中日韩宏观经济动态影响及外生冲击传导机制研究
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摘要
中日韩三国在东亚乃至世界的舞台上发挥着越来越重要的作用，开放经济条件下三国经济联系日益紧密，快速发展的跨国投资、国际贸易等经济活动使得三国的经济周期表现出共同变动的趋势，包括国际油价变动在内的外生冲击对中日韩三国经济周期的影响愈发明显。在此背景下考察中日韩宏观经济的协动性、各自经济周期的运行特征、相互间经济波动传导机制，对于准确把握中国经济外部环境、积极利用区域经济周期的有利冲击规避不利冲击，实现中国经济的平稳运行具有重要的理论和现实意义。
本文回顾了国内外的理论研究成果，阐述了国际贸易渠道、外商直接投资渠道和汇率渠道这三种开放经济下经济周期波动和外生冲击在经济体之间的主要传导渠道的机理，为后面全球向量自回归（Global VAR）模型的实证结果奠定了经济理论基础，我们分别对三种渠道的传导路径进行了分析，使得我们的研究结果更具现实解释能力。引用了大量的统计数据详细的描述了三国间的经贸往来活动，构造了一个三国间的博弈模型和区域最优货币区数理模型。博弈模型结果显示，三国在制定经济政策时要从集体利益的角度出发，否则会导致三国集体利益受损，最终也会伤害本国利益；从最优货币区模型的结果得出，包括中日韩在内的东亚国家组建最优货币区的主观意愿强弱取决于该国加入前后国家效用的对比，如果一国经济周期与最优货币区内成员国经济周期总体一致，该国加入的意愿较强，反之则较弱。
全球向量自回归（Global VAR）模型是在向量自回归(VAR)模型的基础上发展起来的用于分析多国经济体之间经济联系的计量模型，在刻画全球和区域经济体之间的经济周期波动方面取得了较好的适用性。本文系统地介绍了全球向量自回归（Global VAR）模型的建模方法和技巧，并使用这一方法分析了中日韩三国的宏观经济动态关联和外生冲击在三国间的动态传导路径。模型估计结果显示：中日韩三国经济相互依存，其中任一国家的经济波动都会对另外两国造成影响，但是三国间的经济依赖程度是非对称的，其中韩国经济和中国经济存在显著的正相关关系，日本经济和中国经济在某些领域表现为正相关关系，某些领域表现为负相关关系，依赖和竞争并存。原油价格等外生冲击对中日韩三国的影响也是不对称的，原油价格上涨对中国的影响较大，而对日韩影响较小。尤其需要指出的是，人民币升值对中日韩三国经济总体上都有不同程度的负面影响。
本文研究结果表明：中日韩三国拥有广泛的共同利益，在制定宏观经济政策时应充分考虑各个国家间经济周期相互依赖的特点，在政治经济文化等领域展开广泛的合作，避免恶性竞争，求同存异，扩大共同利益。
China, Japan and South Korea plays an increasingly important role on the stageof east Asia and even the world.In the open economy，the linkages among the threeeconomies are closer and closer. Rapid development of transnational investment,foreign trade and other economic activities make the business cycle of the threeeconomies co-movement.Exogenous shocks including the price fluctuation ofthe international oil market affect on the business cycle of China, Japan and SouthKorea increasingly. Under this background, to investigate the business cycleco-movement of the three economies, the characteristics of each economicperformance, transmission mechanism of economic fluctuations, observe the externalenvironment of China's economy, utilize positive impact of the regional economiccycle and avoid negative impact of the regional economic cycle, achieve asteady and relatively fast growth of china economy, which is of importanttheoretical and practical significance.
This paper reviewed the domestic and foreign research results, In open economy,International trade channel, foreign direct investment channel and exchange ratechannel are the main transmission channel among economies of the business cyclefluctuations and exogenous shocks. In order to make the empirical results of globalvector autoregressive model make sense in economic theory, the results of theempirical research more convincing, we analysis the transmission of the three kindsof channel respectively.described the trilateral economic and trade activities clearlywith statistical data. We establish a game model and a mathematics model of regionaloptimal currency area among the three countries. The results of the Game modelshow that the three country’s government must consider the interests of the collectivewhen make economic policy. Otherwise it will lead to the collective interests loss,which will eventually harm national own interests; Futhermore,the results of theoptimal currency area model shows, including China,Japan and South Korea,whether or not the East Asian countries to become the member of the optimumcurrency area’s subjective willingness depends on contrast of state utility before andafter the country joined the optimum currency area. If a country's business cycle keep the same with countrys’ business cycle overall,which are members of the optimalcurrency area,the country’s subjective willingness to join the optimal currency area isstrong, and vice versa.
Global vector autoregressive (Global VAR) model is based on the vector autoregression (VAR) model for developing the econometric model to analyze thelinkages among nations. In the description of global and regional business cyclefluctuation,which is of good applicability. This paper systematically introduces theglobal vector autoregressive (Global VAR) modeling methods and techniques. We useGlobal VAR model to analyze the China-Japan-ROK macroeconomic dynamicassociation and transmission of exogenous shock in the three countries. The resultsof GVR Model shows: China,Japan and South Korea economic interdependence, onecountry's economic fluctuation will have an impact on the other two countries. Thetrilateral economic interdependence is asymmetric. There is significant positivecorrelation between South Korea economy and China's economy. The Japaneseeconomy and China's economy shows a positive correlation in some areas, a negativecorrelation in some other areas, dependence and competition coexist. The impact ofcrude oil prices and other exogenous shock to China,Japan and South Korea isasymmetric, it rose a larger impact on China and had a small effect on Japan andSouth Korea. In particular, the appreciation of the RMB have different degrees ofnegative effects on China,Japan and South Korea economy.
