欧洲量化宽松政策对中国企业出口影响——一个汇率网状溢出效应视角
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摘要
本文首次构建了欧洲量化宽松政策的汇率溢出效应对我国微观企业出口行为影响的理论模型,运用面板固定效应模型有效检验了欧洲量化宽松政策汇率溢出效应对我国微观企业出口行为的影响。研究结果表明:(1)从总体效果来看,欧洲量化宽松政策的汇率溢出效应促进了我国企业出口额和出口量的增长;(2)我国企业对出现升值反应的国家出口额(量)增加使我国企业对出现贬值反应的国家出口额(量)缩减;(3)我国企业对相对人民币升值的国家出口额(量)增加,对相对人民币贬值的国家出口额(量)缩减;(4)一般贸易在汇率溢出效应的影响下,出口额和出口量增长幅度最大,而加工贸易企业的出口行为受到的影响最小;(5)汇率溢出效应对外资企业和民营企业的出口积极影响最大,国有出口企业受到的影响最小。
We develop a theoretical model of European quantitative easing policy impact on Chinese export through the perspective of exchange rate spillover effects for the first time. We also test the exchange rate spillover effects on exporters in China with the panel fixed effect model. Our results show that,firstly,the spillover effects stimulate the export value and volume of Chinese firms on the whole. Secondly,it turns out that when firms export to a destination country which appreciates under the influence of European quantitative easing policy,the export value and volume will be improved,and the results are opposite for the countries depreciate.Thirdly,we find that the export value and volume improved when we export to the countries appreciate relative to China,and vice versa for the counterpart. Furthermore,our results show that the ordinary trade will be affected most compared to the processing trade. The impacts of exchange rate spillover effect on state-owned-enterprises are limited,while foreign-owned-enterprises will benefit most from European quantitative easing policy.
We develop a theoretical model of European quantitative easing policy impact on Chinese export through the perspective of exchange rate spillover effects for the first time. We also test the exchange rate spillover effects on exporters in China with the panel fixed effect model. Our results show that,firstly,the spillover effects stimulate the export value and volume of Chinese firms on the whole. Secondly,it turns out that when firms export to a destination country which appreciates under the influence of European quantitative easing policy,the export value and volume will be improved,and the results are opposite for the countries depreciate.Thirdly,we find that the export value and volume improved when we export to the countries appreciate relative to China,and vice versa for the counterpart. Furthermore,our results show that the ordinary trade will be affected most compared to the processing trade. The impacts of exchange rate spillover effect on state-owned-enterprises are limited,while foreign-owned-enterprises will benefit most from European quantitative easing policy.
引文
[1]陈磊和侯鹏,2011,《量化宽松,流动性溢出与新兴市场通货膨胀》,《财经科学》第10期,第48~56页。
[2]戴觅、徐建炜和施炳展,2013,《人民币汇率冲击与制造业就业——来自企业数据的经验证据》,《管理世界》第11期,第14~27页。
[3]刘克崮和翟晨曦,2011,《调整五大战略,应对美量化宽松政策》,《管理世界》第4期,第1~5页。
[4]刘澜飚和文艺,2014,《美国量化宽松货币政策退出对亚太经济体的影响》,《南开学报》第2期,第142~150页。
[5]徐建伟和余明,2003,《人民币有效汇率的波动及其对中国经济增长的影响》,《世界经济》第11期,第21~34页。
[6]李宏彬、马弘、熊艳艳和徐嫄,2011,《人民币汇率对企业进出口贸易的影响——来自中国企业的实证研究》,《金融研究》第2期,第1~16页。
[7]孙浦阳、张靖佳和高恺琳,2016,《量化宽松政策对于企业出口价格的影响研究——基于微观数据的理论与实证研究》,《管理世界》第11期,第53~64页。
[8]苏治、尹力博和方彤,2015,《量化宽松与国际大宗商品市场:溢出性,非对称性和长记忆性》,《金融研究》第3期,第68~82页。
[9]许家云、佟家栋和毛其淋,2015,《人民币汇率变动,产品排序与多产品企业的出口行为——以中国制造业企业为例》,《管理世界》第2期,第17~31页。
[10]张会清和唐海燕,2012,《人民币升值,企业行为与出口贸易——基于大样本企业数据的实证研究:2005~2009》,《管理世界》第12期,第23~34页。
[11]赵然和苏治,2012,《升值预期真的驱动国际游资流入中国了吗——基于四重套利和边限协整模型的新证据》,《金融研究》第6期,第95~109页。
[12]Ahmed,S.,2009,“Are Chinese Exports Sensitive to Changes in the Exchange Rate?”Federal Reserve Discussion Papers No.987.
