中日韩三国经济周期协动性的经验研究
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摘要
随着我国经济与世界经济的联系日益紧密,了解国际冲击对国内经济的影响越来越重要。日本和韩国是我国的邻国和主要贸易伙伴国,中日韩之间的经济联系可以说是息息相关。因此以中日韩三国为研究对象,对中日韩三国的经济周期协动性问题开展研究具有重要的现实意义。
随着近几十年来全球化进程的加快,经济周期领域的研究焦点也逐渐从封闭经济转向开放经济,国际经济周期研究逐渐成为经济周期理论和实证研究中的重要组成部分。本文的研究主要从国际经济周期共性成份的识别和国际经济周期协动性影响因素分析等角度出发,着重研究了中日韩三国之间经济周期协动性的变化趋势、变化原因,以及贸易、金融、货币政策、财政政策等传道渠道的作用,并探讨了分行业商品贸易和产业结构差异对三个国家之间经济周期协动性所产生的影响。
本文的研究得出了中日韩三国经济周期协动性发展变化以及传导机制等方面的经验性结论,在此基础上为我国建立健全国际风险防范体系、制定相关涉外经济政策提供了有用的理论支持和经验依据。
Following an impressive development of communication technology, reduction in tariff and relaxation of limitations on foreign direct investment, economies of China, Japan, and Korea are increasingly interconnected over the last few decades. Therefore, it is of great interest to study the issues on business cycle co-movements among China, Japan, and Korea.
Business cycle theory is an important branch of macroeconomics. With the acceleration of globalization in the past decades, the focuses of business cycle research has gradually switched from a closed economy to an open economy. More and more researchers turn to study international business cycle issues. What is more, theoretical and empirical researches on international business cycle have attracted increasing attention not only from economists, but also from government officers, and even the general public.
Empirical researches on international business cycle mainly center on three aspects: the first is the identification of common components of international business cycles; the second is the analysis of the factors that influence international business cycles; the third is the evolution of international business cycle co-movements and analysis of the related reasons. Thereamong, The last issue often blends into the previous two researches. This paper also focuses on these issues. Based on theoretical exploration and supported by empirical tests, this paper emphasizes the studies on the trend of variation of business cycle co-movements among China, Japan and Korea, the underlying reasons, and the transmission channels of business cycles. This paper also discusses the effects of trade in goods by sector and industrial structure dispersion on the business cycle co-movements among these three countries. Through the study of co-movements of international business cycles, this paper investigates how various international economic activities affect domestic business cycle fluctuations and obtain a preliminary understanding of those international factors that affect our business cycle fluctuations. What is more important, this paper suggests possible effects of foreign-related economic activities and policies on the business cycle fluctuations of our country.
This paper is organized as follows. The first chapter introduces international business cycle theory and provides literature review through analyzing some representative papers in researches on international business cycle.
The second chapter studies the evolutions of economic growth and the general conditions of business cycles of China, Japan, and Korea, where this paper focuses on comparing the features of business cycles in three countries, and thereby achieve a preliminary understanding of the business cycles of China, Japan, and Korea.
In the third chapter, this paper studies the trend of variation of business cycle co-movements among China, Japan and Korea. The results show that the bilateral business cycle co-movements have changed a lot over time. Based on the decomposition of the domestic and foreign factors of business cycles of China, Japan and Korea by using FSVAR model, this paper finds that spillover shocks have little effect on the economic fluctuations of these countries. However these effects boost up over time. This paper also finds that most of the variance can be attributed to the domestic and international common shocks, although the comparative importance of these shocks is distinct in different countries, based on the results of the variance decomposion. This paper also proposes that the diminution of business cycle co-movements between China and Japan, and between China and Korea in 1990’s is mainly due to the increment of the effects of domestic shocks in Japan and Korea; and the recovery after 2000 is probably owing to the strengthening of the effects of spillover shocks on the economies of Japan and Korea by degrees, and the strengthening of the effects of international common shocks on Chinese ecomomy. Due to the same effect direction of the domestic shocks on these two countries and the spillover reinforcing these effects, the business cycle co-movements between Japan and Korea gradually recovered in early 1990’s and maintains significant positive for a long time is probably
Based on the international trade theory, where international trade functions as a transmission channel of international business cycle, the fourth chapter studies the effect of trade on business cycle co-movements among China, Japan, and Korea by using rolling correlation analysis. Concretely, by analyzing the dynamic correlation among business cycle co-movements of China, Japan, and Korea, bilateral trade intensity, and intra-industry trade intensity, this paper concludes that the effects of bilateral trade intensity on business cycle co-movements of these countries lies on the size of intra-industry trade intensity. This paper suggests that 40% is a rough estimate of critical value that whather intra-industry trade is dominant in overall bilateral trade based on delicate analysis on intra-industry trade indices of China, Japan, and Korea.
