汇率冲击对全要素生产率的影响研究  

Study on the Impact of Exchange Rate Shocks on Total Factor Productivity

作　　者：孙小英 王立勇[2] 刘一鸣 Sun Xiaoying;Wang Liyong;Liu Yiming(School of Economics and Management,Jiangsu College of Tourism,Yangzhou 225127,China;School of International Trade and Economics,Central University of Finance and Economics,Beijing102206,China)

机构地区：[1]江苏旅游职业学院经济管理学院,江苏扬州225127 [2]中央财经大学国际经济与贸易学院,北京102206

出　　处：《数量经济研究》2022年第1期151-167,共17页The Journal of Quantitative Economics

基　　金：国家社会科学基金重大项目“新常态下完善我国宏观调控目标体系与宏观调控机制研究”(15ZDA009);国家自然科学基金项目“财政政策波动性测度、影响机理、决定因素与政策含义”(71473280)的联合资助。

摘　　要：本文基于1984~2019年36个国家的面板数据,研究汇率冲击对全要素生产率的影响,并分析汇率均值冲击与汇率波动性冲击对全要素生产率的影响差异。结果表明:汇率的均值冲击会给全要素生产率带来正向影响;汇率的波动性冲击会给全要素生产率带来负向影响。随后,本文进一步将样本分为发达国家组与发展中国家组,通过分组回归发现汇率均值冲击对两类国家的全要素生产率均产生正向影响;但汇率波动性冲击对两类国家的全要素生产率有不同的影响效果:汇率波动性冲击对发达国家有正向影响,而对发展中国家有负向影响。Based on the panel data of thirty-six Countries from 1984 to 2019,this paper studies the impact of exchange rate shock on total factor productivity,and analysis the difference between the exchange rate mean shock and exchange rate volatility shock on total factor productivity.The results show that the mean shock of exchange rate will have a positive effect on total factor productivity,and the volatility shock of exchange rate will have a negative impact on total factor productivity.Subsequently,this paper further divides the sample into developed countries and developing countries groups,and finds through group regression that exchange rate mean shock has a positive effect on the overall factor production rate of both types of countries,but exchange rate volatility shock has different effects on the total factor productivity of both countries:exchange rate volatility shock has a positive impact on developed countries and negative impact on developing countries.

关 键 词：汇率冲击 全要素生产率 汇率均值 汇率波动性 

分 类 号：F11[经济管理—国际贸易]