[13]Aziz,J.and X.Li,2007,“China's Changing Trade Elasticities,”IMF Working Papers 07/266.
[14]Berman,N.,Martin,P.,and Mayer,T.,2012,“How Do Different Exporters React To Exchange Rate Changes?”Quarterly Journal of Economics,127(1),pp.437~492.
[15]Bernanke B.S.,2010,“Rebalancing the Global Recovery,”Sixth European Central Bank Central Banking Conference Paper.
[16]Bowman,D.,J.M.Londono,and H.Sapriza,2014,“U.S.Unconventional Monetary Policy and Transmission to Emerging Market Economies,”International Finance Discussion Papers 1109,Board of Governors of the Federal Reserve System(U.S.).
[17]Bauer,M.and Neely,C.,2013,“International Channels of the Fed's Unconventional Monetary Policy,”Federal Reserve Bank of San Francisco Working Paper.
[18]Bauer,M.and Rudebusch,G.,2013,“The Shadow Rate,Taylor Rules,and Monetary Policy Lift-off,”Federal Reserve Bank of San Francisco Working Paper No.2012~12.
[19]Chen Q.,A.Filardo,D.He,and F.Zhu,2012,“International Spillovers of Central Bank Balance Sheet Policies,”BIS Working Papers.
[20]Chinn,Menzie D.,2013,“Global Spillovers and Domestic Monetary Policy,”BIS Working Paper 436.
[21]Christensen,J.and Rudebusch,G.,2012,“The Response of Interest Rates to U.S.and U.K.Quantitative Easing,”The Economic Journal,122(564),pp.385~414.
[22]Diez,F.and I.Presno,2014,“Domestic and Foreign Announcements on Unconventional Monetary Policy and Exchange Rates,”Working Paper of Federal Reserve Bank of Boston.
[23]Dees,S.,2001,“The Real Exchange Rate and Types of Trade:Heterogeneity of Trade Behaviors in China,”CEPII Working Paper.
[24]Eichengreen B.,2013,“Currency War or International Policy Coordination,”Journal of Policy Modeling,5,pp.1~9.
[25]Eser F.and B.Schwaab,2016,“Evaluating the Impact of Unconventional Monetary Policy Measures:Empirical Evidence from the ECB's Securities Markets Programme,”Journal of Financial Economics,119(1),pp.147~167.
[26]Fratzscher,Marcel,Marco Lo Duca,and Roland Straub.,2014,“ECB Unconventional Monetary Policy Actions:Market Impact,International Spillovers and Transmission Channels,”15thJacques Polak Annual Research Conference Paper,November 13~14.
[27]Freund,C.,H.Chang and S.J.Wei,2011,“China's Trade Response to Exchange Rate,”The 68thInternational Atlantic Economic Conference Paper.
[28]Garcia-Herrero,A.and T.Koivu,2009,“China's Exchange Rate Policy and Asia Trade,”Bank of International Settlements Working Paper 282.
[29]Hooper,Peter,Karen Johnson,and Jaime Marquez,2000,“Trade Elasticities for the G-7 Countries,”Princeton Studies in International Economics,87.
[30]Hristov N,Hülsewig O,Wollmershuser T.,2014,“The Interest Rate Pass-through in the Euro Area during the Global Financial Crisis,”Journal of Banking&Finance,48,pp.104~119.
[31]Jannsen,Nils and Melanie Klein,2011,“The International Transmission of Euro Area Monetary Policy Shocks,”Kiel Working Paper 1718,Kiel,Germany:Kiel Institute for the World Economy.
[32]Kawai,M.,2015,“International Spillovers of Monetary Policy:US Federal Reserve's Quantitative Easing and Bank of Japan's Quantitative and Qualitative Easing,”ADBI Working Paper Series.