Through analyzing the bilateral trade share by sector and inra-indusry trade intensity by sector among China, Japan and Korea, this paper tries to find those industries that have important impact on the change of business cycle co-movements among China, Japan and Korea.
Based on rolling correlation and rolling standard error analysis, the fifth chapter studies financial factor, monetary policy factor, and fiscal policy factor, which may affect the business cycle co-movements among China, Japan and Korea. Finally, this paper studies the dynamic relations between business cycle co-movements and financial integration, monetary policy coordination, and fiscal policy coordination among China, Japan and Korea.
Financial integration has important effects on business cycle co-movements. Both static and dynamic studies based on sample data show that financial integration is positively related to business cycle co-movements among China, Japan, and Korea.
The effect of monetary policy on business cycle co-movements is determined by the cyclical or countercyclical character of the policies and the ability of implementing the relevant policies. The empirical results based on China, Japan, and Korea’s data show that these countries mainly take anti-cyclical interest rate policy since middle and late 1980’s, so the monetary policy coordination and business cycle co-movements between China and Japan, and between China and Korea are positively correlated, however the relation between Japan and Korea is unclear owing to the implementing ability of interest rate adjustment of monetary policy is different in these two countries.
Since 1970’s, China and Japan mainly take anti-cyclical fiscal policy and Korea mainly take anti-cyclical fiscal policy, so the dynamic trend of fiscal policy coordination and business cycle co-movements between China and Japan is mostly positively related, however the dynamic trend between China and Korea, and between Japan and Korea are mostly negatively related. The high correlation among the economies can be interpreted as evidence of international spillover effect of economic shocks through trade in goods or assets, and may also be interpreted as evidence of common shocks driving the business cycles of the countries that share common characteristics. Of course, neither of these explanations precludes the other. The sixth chapter analyzes the effects of the common characteristics in industrial structure on business cycle co-movements among China, Japan and Korea by studying the dynamic relations between industrial structure dispersion and bilateral business cycle co-movements.
Firstly, the dynamic trend of industrial structure dispersion and business cycle co-movements among China, Japan, and Korea do not exhibit negative relation obviously. The reasons are as follows: first, industrial shocks are not the major factors that lead to sample countries’business cycle fluctuations, so changes in industrial structure dispersion do not result in critical effects on business cycle co-movements; second, although certain incustrial shocks are the main factors that drive the sample countries’business cycle fluctuations, they are not the main factors that cause the changes in industrial structure dispersion; third, other factors dominate the changes in business cycle co-movements, and the effects of these factors on business cycle co-movements far overrun and offset the effects of changes in industrial structure dispersion.
Secondly, the overall trend of industrial structure dispersion among China, Japan, and Korea show that the industrial structures of these three countries exhibit more and more common characters, and it is mainly because of reduction in structure dispersion in agricultural industry between China and Japan, and manufacturing and service industry between China and Korea, and agricultural and manufacturing industry between Japan and Korea.
Generally speaking, researches on international business cycle in our country are relatively weak heretofore; however the effects of international shocks on our country’s economy has received more and more attentions from various related departments along with the acceleration of the process of WTO accession. This paper focuses on studying business cycle co-movements among China, Japan, and Korea, and develops a series of empirical researches on business cycle correlations between China and international economies from several perspectives. Although the sample countries of this paper are confined to China, Japan, and Korea, the research substances range from changing trend and reason of international business cycle co-movements to various transmission channels, and the conclusions concerning the effect channel and manner of international shocks are of practical senses, which offer conducive references on foreign related policies in defending and avoiding international risks. Moreover, this paper not only provides a relatively comprehensive way to study the business cycle co-movements among China, Japan, and Korea, but also affords references in analysis methods on researches on business cycle co-movements between China and some other foreign countries subsequently.
