对美出口贸易与产出的时变反应机制分析——基于中美“贸易战”视角
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摘要
基于中美"贸易战"视角,构建包含实际产出同比增速、美元兑人民币实际汇率同比增速和对美实际出口同比增速三变量的时变平滑迁移向量自回归(TV-STVAR)模型,分析对美出口对我国经济增长的时变效应。研究结果表明所选变量之间存在显著的非线性动态关联机制。相对于在时间断点后而言在断点前对美出口贸易对我国经济增长具有较强的影响,并且对美出口贸易冲击的大小在断点前具有显著非对称性,而在断点后未表现出非对称性。因此,与断点之前相比,目前中美"贸易战"导致的对美出口贸易下降对我国经济增长并不会造成严重影响。
Based on the perspective of China-US trade war, this paper constructs a time-varying smooth transition vector auto-regressive model that includes the three factors of real output growth year-on-year, year-on-year growth of real exchange rate of the USD against RMB, and the year-on-year growth rate of actual exports to the United States, and analyzes the time-varying effects of exports to the United States on China's economic growth. The results show that there are significant nonlinear dynamic association mechanisms between the selected variables. Compared with after the time breakpoint,export trade to the United States before the breakpoint has a strong influence on China's economic growth,and the size of impact on the US export trade has significant asymmetry before the breakpoint,but not after the breakpoint. Therefore,the current trade war between China and the United States leading to a decline in the export trade to the United States has not had a major impact on China's economic growth.
Based on the perspective of China-US trade war, this paper constructs a time-varying smooth transition vector auto-regressive model that includes the three factors of real output growth year-on-year, year-on-year growth of real exchange rate of the USD against RMB, and the year-on-year growth rate of actual exports to the United States, and analyzes the time-varying effects of exports to the United States on China's economic growth. The results show that there are significant nonlinear dynamic association mechanisms between the selected variables. Compared with after the time breakpoint,export trade to the United States before the breakpoint has a strong influence on China's economic growth,and the size of impact on the US export trade has significant asymmetry before the breakpoint,but not after the breakpoint. Therefore,the current trade war between China and the United States leading to a decline in the export trade to the United States has not had a major impact on China's economic growth.
引文
[1]丁正良,纪成君.基于VAR模型的中国进口、出口、实际汇率与经济增长的实证研究[J].国际贸易问题,2014(12):91-101.
[2]刘晓鹏.协整分析与误差修正模型──我国对外贸易与经济增长的实证研究[J].南开经济研究,2001(5):53-56.
[3]王永中,赵奇锋.出口拉动增长抑或增长推动出口:来自中国的经验证据[J].金融评论,2017,9(1):43-56,124.
[4]项云帆,邓学龙.基于MSVAR进出口贸易与经济增长的非线性效应分析[J].管理科学,2010,23(1):98-106.
[5]AwokuseT O. Christopoulos D K.Nonlinear dynamics and the exports-output growth nexus[J].Economic Modelling,2009,26(1):184-190.
[6]AwokuseT O. Is the export-led growth hypothesis valid for Canada?[J]. Canadian Journal of Economics/revue CanadienneDéconomique,2003,36(1):126-136.
[7]BalcilarM,OzdemirZ A. The export-output growth nexus in Japan:a bootstrap rolling window approach[J].Empirical Economics,2013,44(2):639-660.
[8]Granger C W,Ter覿svirta T. Modeling nonlinear economic relationships[M].New York:Oxford University Press,1993.
[9]Koop G,Pesaran H,Potter S. Impulse response analysis in nonlinear multivariate models[J]. Journal of Econometrics,1996,74(1):119-147.
[10]Lim S Y,Chong M H. Nonlinearity in ASEAN-5 exportled growth model:Empirical evidence from nonparametric approach[J].Economic Modelling,2013,32(1):136-145.
[11]Maneschi?ld P O. A Note on the Export-Led Growth Hypothesis:A Time Series Approach[J]. Cuadernos De Economía,2008,45(132):293-302.
[12]Tekin R B. Economic growth,exports and foreign direct investment in Least Developed Countries:A panel Granger causality analysis[J]. Economic Modelling,2012,29(3):868-878.
[13]Ter覿svirta T,Anderson H M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models[J]. Journal of Applied Econometrics,1992(7):119-136.
[14]vanDijk D,Tera覿svirta T,Franses P H. Smooth transition autoregrssive models-A survey of recent developments[J]. Econometric Reviews,2002,21(1):1-47.
[15]Weise C L. The asymmetric effects of monetary policy:A nonlinear vector autoregressionapproach[J]. Journal of Money Credit&Banking,1999,31(1):85-108.
