中国价格贸易条件冲击持久性的实证分析
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摘要
长期以来,人们主要关注价格贸易条件对经济增长、经常账户和贸易收支等宏观经济变量的影响,而忽视了对价格贸易条件自身统计性质的研究。文章采用中值无偏估计方法对1980~2011年间中国价格贸易条件冲击的持久性特征进行了量化分析。估计结果显示:中国价格贸易条件序列服从近似单位根过程,价格贸易条件冲击的中值无偏半衰期为13.51年。这意味着,中国价格贸易条件冲击是长期的和持续性的,相关部门在应对价格贸易条件冲击时,不宜采用短期相机抉择的财政政策和储蓄调整政策,而应着眼于持续提高居民收入、积极培育对外贸易新型竞争力和加快转变对外贸易发展方式。
People have long focused on how terms of trade affect economic growth, current account, trade balance and other macroeconomic variables, but have neglected studies on terms of trade's statistical feature. This paper adopts the median-unbiased estimation method to analyze the persistence of terms of trade shock in China from 1980 to 2011. The result shows that China's terms of trade follow the approximate unit root process, and the median-unbiased half-life of terms of trade shock is 13.51 years. Such a result means that China's terms of trade shock are long-term and persistent, hence when facing terms of trade shock, the related departments are suggested not to adopt short-term discretionary fiscal policies and saving-adjustment policies, but to continuously improve the income of residents, actively foster the new competitiveness of foreign trade, and accelerate the transformation of foreign trade development mode.
People have long focused on how terms of trade affect economic growth, current account, trade balance and other macroeconomic variables, but have neglected studies on terms of trade's statistical feature. This paper adopts the median-unbiased estimation method to analyze the persistence of terms of trade shock in China from 1980 to 2011. The result shows that China's terms of trade follow the approximate unit root process, and the median-unbiased half-life of terms of trade shock is 13.51 years. Such a result means that China's terms of trade shock are long-term and persistent, hence when facing terms of trade shock, the related departments are suggested not to adopt short-term discretionary fiscal policies and saving-adjustment policies, but to continuously improve the income of residents, actively foster the new competitiveness of foreign trade, and accelerate the transformation of foreign trade development mode.
引文
黄满盈.2008.中国价格贸易条件波动性研究[J].世界经济(12):46-52.
李汉君,孙旭.2009.中国价格贸易条件变动趋势与出口商品结构—基于1981-2007年的时序数据的研究[J].国际贸易问题(3):37-40.
林丽,张素芳.2005.1994~2002年中国贸易条件的实证研究[J].国际贸易问题(11):17-21.
石林梅,李倩倩.2009.中国价格贸易条件与经济增长关系的实证研究[J].求是学刊(7):55-58.
张乃丽,刘巍.2012.从国外部门角度对战前日本总供求态势的研究——基于M-L条件和贸易条件学说的分析[J].国际经贸探索(7):38-47.
张先锋,那明.2009.我国价格贸易条件的影响因素分析——基于内外部均衡的视角[J].国际经贸探索(4):20-25.
Age′nor,P.R.,McDermott,C.J.,Prasad,E.S.2000.Macroeconomic Fluctuations in Developing Countries:Some Stylized Facts[J].The World Bank Economic Review,14(2):251-285.
Andrews,D.W.K.1993.Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models[J].Econometrica,61(1):139-165.
Beck,T.,Lundberg,M.K.A.Majnoni G.2006.Financial Intermediary Development and Growth Volatility:Do Intermediaries Dampen or Magnify Shocks?[J].Journal of International Money and Finance,25(7):1146-1167.
Blattman,C.,Hwang,J.,Williamson,J.G.2007.Winners and losers in the commodity lottery:The impact of terms of trade growth and volatility in the Periphery 1870-1939[J].Journal of Development Economics,82(1):156-179.
Cashin,P.,McDermott,C.J.,Pattillo,C.2004.Terms of trade shocks in Africa:are they short-lived or long-lived?[J].Journal of Development Economics,73(2):727-744.
Hodrick,R.J.,Prescott,E.C.1997.Postwar U.S.Business Cycles:An Empirical Investigation[J].Journal of Money,Credit and Banking,29(1):1-16.