随着近几十年来全球化进程的加快,经济周期领域的研究焦点也逐渐从封闭经济转向开放经济,国际经济周期研究逐渐成为经济周期理论和实证研究中的重要组成部分。本文的研究主要从国际经济周期共性成份的识别和国际经济周期协动性影响因素分析等角度出发,着重研究了中日韩三国之间经济周期协动性的变化趋势、变化原因,以及贸易、金融、货币政策、财政政策等传道渠道的作用,并探讨了分行业商品贸易和产业结构差异对三个国家之间经济周期协动性所产生的影响。
本文的研究得出了中日韩三国经济周期协动性发展变化以及传导机制等方面的经验性结论,在此基础上为我国建立健全国际风险防范体系、制定相关涉外经济政策提供了有用的理论支持和经验依据。
Following an impressive development of communication technology, reduction in tariff and relaxation of limitations on foreign direct investment, economies of China, Japan, and Korea are increasingly interconnected over the last few decades. Therefore, it is of great interest to study the issues on business cycle co-movements among China, Japan, and Korea.
Business cycle theory is an important branch of macroeconomics. With the acceleration of globalization in the past decades, the focuses of business cycle research has gradually switched from a closed economy to an open economy. More and more researchers turn to study international business cycle issues. What is more, theoretical and empirical researches on international business cycle have attracted increasing attention not only from economists, but also from government officers, and even the general public.
Empirical researches on international business cycle mainly center on three aspects: the first is the identification of common components of international business cycles; the second is the analysis of the factors that influence international business cycles; the third is the evolution of international business cycle co-movements and analysis of the related reasons. Thereamong, The last issue often blends into the previous two researches. This paper also focuses on these issues. Based on theoretical exploration and supported by empirical tests, this paper emphasizes the studies on the trend of variation of business cycle co-movements among China, Japan and Korea, the underlying reasons, and the transmission channels of business cycles. This paper also discusses the effects of trade in goods by sector and industrial structure dispersion on the business cycle co-movements among these three countries. Through the study of co-movements of international business cycles, this paper investigates how various international economic activities affect domestic business cycle fluctuations and obtain a preliminary understanding of those international factors that affect our business cycle fluctuations. What is more important, this paper suggests possible effects of foreign-related economic activities and policies on the business cycle fluctuations of our country.
This paper is organized as follows. The first chapter introduces international business cycle theory and provides literature review through analyzing some representative papers in researches on international business cycle.
The second chapter studies the evolutions of economic growth and the general conditions of business cycles of China, Japan, and Korea, where this paper focuses on comparing the features of business cycles in three countries, and thereby achieve a preliminary understanding of the business cycles of China, Japan, and Korea.
In the third chapter, this paper studies the trend of variation of business cycle co-movements among China, Japan and Korea. The results show that the bilateral business cycle co-movements have changed a lot over time. Based on the decomposition of the domestic and foreign factors of business cycles of China, Japan and Korea by using FSVAR model, this paper finds that spillover shocks have little effect on the economic fluctuations of these countries. However these effects boost up over time. This paper also finds that most of the variance can be attributed to the domestic and international common shocks, although the comparative importance of these shocks is distinct in different countries, based on the results of the variance decomposion. This paper also proposes that the diminution of business cycle co-movements between China and Japan, and between China and Korea in 1990’s is mainly due to the increment of the effects of domestic shocks in Japan and Korea; and the recovery after 2000 is probably owing to the strengthening of the effects of spillover shocks on the economies of Japan and Korea by degrees, and the strengthening of the effects of international common shocks on Chinese ecomomy. Due to the same effect direction of the domestic shocks on these two countries and the spillover reinforcing these effects, the business cycle co-movements between Japan and Korea gradually recovered in early 1990’s and maintains significant positive for a long time is probably
Based on the international trade theory, where international trade functions as a transmission channel of international business cycle, the fourth chapter studies the effect of trade on business cycle co-movements among China, Japan, and Korea by using rolling correlation analysis. Concretely, by analyzing the dynamic correlation among business cycle co-movements of China, Japan, and Korea, bilateral trade intensity, and intra-industry trade intensity, this paper concludes that the effects of bilateral trade intensity on business cycle co-movements of these countries lies on the size of intra-industry trade intensity. This paper suggests that 40% is a rough estimate of critical value that whather intra-industry trade is dominant in overall bilateral trade based on delicate analysis on intra-industry trade indices of China, Japan, and Korea.
