金融调整渠道下人民币汇率波动的传递效应研究  

Study on Pass-through Effect of RMB Exchange Rate Fluctuation under Financial Adjustment Channel

作　　者：许建伟 刘琨 Xu Jianwei;Liu Kun

机构地区：[1]福建工程学院科技创新政策研究中心 [2]福州大学经济与管理学院

出　　处：《世界经济研究》2021年第9期25-36,M0002,共13页World Economy Studies

基　　金：福建省社会科学规划应用研究项目“‘一带一路’倡议下海外华商网络对中国OFDI风险的影响机制研究”(项目编号:FJ2019C053);福建省科技厅创新战略研究项目“海外华商网络对福建省OFDI区位选择的影响机制研究”(项目编号:2020R0082);2020年福建省本科高校教育教学改革重大研究项目“基于区域经济发展的应用型硕士研究生培养供给侧改革研究”(项目编号:FBJG2020042);国家社会科学基金后期资助一般项目“中国外部经济失衡的金融调整研究”(项目编号:19FJYB040)的资助。

摘　　要：随着中国双向直接投资存量规模的扩大,人民币汇率波动通过金融调整渠道对中国经济产生的传递效应日益显著,金融调整渠道逐渐成为贸易调整渠道之外又一条重要的汇率传递通道。文章通过开放宏观经济模型分析发现,汇率波动通过金融调整渠道对中国经济增长产生的传递效应主要受到投资开放程度、投资替代弹性和投资偏好等相关因素的影响。进一步,文章利用2003~2019年月度数据构建单变量自回归分布滞后模型(ARDL)实证研究发现,汇率波动通过金融调整渠道对经济增长的影响较通过贸易调整渠道对经济增长的影响更加复杂,除表现为传递的不完全性与滞后性外,汇率波动分别通过基于FDI和OFDI资产的金融调整渠道对经济增长的影响在即期和存续期还呈现出相互抵消态势。研究结论不仅有效拓宽了汇率传递理论,并对优化中国涉外经济政策以及推动开放型经济新体制的构建具有现实价值。With the expansion of China’s two-way direct investment stock in recent years,the pass-through effect of RMB exchange rate fluctuation on China’s economy through financial adjustment channel is becoming significant increasingly.Financial adjustment channel has gradually become another important exchange rate pass-through channel besides trade adjustment channel.Through the analysis of the open macroeconomic model,we find that the pass-through effect of exchange rate fluctuations on domestic economic growth through financial adjustment channels is mainly affected by the degree of investment openness,investment substitution elasticity,investment preference and other related factors.Furthermore,we use the monthly data of 2003~2019 to construct the empirical model of single variable auto-regressive distributed lag model(ARDL),and find that the impact of exchange rate fluctuation on economic growth through financial adjustment channel is more complex than that through the trade adjustment channel.In addition to the incompleteness and hysteresis of pass-through,the impact of exchange rate fluctuations on economic growth through the financial adjustment channels based on FDI and OFDI assets respectively has be shown as a trend of mutual offset in the current period and the duration.The conclusion of this study not only effectively broadens the exchange rate transmission theory,but also has some practical value for optimizing China’s foreign-related economic policies and promoting the construction of a new open economic system.

关 键 词：汇率传递效应 金融调整渠道 经济增长 投资开放 直接投资 

分 类 号：F832.6[经济管理—金融学]