货币政策外生冲击与国际直接投资流动  

Monetary Policy Shock and Foreign Direct Investment

作　　者：田素华[1] 谢智勇 Tian Suhua;Xie Zhiyong(School of Economics,Fudan University)

机构地区：[1]复旦大学经济学院

出　　处：《经济科学》2023年第1期63-83,共21页Economic Science

基　　金：国家社会科学基金重大项目“中国IFDI与OFDI互动发展的内在机制与经济学解释”(项目编号:16ZDA043);国家自然科学基金面上项目“全球价值链分工下中国OFDI与IFDI的互动机制与经济影响研究”(项目编号:71572048)的阶段性研究成果。

摘　　要：本文基于企业跨国生产决策行为,通过构建动态一般均衡模型,分析了汇率内生变化条件下货币政策冲击对国际直接投资流动的影响。根据1980—2018年国别面板数据构建的PVAR模型和根据中国数据构建的VAR模型的研究显示:第一,汇率渠道是货币政策影响国际直接投资流动的关键机制,东道国扩张性的货币政策冲击会通过影响其货币对外贬值进而促进国际直接投资流入。第二,汇率制度和资本账户管制是影响货币政策的国际直接投资流动效应的重要因素,固定汇率制度和资本账户管制降低了货币政策对国际直接投资流动的影响。汇率制度作用于货币政策冲击对汇率变动的影响,资本账户管制作用于汇率变动对国际直接投资流动的影响。第三,中国货币政策冲击对国际直接投资流入的影响幅度更大,国际直接投资投入对中国货币政策冲击的反应速度更快且持续时间更长,货币政策变化是解释中国国际直接投资流入变动的重要因素。This paper constructs a dynamic general equilibrium model based on enterprises’ cross-national production decisions, to theoretically analyze the impact of monetary policy shocks on foreign direct investments(FDI) inflows under endogenous exchange rate fluctuations. The panel vector autoregressive(PVAR) model and the vector autoregressive(VAR) model are constructed based on country-specific panel data from 1980 to 2018 and data of China, respectively. Our findings are as follows.(1) The exchange rate is a key channel for the transmission mechanism of monetary policy to FDI inflows. Expansionary monetary policies of host countries promote FDI inflows through exchange rate depreciation.(2) Exchange rate regime and capital account control are the key factors affecting the FDI inflows of monetary policy. Fixed exchange rate regime and capital account control reduce the impact of monetary policy on FDI inflows. The exchange rate regime mainly affects the impact of monetary policy impact on exchange rate fluctuations, while the capital account control mainly affects the impact of exchange rate fluctuations on FDI inflows.(3) The impact of China’s monetary policy on the FDI inflows is larger, and the latter respond to the former faster with a longer duration. Different from other countries, the change of monetary policy is the core factor explaining the change of China’s FDI inflows.

关 键 词：货币政策 国际直接投资 汇率机制 面板向量自回归(PVAR)模型 

分 类 号：F11-0[经济管理—国际贸易]