[33]Krishnamurthy,A.and Vissing-Jorgensen,A.,2011,“The Effects of Quantitative Easing on Interest Rates:Channels and Implications for Policy,”Brookings Papers on Economic Activity,vol.2,pp.215~287.
[34]Li,Hongbin,Hong Ma,and Yuan Xu,2015,“How Do Exchange Rate Movements Affect Chinese Exports?—A Firm-level Investigation,”Journal of International Economics 97(1),pp.148~161.
[35]Liu,Qing,Yi Lub,and Yingke Zhoub,2013,“Do Exports Respond to Exchange Rate Changes?Inference from China's Exchange Rate Reform,”Working Paper.
[36]Morgan P.J.,2011,“Impact of US Quantitative Easing Policy on Emerging Asia,”Macroeconomics Working Papers23215,East Asian Bureau of Economic Research.
[37]Mylonidis,N.and I.Stamopoulou,2011,“The Role of Monetary Policy in Managing the Euro-Dollar Exchange Rate,”MPRA Working Paper No.29291.
[38]Palley,T.,2011,“Quantitative Easing:A Keynesian Critique,”Political Economy Research Institute Working Paper No.252.
[39]Portes,R.,2010,“Currency Wars and the Emerging Market Countries,”Global Perspectives on the Seoul G-20Summit,pp.47~51.
[40]Peersman,Gert.,2011,“Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area.”
[41]Rogers,J.H.,C.Scotti,and J.H.Wright,2014,“Evaluating Asset-Market Effects of Unconventional Monetary Policy:A Cross-Country Comparison,”International Finance Discussion Papers 1101,Board of Governors of the Federal Reserve System(U.S.).
[42]Spantig,K.,2012,“International Monetary Policy Spillovers in an Asymmetric World Monetary System-The UnitedStates and China,”Global Financial Markets Working Paper Series 2012-33,Friedrich-Schiller-University Jena.
[43]Thorbecke,W.,and G.Smith,2010,“How Would an Appreciation of the RMB and Other East Asian Currencies Affect China's Exports?”Review of International Economics,18(1),pp.95~108.
[44]Volz,U.,2012,“Financial Stability in Emerging Markets,”DIE Working Paper,2012.
1出口数据来自UN Comtrade统计数据,兑欧元汇率数据来自欧洲央行官网数据库,兑美元汇率数据来自EIU宏观数据库。
2根据Palley(2011),这个宏观变量集合包括国家财富、股权价格和发行量、债券发行量、物价水平等。其中,债券价格为利率加成后的物价水平。Ωk为k国具有同样含义的集合。
3具体推导见Chinn(2005)。
4由于各国兑欧元汇率数据缺失值较多,我们用各国兑美元汇率与美元兑欧元汇率进行换算,得到各国兑欧元汇率。其中各国兑美元汇率来自EIU数据库,美元对欧元汇率来自欧洲央行官网。
5欧洲央行总资产规模数据由欧洲央行网站资产负债表公开数据整理。
6由于篇幅原因,变量统计性描述和稳健性检验结果未在文中列出,读者可向作者索要。
7VIX由S&P500(标准普尔500指数)的成分股的期权波动性组成,且被广泛用来作为衡量市场风险和投资者恐慌度的指标,VIX数据来自于Wind数据库。
8我们将上述控制变量加入了基础结果和扩展结果中,但发现除美国、日本和英国的M2回归系数显著之外,其他控制变量的系数都并不显著,且保留小数点后四位后还是全部为零,因此,为了使结果更加清晰明了,我们将这些并不显著的控制变量的回归结果省略了。
[2]戴觅、徐建炜和施炳展,2013,《人民币汇率冲击与制造业就业——来自企业数据的经验证据》,《管理世界》第11期,第14~27页。
[3]刘克崮和翟晨曦,2011,《调整五大战略,应对美量化宽松政策》,《管理世界》第4期,第1~5页。
[4]刘澜飚和文艺,2014,《美国量化宽松货币政策退出对亚太经济体的影响》,《南开学报》第2期,第142~150页。
[5]徐建伟和余明,2003,《人民币有效汇率的波动及其对中国经济增长的影响》,《世界经济》第11期,第21~34页。
[6]李宏彬、马弘、熊艳艳和徐嫄,2011,《人民币汇率对企业进出口贸易的影响——来自中国企业的实证研究》,《金融研究》第2期,第1~16页。
[7]孙浦阳、张靖佳和高恺琳,2016,《量化宽松政策对于企业出口价格的影响研究——基于微观数据的理论与实证研究》,《管理世界》第11期,第53~64页。
[8]苏治、尹力博和方彤,2015,《量化宽松与国际大宗商品市场:溢出性,非对称性和长记忆性》,《金融研究》第3期,第68~82页。
[9]许家云、佟家栋和毛其淋,2015,《人民币汇率变动,产品排序与多产品企业的出口行为——以中国制造业企业为例》,《管理世界》第2期,第17~31页。
[10]张会清和唐海燕,2012,《人民币升值,企业行为与出口贸易——基于大样本企业数据的实证研究:2005~2009》,《管理世界》第12期,第23~34页。
[11]赵然和苏治,2012,《升值预期真的驱动国际游资流入中国了吗——基于四重套利和边限协整模型的新证据》,《金融研究》第6期,第95~109页。
[12]Ahmed,S.,2009,“Are Chinese Exports Sensitive to Changes in the Exchange Rate?”Federal Reserve Discussion Papers No.987.
