国际经济协作、国内经济稳定与经常账户失衡改善
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摘要
基于"逆全球化"背景和贸易摩擦加剧的事实,文章依据中国1995年4月-2017年9月的宏观经济数据,采用混频动态因子随机波动模型(Mixed_GFSV)和马尔科夫转换框架分别测算了中国宏观经济不确定性和中国与世界的经济周期联动性,并利用带有贝叶斯变量选择的向量自回归模型(VAR-BVS)研究了两者同经常账户失衡之间的动态影响关系及影响的结构异质性。研究发现:(1)中国与世界的经济周期联动性对经常账户失衡的影响在不同时期具有非对称性,即全球金融危机后,联动性下降将加速经常账户失衡,而全球金融危机前则完全相反;两者之间的关系近似于一个以中国与世界的经济周期联动性为横轴,以经常账户失衡环比增速为纵轴的倒"U"形曲线。(2)无论危机前还是危机后,宏观经济不确定性对经常账户失衡均起到了"加速器"作用。长期来看,宏观经济不确定性升高会加速经常账户失衡;短期而言,除了国内经济环境的影响外,中国与世界的经济周期联动性下降对加速经常账户失衡也起着重要作用。(3)中国与世界的经济周期联动性、宏观经济不确定性影响经常账户失衡的原因可能在于国际分工和要素流动、预防性储蓄动机。国内外经济环境与经常账户失衡之间的关系存在结构上的异质性,这与货物贸易、服务贸易之间的关系不同。上述结论表明,持续稳定的国内经济环境和积极协作的国际经济环境是改善经常账户失衡的重要条件。
After 2008,the barriers to cross-border flows of production factors such as commodities,capital,and labor have become increasingly apparent. The new round of liberalism has quietly risen,triggering a wave of counter-globalization characterized by "anti-free trade and anti-integration". Some developed countries have attempted to go beyond the constraints of the structural adjustment of the global economy and embark on the so-called "priority of interest and self-development". This,to a certain extent,weakened the synchronization of the world economic cycle and objectively exacerbated the "synthetic fallacy" in the global economic development. In the absence of effective international economic rules and regulations,this "synthetic fallacy" may cause frictions in trade,finance,and other areas to increase,thereby accelerating current account imbalances.Based on the above facts,this paper regards current account imbalances as the result of the internal and external factors,and combines the changes in the economic globalization process with macroeconomic uncertainty to explore whether the synchronization between China and the world economic cycle has changed. Is there any uncertainty in China's macro-economy,and how does it affect current account imbalances,accelerating or smoothing?If the synchronization between China and the world economic cycle is reduced and macroeconomic uncertainty is raised,will it accelerate current account imbalances?What is the impact?Firstly,the method of real-time measurement of macroeconomic uncertainty using large-scale mixed macroeconomic data sets is proposed,and the macroeconomic uncertainty index is constructed. It avoids the possibility of directly using the substitution variables such as financial market volatility in the past literature to reflect the possible deviation of macroeconomic uncertainty. Then we use the Markov framework to establish a macroeconomic cycle synchronization index. Finally,the vector autoregressive model with Bayesian variable selection(VARBVS) weakens the endogeneity problem caused by missing or mistaken variables,and analyzes the dynamic relationship between the three before and after the global financial crisis. The study examines the possible links between the three.The study finds that:The relationship between the two is similar to a U-shape curve with the synchronization of the world economic cycle as the horizontal axis and current account imbalances growth rate as the vertical axis. Whether before or after the crisis,macroeconomic uncertainty plays an "accelerator" role in current account imbalances. In the long term,the increase in macroeconomic uncertainty has an accelerating effect on current account imbalances. In the short term,in addition to the impact of the domestic economic environment,the decline in the synchronization of the world economic cycle will play an important role in accelerating current account imbalances. The reason for the synchronization between China and the world economic cycle,and macroeconomic uncertainty affecting current account imbalances may be due to the international division of labor,factor mobility,and preventive savings motivation. There is structural heterogeneity in the relationship between domestic and foreign economic environment and current account imbalances,which is different from the relationship between trade in goods and trade in services. The findings show that a stable domestic economic environment and a cooperative international economic environment are important conditions to improve current account imbalances.
