testthe dataset of this paper is from the period q /1997 to q3/2006. x is the real quarterly 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 rate 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 rmb 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 relationship 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 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 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 the 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. that 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 volatility 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 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 estimate 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 of 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 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 be 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 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 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 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 tab. 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 import 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 index 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