[13]Aziz,J.and X.Li,2007,“China's Changing Trade Elasticities,”IMF Working Papers 07/266.
[14]Berman,N.,Martin,P.,and Mayer,T.,2012,“How Do Different Exporters React To Exchange Rate Changes?”Quarterly Journal of Economics,127(1),pp.437~492.
[15]Bernanke B.S.,2010,“Rebalancing the Global Recovery,”Sixth European Central Bank Central Banking Conference Paper.
[16]Bowman,D.,J.M.Londono,and H.Sapriza,2014,“U.S.Unconventional Monetary Policy and Transmission to Emerging Market Economies,”International Finance Discussion Papers 1109,Board of Governors of the Federal Reserve System(U.S.).
[17]Bauer,M.and Neely,C.,2013,“International Channels of the Fed's Unconventional Monetary Policy,”Federal Reserve Bank of San Francisco Working Paper.
[18]Bauer,M.and Rudebusch,G.,2013,“The Shadow Rate,Taylor Rules,and Monetary Policy Lift-off,”Federal Reserve Bank of San Francisco Working Paper No.2012~12.
[19]Chen Q.,A.Filardo,D.He,and F.Zhu,2012,“International Spillovers of Central Bank Balance Sheet Policies,”BIS Working Papers.
[20]Chinn,Menzie D.,2013,“Global Spillovers and Domestic Monetary Policy,”BIS Working Paper 436.
[21]Christensen,J.and Rudebusch,G.,2012,“The Response of Interest Rates to U.S.and U.K.Quantitative Easing,”The Economic Journal,122(564),pp.385~414.
[22]Diez,F.and I.Presno,2014,“Domestic and Foreign Announcements on Unconventional Monetary Policy and Exchange Rates,”Working Paper of Federal Reserve Bank of Boston.
[23]Dees,S.,2001,“The Real Exchange Rate and Types of Trade:Heterogeneity of Trade Behaviors in China,”CEPII Working Paper.
[24]Eichengreen B.,2013,“Currency War or International Policy Coordination,”Journal of Policy Modeling,5,pp.1~9.
[25]Eser F.and B.Schwaab,2016,“Evaluating the Impact of Unconventional Monetary Policy Measures:Empirical Evidence from the ECB's Securities Markets Programme,”Journal of Financial Economics,119(1),pp.147~167.
[26]Fratzscher,Marcel,Marco Lo Duca,and Roland Straub.,2014,“ECB Unconventional Monetary Policy Actions:Market Impact,International Spillovers and Transmission Channels,”15thJacques Polak Annual Research Conference Paper,November 13~14.
[27]Freund,C.,H.Chang and S.J.Wei,2011,“China's Trade Response to Exchange Rate,”The 68thInternational Atlantic Economic Conference Paper.
[28]Garcia-Herrero,A.and T.Koivu,2009,“China's Exchange Rate Policy and Asia Trade,”Bank of International Settlements Working Paper 282.
[29]Hooper,Peter,Karen Johnson,and Jaime Marquez,2000,“Trade Elasticities for the G-7 Countries,”Princeton Studies in International Economics,87.
