后ECFA时代两岸金融与两岸贸易、投资的关系——基于VAR-VEC模型的实证分析  

The Relationship between Finance and Trade and Investment across the Straits in the Post-ECFA Era——An Empirical Analysis of VAR and VEC Models

作　　者：胡文骏[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《台湾研究集刊》2015年第2期54-66,共13页Taiwan Research Journal

摘　　要：本文选取ECFA签订之后2009年7月至2014年4月两岸金融、贸易、投资的月度数据,利用VAR-VEC模型分析了两岸金融与两岸贸易、投资之间的相互影响。结果显示:(1)在长期,两岸金融与两岸贸易、投资之间存在稳定的相互作用关系;(2)在短期,两岸金融对两岸贸易、投资产生了显著影响,但两岸贸易、投资只能部分地影响两岸金融;(3)两岸汇率表现出一定的系统外生性,但其波动能影响两岸金融、贸易、投资。这表明,两岸金融对两岸贸易、投资的促进作用已经较为显著,但是两岸贸易、投资对两岸金融的促进作用还不明显。换言之,两岸贸易、投资对两岸金融本应发挥的作用还没有完全发挥出来,这意味着两岸金融合作在未来还有很大的发展潜力。Based on the monthly data collected from the cross-Strait finance, trade and investment from July, 2009 to A- pril, 2014 since the signing of ECFA, this paper makes a detailed analysis of the interaction between the cross-Strait finance and trade and investment by using Vector Auto-Regression （VAR） model and Vector Error Correction （VEC） model. The findings indicate that in the long term, there exist the stable relations of interaction between finance and trade and investment, and that in the short term, the cross-Strait finance can exert significant influence on the cross-Strait trade ＆ investment while the trade and investment can only partly affect the finance. On the other hand, the exchange rate between RMB and NTD tends, to some extent, to be exogenous in these economic systems, but its fluctuation can affect the finance, trade and invest- ment. All these show that the finance has played a positive role in the promotion of the trade and investment whereas the roles of the latter on the former are not quite obvious, which means that the roles the trade and investment should have played in ad- vancing the finance have not been brought into full play. This suggests that there is great potential for development in the cross- Strait financial cooperation in the future.

关 键 词：两岸金融 两岸贸易 两岸投资 VAR VEC 

分 类 号：F127[经济管理—世界经济]