After 2008,the barriers to cross-border flows of production factors such as commodities,capital,and labor have become increasingly apparent. The new round of liberalism has quietly risen,triggering a wave of counter-globalization characterized by "anti-free trade and anti-integration". Some developed countries have attempted to go beyond the constraints of the structural adjustment of the global economy and embark on the so-called "priority of interest and self-development". This,to a certain extent,weakened the synchronization of the world economic cycle and objectively exacerbated the "synthetic fallacy" in the global economic development. In the absence of effective international economic rules and regulations,this "synthetic fallacy" may cause frictions in trade,finance,and other areas to increase,thereby accelerating current account imbalances.Based on the above facts,this paper regards current account imbalances as the result of the internal and external factors,and combines the changes in the economic globalization process with macroeconomic uncertainty to explore whether the synchronization between China and the world economic cycle has changed. Is there any uncertainty in China's macro-economy,and how does it affect current account imbalances,accelerating or smoothing?If the synchronization between China and the world economic cycle is reduced and macroeconomic uncertainty is raised,will it accelerate current account imbalances?What is the impact?Firstly,the method of real-time measurement of macroeconomic uncertainty using large-scale mixed macroeconomic data sets is proposed,and the macroeconomic uncertainty index is constructed. It avoids the possibility of directly using the substitution variables such as financial market volatility in the past literature to reflect the possible deviation of macroeconomic uncertainty. Then we use the Markov framework to establish a macroeconomic cycle synchronization index. Finally,the vector autoregressive model with Bayesian variable selection(VARBVS) weakens the endogeneity problem caused by missing or mistaken variables,and analyzes the dynamic relationship between the three before and after the global financial crisis. The study examines the possible links between the three.The study finds that:The relationship between the two is similar to a U-shape curve with the synchronization of the world economic cycle as the horizontal axis and current account imbalances growth rate as the vertical axis. Whether before or after the crisis,macroeconomic uncertainty plays an "accelerator" role in current account imbalances. In the long term,the increase in macroeconomic uncertainty has an accelerating effect on current account imbalances. In the short term,in addition to the impact of the domestic economic environment,the decline in the synchronization of the world economic cycle will play an important role in accelerating current account imbalances. The reason for the synchronization between China and the world economic cycle,and macroeconomic uncertainty affecting current account imbalances may be due to the international division of labor,factor mobility,and preventive savings motivation. There is structural heterogeneity in the relationship between domestic and foreign economic environment and current account imbalances,which is different from the relationship between trade in goods and trade in services. The findings show that a stable domestic economic environment and a cooperative international economic environment are important conditions to improve current account imbalances.
引文
[1]李兵,任远.人口结构是怎样影响经常账户不平衡的?-以第二次世界大战为工具变量的经验证据[J].经济研究,2015,(10):119-133.
[2]刘红忠,秦泰.相对价格、收入预期与中国的经常账户波动-基于两部门跨期消费视角的实证研究[J].金融研究,2015,(9):34-49.
[3]鲁晓东,刘京军.不确定性与中国出口增长[J].经济研究,2017,(9):39-54.
[4]茅锐,徐建炜,姚洋.经常账户失衡的根源-基于比较优势的国际分工[J].金融研究,2012,(12):23-37.
[5]田巍,姚洋,余淼杰,等.人口结构与国际贸易[J].经济研究,2013,(11):87-99.
[6]杨盼盼,马光荣,徐建炜.理解中国2002~2008年的经常账户顺差扩大之谜[J].世界经济,2015,(2):112-139.
[7]姚洋,邹静娴.经济增长差异、生命周期假说和“配置之谜”[J].经济研究,2016,(3):51-65.
[8]张成思,朱越腾.对外开放、金融发展与利益集团困局[J].世界经济,2017,(4):55-78.
[9]周靖祥.经常项目失衡与宏观经济波动-O-R模型在中国的实证应用[J].数量经济技术经济研究,2010,(2):22-39.
[10]Ahuja A,Chalk N A,Porter N,et al. An end to China’s imbalances?[R]. IMF Working Papers 12/100,2012.
[11]Chinn M D, Ito H. Current account balances, financial development and institutions:Assaying the world“saving glut”[J]. Journal of international money and Finance,2007,26(4):546-569.
[12]ChuliáH,Guillén M,Uribe J M. Measuring uncertainty in the stock market[J]. International Review of Economics&Finance,2017,48:18-33.
[13]Cooper R N. Global imbalances:Globalization,demography,and sustainability[J]. Journal of Economic Perspectives,2008,22(3):93-112.
[14]Duarte P, Schnabl G. Macroeconomic policy making, exchange rate adjustment and current account imbalances in emerging markets[J]. Review of Development Economics,2015,19(3):531-544.
[15]Ehmer P. The impact of diverging economic structure on current account imbalances in the euro area[J]. Discussion Papers,2014.
[16]Fogli A,Perri F. Macroeconomic volatility and external imbalances[J]. Journal of Monetary Economics,2015,69:1-15.
[17]Gete P,Melkadze G. Aggregate volatility and international dynamics. The role of credit supply[J]. Journal of International Economics,2018,111:143-158.
[18]Ghosh A R,Ostry J D. Macroeconomic uncertainty,precautionary saving,and the current account[J]. Journal of Monetary Economics,1997,40(1):121-139.
[19]Hamilton J D,Owyang M T. The propagation of regional recessions[J]. Review of Economics and Statistics,2012,94(4):935-947.
[20]Karras G. Macroeconomic volatility and the current account:Evidence from a panel of OECD countries[J]. International Economic Journal,2016,30(3):322-338.
[21]Leiva-Leon D. Measuring business cycles intra-synchronization in US:A regime-switching interdependenceframework[J]. Oxford Bulletin of Economics and Statistics,2017,79(4):513-545.