Kose,M.A.2002.Explaining Business Cycles in Small Open Economies:How Much Do World Prices Matter?[J].Journal of International Economics,56(2):299-327.
Mendoza,E.G.1995.The Terms of Trade,the Real Exchange Rate,and Economic Fluctuations[J].International Economic Review,36(1):101-137.
Obstfeld,M.1982.Aggregate Spending and the Terms of Trade:Is There a Laursen-Metzler Effect?[J].Quarterly Journal of Economics,97(2):251-270.
Santos-Paulino,A.U.2010.Terms of Trade Shocks and the Current Account in Small Island Developing States[J].Journal of Development Studies,46(5):855-876.
①之所以存在向下偏倚,是因为自回归参数的最小二乘估计量的分布形式是非对称的,存在左偏,致使其中值大于其均值。
②随机变量中值的定义:如果存在P(x≥M)≥1/2且P(x≤M)≥1/2,则称M是随机变量x的中值。
③也有学者译为“冲击半生命周期”。
④按照Cashin等(2004)的研究认为,价格贸易条件冲击半衰期小于6年为短期冲击,大于6年为长期冲击。
李汉君,孙旭.2009.中国价格贸易条件变动趋势与出口商品结构—基于1981-2007年的时序数据的研究[J].国际贸易问题(3):37-40.
林丽,张素芳.2005.1994~2002年中国贸易条件的实证研究[J].国际贸易问题(11):17-21.
石林梅,李倩倩.2009.中国价格贸易条件与经济增长关系的实证研究[J].求是学刊(7):55-58.
张乃丽,刘巍.2012.从国外部门角度对战前日本总供求态势的研究——基于M-L条件和贸易条件学说的分析[J].国际经贸探索(7):38-47.
张先锋,那明.2009.我国价格贸易条件的影响因素分析——基于内外部均衡的视角[J].国际经贸探索(4):20-25.
Age′nor,P.R.,McDermott,C.J.,Prasad,E.S.2000.Macroeconomic Fluctuations in Developing Countries:Some Stylized Facts[J].The World Bank Economic Review,14(2):251-285.
Andrews,D.W.K.1993.Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models[J].Econometrica,61(1):139-165.
Beck,T.,Lundberg,M.K.A.Majnoni G.2006.Financial Intermediary Development and Growth Volatility:Do Intermediaries Dampen or Magnify Shocks?[J].Journal of International Money and Finance,25(7):1146-1167.
Blattman,C.,Hwang,J.,Williamson,J.G.2007.Winners and losers in the commodity lottery:The impact of terms of trade growth and volatility in the Periphery 1870-1939[J].Journal of Development Economics,82(1):156-179.
Cashin,P.,McDermott,C.J.,Pattillo,C.2004.Terms of trade shocks in Africa:are they short-lived or long-lived?[J].Journal of Development Economics,73(2):727-744.
Hodrick,R.J.,Prescott,E.C.1997.Postwar U.S.Business Cycles:An Empirical Investigation[J].Journal of Money,Credit and Banking,29(1):1-16.
Kose,M.A.2002.Explaining Business Cycles in Small Open Economies:How Much Do World Prices Matter?[J].Journal of International Economics,56(2):299-327.
Mendoza,E.G.1995.The Terms of Trade,the Real Exchange Rate,and Economic Fluctuations[J].International Economic Review,36(1):101-137.
Obstfeld,M.1982.Aggregate Spending and the Terms of Trade:Is There a Laursen-Metzler Effect?[J].Quarterly Journal of Economics,97(2):251-270.
Santos-Paulino,A.U.2010.Terms of Trade Shocks and the Current Account in Small Island Developing States[J].Journal of Development Studies,46(5):855-876.
①之所以存在向下偏倚,是因为自回归参数的最小二乘估计量的分布形式是非对称的,存在左偏,致使其中值大于其均值。
②随机变量中值的定义:如果存在P(x≥M)≥1/2且P(x≤M)≥1/2,则称M是随机变量x的中值。
③也有学者译为“冲击半生命周期”。
④按照Cashin等(2004)的研究认为,价格贸易条件冲击半衰期小于6年为短期冲击,大于6年为长期冲击。