Through analyzing the bilateral trade share by sector and inra-indusry trade intensity by sector among China, Japan and Korea, this paper tries to find those industries that have important impact on the change of business cycle co-movements among China, Japan and Korea.
Based on rolling correlation and rolling standard error analysis, the fifth chapter studies financial factor, monetary policy factor, and fiscal policy factor, which may affect the business cycle co-movements among China, Japan and Korea. Finally, this paper studies the dynamic relations between business cycle co-movements and financial integration, monetary policy coordination, and fiscal policy coordination among China, Japan and Korea.
Financial integration has important effects on business cycle co-movements. Both static and dynamic studies based on sample data show that financial integration is positively related to business cycle co-movements among China, Japan, and Korea.
The effect of monetary policy on business cycle co-movements is determined by the cyclical or countercyclical character of the policies and the ability of implementing the relevant policies. The empirical results based on China, Japan, and Korea’s data show that these countries mainly take anti-cyclical interest rate policy since middle and late 1980’s, so the monetary policy coordination and business cycle co-movements between China and Japan, and between China and Korea are positively correlated, however the relation between Japan and Korea is unclear owing to the implementing ability of interest rate adjustment of monetary policy is different in these two countries.
Since 1970’s, China and Japan mainly take anti-cyclical fiscal policy and Korea mainly take anti-cyclical fiscal policy, so the dynamic trend of fiscal policy coordination and business cycle co-movements between China and Japan is mostly positively related, however the dynamic trend between China and Korea, and between Japan and Korea are mostly negatively related. The high correlation among the economies can be interpreted as evidence of international spillover effect of economic shocks through trade in goods or assets, and may also be interpreted as evidence of common shocks driving the business cycles of the countries that share common characteristics. Of course, neither of these explanations precludes the other. The sixth chapter analyzes the effects of the common characteristics in industrial structure on business cycle co-movements among China, Japan and Korea by studying the dynamic relations between industrial structure dispersion and bilateral business cycle co-movements.
Firstly, the dynamic trend of industrial structure dispersion and business cycle co-movements among China, Japan, and Korea do not exhibit negative relation obviously. The reasons are as follows: first, industrial shocks are not the major factors that lead to sample countries’business cycle fluctuations, so changes in industrial structure dispersion do not result in critical effects on business cycle co-movements; second, although certain incustrial shocks are the main factors that drive the sample countries’business cycle fluctuations, they are not the main factors that cause the changes in industrial structure dispersion; third, other factors dominate the changes in business cycle co-movements, and the effects of these factors on business cycle co-movements far overrun and offset the effects of changes in industrial structure dispersion.
Secondly, the overall trend of industrial structure dispersion among China, Japan, and Korea show that the industrial structures of these three countries exhibit more and more common characters, and it is mainly because of reduction in structure dispersion in agricultural industry between China and Japan, and manufacturing and service industry between China and Korea, and agricultural and manufacturing industry between Japan and Korea.
Generally speaking, researches on international business cycle in our country are relatively weak heretofore; however the effects of international shocks on our country’s economy has received more and more attentions from various related departments along with the acceleration of the process of WTO accession. This paper focuses on studying business cycle co-movements among China, Japan, and Korea, and develops a series of empirical researches on business cycle correlations between China and international economies from several perspectives. Although the sample countries of this paper are confined to China, Japan, and Korea, the research substances range from changing trend and reason of international business cycle co-movements to various transmission channels, and the conclusions concerning the effect channel and manner of international shocks are of practical senses, which offer conducive references on foreign related policies in defending and avoiding international risks. Moreover, this paper not only provides a relatively comprehensive way to study the business cycle co-movements among China, Japan, and Korea, but also affords references in analysis methods on researches on business cycle co-movements between China and some other foreign countries subsequently.
引文
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