[30]Hristov N,Hülsewig O,Wollmershuser T.,2014,“The Interest Rate Pass-through in the Euro Area during the Global Financial Crisis,”Journal of Banking&Finance,48,pp.104~119.
[31]Jannsen,Nils and Melanie Klein,2011,“The International Transmission of Euro Area Monetary Policy Shocks,”Kiel Working Paper 1718,Kiel,Germany:Kiel Institute for the World Economy.
[32]Kawai,M.,2015,“International Spillovers of Monetary Policy:US Federal Reserve's Quantitative Easing and Bank of Japan's Quantitative and Qualitative Easing,”ADBI Working Paper Series.
[33]Krishnamurthy,A.and Vissing-Jorgensen,A.,2011,“The Effects of Quantitative Easing on Interest Rates:Channels and Implications for Policy,”Brookings Papers on Economic Activity,vol.2,pp.215~287.
[34]Li,Hongbin,Hong Ma,and Yuan Xu,2015,“How Do Exchange Rate Movements Affect Chinese Exports?—A Firm-level Investigation,”Journal of International Economics 97(1),pp.148~161.
[35]Liu,Qing,Yi Lub,and Yingke Zhoub,2013,“Do Exports Respond to Exchange Rate Changes?Inference from China's Exchange Rate Reform,”Working Paper.
[36]Morgan P.J.,2011,“Impact of US Quantitative Easing Policy on Emerging Asia,”Macroeconomics Working Papers23215,East Asian Bureau of Economic Research.
[37]Mylonidis,N.and I.Stamopoulou,2011,“The Role of Monetary Policy in Managing the Euro-Dollar Exchange Rate,”MPRA Working Paper No.29291.
[38]Palley,T.,2011,“Quantitative Easing:A Keynesian Critique,”Political Economy Research Institute Working Paper No.252.
[39]Portes,R.,2010,“Currency Wars and the Emerging Market Countries,”Global Perspectives on the Seoul G-20Summit,pp.47~51.
[40]Peersman,Gert.,2011,“Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area.”
[41]Rogers,J.H.,C.Scotti,and J.H.Wright,2014,“Evaluating Asset-Market Effects of Unconventional Monetary Policy:A Cross-Country Comparison,”International Finance Discussion Papers 1101,Board of Governors of the Federal Reserve System(U.S.).
[42]Spantig,K.,2012,“International Monetary Policy Spillovers in an Asymmetric World Monetary System-The UnitedStates and China,”Global Financial Markets Working Paper Series 2012-33,Friedrich-Schiller-University Jena.
[43]Thorbecke,W.,and G.Smith,2010,“How Would an Appreciation of the RMB and Other East Asian Currencies Affect China's Exports?”Review of International Economics,18(1),pp.95~108.
[44]Volz,U.,2012,“Financial Stability in Emerging Markets,”DIE Working Paper,2012.
1出口数据来自UN Comtrade统计数据,兑欧元汇率数据来自欧洲央行官网数据库,兑美元汇率数据来自EIU宏观数据库。
2根据Palley(2011),这个宏观变量集合包括国家财富、股权价格和发行量、债券发行量、物价水平等。其中,债券价格为利率加成后的物价水平。Ωk为k国具有同样含义的集合。
3具体推导见Chinn(2005)。
4由于各国兑欧元汇率数据缺失值较多,我们用各国兑美元汇率与美元兑欧元汇率进行换算,得到各国兑欧元汇率。其中各国兑美元汇率来自EIU数据库,美元对欧元汇率来自欧洲央行官网。
5欧洲央行总资产规模数据由欧洲央行网站资产负债表公开数据整理。
6由于篇幅原因,变量统计性描述和稳健性检验结果未在文中列出,读者可向作者索要。
7VIX由S&P500(标准普尔500指数)的成分股的期权波动性组成,且被广泛用来作为衡量市场风险和投资者恐慌度的指标,VIX数据来自于Wind数据库。
8我们将上述控制变量加入了基础结果和扩展结果中,但发现除美国、日本和英国的M2回归系数显著之外,其他控制变量的系数都并不显著,且保留小数点后四位后还是全部为零,因此,为了使结果更加清晰明了,我们将这些并不显著的控制变量的回归结果省略了。