The results of our paper show that: the three countries share extensive andcommon interests. The three country’s government ought to give full consideration tothe characteristics of interdependence of each country business cycle in theformulation of macroeconomic policies, develop extensive cooperation in politicalfields, economic fields and cultural fields, avoid cut-throat competition, seekcommon ground while reserving differences, expand common interests.
本文回顾了国内外的理论研究成果，阐述了国际贸易渠道、外商直接投资渠道和汇率渠道这三种开放经济下经济周期波动和外生冲击在经济体之间的主要传导渠道的机理，为后面全球向量自回归（Global VAR）模型的实证结果奠定了经济理论基础，我们分别对三种渠道的传导路径进行了分析，使得我们的研究结果更具现实解释能力。引用了大量的统计数据详细的描述了三国间的经贸往来活动，构造了一个三国间的博弈模型和区域最优货币区数理模型。博弈模型结果显示，三国在制定经济政策时要从集体利益的角度出发，否则会导致三国集体利益受损，最终也会伤害本国利益；从最优货币区模型的结果得出，包括中日韩在内的东亚国家组建最优货币区的主观意愿强弱取决于该国加入前后国家效用的对比，如果一国经济周期与最优货币区内成员国经济周期总体一致，该国加入的意愿较强，反之则较弱。
全球向量自回归（Global VAR）模型是在向量自回归(VAR)模型的基础上发展起来的用于分析多国经济体之间经济联系的计量模型，在刻画全球和区域经济体之间的经济周期波动方面取得了较好的适用性。本文系统地介绍了全球向量自回归（Global VAR）模型的建模方法和技巧，并使用这一方法分析了中日韩三国的宏观经济动态关联和外生冲击在三国间的动态传导路径。模型估计结果显示：中日韩三国经济相互依存，其中任一国家的经济波动都会对另外两国造成影响，但是三国间的经济依赖程度是非对称的，其中韩国经济和中国经济存在显著的正相关关系，日本经济和中国经济在某些领域表现为正相关关系，某些领域表现为负相关关系，依赖和竞争并存。原油价格等外生冲击对中日韩三国的影响也是不对称的，原油价格上涨对中国的影响较大，而对日韩影响较小。尤其需要指出的是，人民币升值对中日韩三国经济总体上都有不同程度的负面影响。
本文研究结果表明：中日韩三国拥有广泛的共同利益，在制定宏观经济政策时应充分考虑各个国家间经济周期相互依赖的特点，在政治经济文化等领域展开广泛的合作，避免恶性竞争，求同存异，扩大共同利益。
China, Japan and South Korea plays an increasingly important role on the stageof east Asia and even the world.In the open economy，the linkages among the threeeconomies are closer and closer. Rapid development of transnational investment,foreign trade and other economic activities make the business cycle of the threeeconomies co-movement.Exogenous shocks including the price fluctuation ofthe international oil market affect on the business cycle of China, Japan and SouthKorea increasingly. Under this background, to investigate the business cycleco-movement of the three economies, the characteristics of each economicperformance, transmission mechanism of economic fluctuations, observe the externalenvironment of China's economy, utilize positive impact of the regional economiccycle and avoid negative impact of the regional economic cycle, achieve asteady and relatively fast growth of china economy, which is of importanttheoretical and practical significance.
This paper reviewed the domestic and foreign research results, In open economy,International trade channel, foreign direct investment channel and exchange ratechannel are the main transmission channel among economies of the business cyclefluctuations and exogenous shocks. In order to make the empirical results of globalvector autoregressive model make sense in economic theory, the results of theempirical research more convincing, we analysis the transmission of the three kindsof channel respectively.described the trilateral economic and trade activities clearlywith statistical data. We establish a game model and a mathematics model of regionaloptimal currency area among the three countries. The results of the Game modelshow that the three country’s government must consider the interests of the collectivewhen make economic policy. Otherwise it will lead to the collective interests loss,which will eventually harm national own interests; Futhermore,the results of theoptimal currency area model shows, including China,Japan and South Korea,whether or not the East Asian countries to become the member of the optimumcurrency area’s subjective willingness depends on contrast of state utility before andafter the country joined the optimum currency area. If a country's business cycle keep the same with countrys’ business cycle overall,which are members of the optimalcurrency area,the country’s subjective willingness to join the optimal currency area isstrong, and vice versa.
Global vector autoregressive (Global VAR) model is based on the vector autoregression (VAR) model for developing the econometric model to analyze thelinkages among nations. In the description of global and regional business cyclefluctuation,which is of good applicability. This paper systematically introduces theglobal vector autoregressive (Global VAR) modeling methods and techniques. We useGlobal VAR model to analyze the China-Japan-ROK macroeconomic dynamicassociation and transmission of exogenous shock in the three countries. The resultsof GVR Model shows: China,Japan and South Korea economic interdependence, onecountry's economic fluctuation will have an impact on the other two countries. Thetrilateral economic interdependence is asymmetric. There is significant positivecorrelation between South Korea economy and China's economy. The Japaneseeconomy and China's economy shows a positive correlation in some areas, a negativecorrelation in some other areas, dependence and competition coexist. The impact ofcrude oil prices and other exogenous shock to China,Japan and South Korea isasymmetric, it rose a larger impact on China and had a small effect on Japan andSouth Korea. In particular, the appreciation of the RMB have different degrees ofnegative effects on China,Japan and South Korea economy.
The results of our paper show that: the three countries share extensive andcommon interests. The three country’s government ought to give full consideration tothe characteristics of interdependence of each country business cycle in theformulation of macroeconomic policies, develop extensive cooperation in politicalfields, economic fields and cultural fields, avoid cut-throat competition, seekcommon ground while reserving differences, expand common interests.
引文
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