(1)合成谬误(Fallacy of Composition)是萨缪尔森1955年提出来的。他提出:对局部来说是对的东西,仅仅由于它对局部而言是对的,便说它对总体而言也必然是对的,便是“合成谬误”。在本文中,如果部分发达国家走上所谓“利益优先,自我发展”之路,虽可能实现自身利益最大化,但是对于整个全球经济而言,并非是有利的,因此可能会造成“合成谬误”,进一步引起贸易、金融等领域的摩擦上升,从而加速经常账户失衡。
(1)经常账户失衡数据由国家统计局公布的季度统计数据计算,经常账户失衡=经常账户差额/GDP×100;中国经济全球化指数(KOFEcGI)由KOF瑞士经济学会编制,用以反映中国经济全球化水平,数据来源于https://www.kof.ethz.ch/en/forecasts-and-indicators/indicators/kofglobalisation-index.html,时间为1990-2015年;全球恐慌指数(VIX)由美国芝加哥期权交易所(CBOE)编制,数据来源于http://www.cboe.com/vix,时间为1990-2017年。
[2]刘红忠,秦泰.相对价格、收入预期与中国的经常账户波动-基于两部门跨期消费视角的实证研究[J].金融研究,2015,(9):34-49.
[3]鲁晓东,刘京军.不确定性与中国出口增长[J].经济研究,2017,(9):39-54.
[4]茅锐,徐建炜,姚洋.经常账户失衡的根源-基于比较优势的国际分工[J].金融研究,2012,(12):23-37.
[5]田巍,姚洋,余淼杰,等.人口结构与国际贸易[J].经济研究,2013,(11):87-99.
[6]杨盼盼,马光荣,徐建炜.理解中国2002~2008年的经常账户顺差扩大之谜[J].世界经济,2015,(2):112-139.
[7]姚洋,邹静娴.经济增长差异、生命周期假说和“配置之谜”[J].经济研究,2016,(3):51-65.
[8]张成思,朱越腾.对外开放、金融发展与利益集团困局[J].世界经济,2017,(4):55-78.
[9]周靖祥.经常项目失衡与宏观经济波动-O-R模型在中国的实证应用[J].数量经济技术经济研究,2010,(2):22-39.
[10]Ahuja A,Chalk N A,Porter N,et al. An end to China’s imbalances?[R]. IMF Working Papers 12/100,2012.
[11]Chinn M D, Ito H. Current account balances, financial development and institutions:Assaying the world“saving glut”[J]. Journal of international money and Finance,2007,26(4):546-569.
[12]ChuliáH,Guillén M,Uribe J M. Measuring uncertainty in the stock market[J]. International Review of Economics&Finance,2017,48:18-33.
[13]Cooper R N. Global imbalances:Globalization,demography,and sustainability[J]. Journal of Economic Perspectives,2008,22(3):93-112.
[14]Duarte P, Schnabl G. Macroeconomic policy making, exchange rate adjustment and current account imbalances in emerging markets[J]. Review of Development Economics,2015,19(3):531-544.
[15]Ehmer P. The impact of diverging economic structure on current account imbalances in the euro area[J]. Discussion Papers,2014.
[16]Fogli A,Perri F. Macroeconomic volatility and external imbalances[J]. Journal of Monetary Economics,2015,69:1-15.
[17]Gete P,Melkadze G. Aggregate volatility and international dynamics. The role of credit supply[J]. Journal of International Economics,2018,111:143-158.
[18]Ghosh A R,Ostry J D. Macroeconomic uncertainty,precautionary saving,and the current account[J]. Journal of Monetary Economics,1997,40(1):121-139.
[19]Hamilton J D,Owyang M T. The propagation of regional recessions[J]. Review of Economics and Statistics,2012,94(4):935-947.
[20]Karras G. Macroeconomic volatility and the current account:Evidence from a panel of OECD countries[J]. International Economic Journal,2016,30(3):322-338.
[21]Leiva-Leon D. Measuring business cycles intra-synchronization in US:A regime-switching interdependenceframework[J]. Oxford Bulletin of Economics and Statistics,2017,79(4):513-545.
(1)合成谬误(Fallacy of Composition)是萨缪尔森1955年提出来的。他提出:对局部来说是对的东西,仅仅由于它对局部而言是对的,便说它对总体而言也必然是对的,便是“合成谬误”。在本文中,如果部分发达国家走上所谓“利益优先,自我发展”之路,虽可能实现自身利益最大化,但是对于整个全球经济而言,并非是有利的,因此可能会造成“合成谬误”,进一步引起贸易、金融等领域的摩擦上升,从而加速经常账户失衡。
(1)经常账户失衡数据由国家统计局公布的季度统计数据计算,经常账户失衡=经常账户差额/GDP×100;中国经济全球化指数(KOFEcGI)由KOF瑞士经济学会编制,用以反映中国经济全球化水平,数据来源于https://www.kof.ethz.ch/en/forecasts-and-indicators/indicators/kofglobalisation-index.html,时间为1990-2015年;全球恐慌指数(VIX)由美国芝加哥期权交易所(CBOE)编制,数据来源于http://www.cboe.com/vix,时间为1990-2017年。