中国进出口贸易与FDI极端Granger因果关系  

The Extreme Granger Causality between China’s Total Export Import Value and FDI

作　　者：阮航 郑艺梅 裴博尊 王璐[1] RUAN Hang;ZHENG Yi-mei;PEI Bo-zun;WANG Lu(School of Mathematics,Southwest Jiaotong University,Chengdu 610000,China)

机构地区：[1]西南交通大学数学学院,四川成都610000

出　　处：《系统工程》2024年第2期130-140,共11页Systems Engineering

基　　金：国家自然科学基金项目(71902128,72071162,72271204);国家社科基金项目(22FJYB062);四川省哲学社会科学规划项目(SC22TJ06);西南交通大学学位与研究生教育教学改革项目(YJG5-2022-Y033);中央高校基本科研基金项目(2682020ZT98,2682022ZTPY063)。

摘　　要：考虑到我国进出口贸易在受到极端事件的影响后会出现显著改变,文章拓展了Granger因果关联分析检验,将1994—2021年我国的进出口总值和外商直接投资(FDI)的波动进一步分解为极端正波动、极端负波动和正常波动,探究极端情况下进出口总值与外商直接投资之间的因果关系。此外,为了探究进出口总值与外商直接投资因果关系的时变特性,本文将时域下的极端Granger因果检验拓展到频域,研究不同频率下的极端Granger因果关系。结果表明:进出口总值的剧烈波动在长期条件下会显著影响外商直接投资,投资者可以根据进出口贸易发展趋势调整决策机制;外商直接投资的负面冲击短期内会降低外商的投资信心,导致进出口贸易剧烈波动;从长远来看,外商资本的大量涌入会提高相关产品生产效率,推动进出口贸易发展,建议完善对外商投资企业的管理,扩大对外开放程度,激发外商投资活力。Considering that import and export value will fluctuate dramatically after being affected by extreme events, this paper divides total import and export value and foreign direct investment(FDI) data into extreme positive, extreme negative and normal shocks from 1994 to 2021. We expand the Granger-causality test method and further revisit the causality between China's total import and export value and FDI in extreme conditions. In addition, in order to explore the time-varying characteristics, this paper extends the extreme Granger causality test in the time domain to the frequency domain to employ the extreme causality between the total value of imports and exports and FDI under different frequencies. We discover that the drastic fluctuation of the total value of import and export will significantly affect FDI in the long run. Investors can adjust the decision-making mechanism according to the development trend of import and export trade. Furthermore, the negative impact of FDI will lower the confidence of foreign investors in the short term and lead to sharp volatilities of import and export trade. In the long run, the influx of foreign capital will improve the production efficiency of relevant products and promote the development of import and export trade. It is suggested to improve the management of foreign-invested enterprises, expand the degree of opening to the outside world and stimulate the vitality of foreign investment.

关 键 词：进出口贸易 外商直接投资 极端Granger因果检验 时域 频域 

分 类 号：F224[经济管理—国民经济]