(1)为避免由时间序列数据非平稳而造成模型“伪回归”问题,文中分别对所选取的变量进行单位根检验,检验结果表明x1t、x2t和x3t均为平稳时间序列,检验结果略。
(2)图1绘制的是2001年1月至2017年12月以人民币计价的对美出口贸易当期值,数据处理过程是把以美元计价的当期出口贸易值经美元兑人民币期末汇率折算为以人民币计价的当期出口贸易值,然后采用X-12方法剔除季节成分。以上数据均来源于WIND数据库。
(3)为分析在不同时间区制下不同方向的出口冲击对产出的影响,笔者分别计算出断点前出口正向冲击、负向冲击对产出的脉冲响应函数和断点后出口正向冲击、负向冲击对产出的脉冲响应函数,结果发现无论在断点前还是在断点后出口正向和负向冲击对产出的影响均不具有显著的非对称性,故出口负向冲击对产出的脉冲响应图略。
(4)为使得结果稳健,笔者分别计算了断点后对美出口正向、负向冲击对产出的脉冲响应函数的95%置信区间,结果发现Y轴的0刻度线位于95%置信水平的置信下限与置信上限之间。也就是说在断点后,无论是基于正向冲击还是负向冲击对美出口对产出均不具有显著的影响。
(5)与前面图3相同,笔者分别计算了在断点后不同程度的对美出口冲击对产出的脉冲响应函数的95%置信区间,发现在95%置信区间同样包含Y轴的0刻度线,即在断点后无论是对美出口1倍标准差冲击还是2倍标准差冲击均对产出不具有显著影响。
[2]刘晓鹏.协整分析与误差修正模型──我国对外贸易与经济增长的实证研究[J].南开经济研究,2001(5):53-56.
[3]王永中,赵奇锋.出口拉动增长抑或增长推动出口:来自中国的经验证据[J].金融评论,2017,9(1):43-56,124.
[4]项云帆,邓学龙.基于MSVAR进出口贸易与经济增长的非线性效应分析[J].管理科学,2010,23(1):98-106.
[5]AwokuseT O. Christopoulos D K.Nonlinear dynamics and the exports-output growth nexus[J].Economic Modelling,2009,26(1):184-190.
[6]AwokuseT O. Is the export-led growth hypothesis valid for Canada?[J]. Canadian Journal of Economics/revue CanadienneDéconomique,2003,36(1):126-136.
[7]BalcilarM,OzdemirZ A. The export-output growth nexus in Japan:a bootstrap rolling window approach[J].Empirical Economics,2013,44(2):639-660.
[8]Granger C W,Ter覿svirta T. Modeling nonlinear economic relationships[M].New York:Oxford University Press,1993.
[9]Koop G,Pesaran H,Potter S. Impulse response analysis in nonlinear multivariate models[J]. Journal of Econometrics,1996,74(1):119-147.
[10]Lim S Y,Chong M H. Nonlinearity in ASEAN-5 exportled growth model:Empirical evidence from nonparametric approach[J].Economic Modelling,2013,32(1):136-145.
[11]Maneschi?ld P O. A Note on the Export-Led Growth Hypothesis:A Time Series Approach[J]. Cuadernos De Economía,2008,45(132):293-302.
[12]Tekin R B. Economic growth,exports and foreign direct investment in Least Developed Countries:A panel Granger causality analysis[J]. Economic Modelling,2012,29(3):868-878.
[13]Ter覿svirta T,Anderson H M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models[J]. Journal of Applied Econometrics,1992(7):119-136.
[14]vanDijk D,Tera覿svirta T,Franses P H. Smooth transition autoregrssive models-A survey of recent developments[J]. Econometric Reviews,2002,21(1):1-47.
[15]Weise C L. The asymmetric effects of monetary policy:A nonlinear vector autoregressionapproach[J]. Journal of Money Credit&Banking,1999,31(1):85-108.
(1)为避免由时间序列数据非平稳而造成模型“伪回归”问题,文中分别对所选取的变量进行单位根检验,检验结果表明x1t、x2t和x3t均为平稳时间序列,检验结果略。
(2)图1绘制的是2001年1月至2017年12月以人民币计价的对美出口贸易当期值,数据处理过程是把以美元计价的当期出口贸易值经美元兑人民币期末汇率折算为以人民币计价的当期出口贸易值,然后采用X-12方法剔除季节成分。以上数据均来源于WIND数据库。
(3)为分析在不同时间区制下不同方向的出口冲击对产出的影响,笔者分别计算出断点前出口正向冲击、负向冲击对产出的脉冲响应函数和断点后出口正向冲击、负向冲击对产出的脉冲响应函数,结果发现无论在断点前还是在断点后出口正向和负向冲击对产出的影响均不具有显著的非对称性,故出口负向冲击对产出的脉冲响应图略。
(4)为使得结果稳健,笔者分别计算了断点后对美出口正向、负向冲击对产出的脉冲响应函数的95%置信区间,结果发现Y轴的0刻度线位于95%置信水平的置信下限与置信上限之间。也就是说在断点后,无论是基于正向冲击还是负向冲击对美出口对产出均不具有显著的影响。
(5)与前面图3相同,笔者分别计算了在断点后不同程度的对美出口冲击对产出的脉冲响应函数的95%置信区间,发现在95%置信区间同样包含Y轴的0刻度线,即在断点后无论是对美出口1倍标准差冲击还是2倍标准差冲击均对产出不具有显著影响。