人民币实际有效汇率对FDI的影响分析
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摘要
随着我国引进外商直接投资的数额越来越多,外商直接投资已经成为我国经济快速发展的主要推动力之一,其对中国经济的影响体现在增加就业量、技术溢出效应、推进我国进出口行业的快速发展等方方面面。而随着我国对外开放程度的逐步提高,汇率特别是能够引起经济变量变动的实际有效汇率作为宏观经济主要的调控手段和经济杠杆,其重要性是不言而喻的。2005年7月汇率改革以后,人民币汇率制度更加富有弹性,并且人民币一直面临着巨大的升值压力,此时研究人民币实际有效汇率对外商直接投资的影响就更加具有现实意义。
本文分析了我国吸引FDI的现状,人民币汇率制度改革的进程,并且在对外商直接投资理论分析的基础上,结合中国的实际情况,分别建立了理论和实证模型进行分析。在实证分析时,不仅分析了人民币实际有效汇率的水平变动,还分析了人民币实际有效汇率的波动对外商直接投资的影响,并且分国别(地区)讨论了双边实际汇率对这些国家(地区)对华FDI的影响。主要运用了格兰杰因果检验、协整检验、建立误差修正模型的方法,最后利用了VEC(向量误差修正)模型来动态的分析人民币实际汇率对外商直接投资的影响。
结果表明,人民币实际有效汇率是FDI的格兰杰原因;分国别(地区)的讨论也显示双边实际汇率是FDI的格兰杰原因;并且汇率与FDI之间存在长期的协整关系。理论和实证模型都证明人民币贬值对FDI的流入有利,对全国数据的分析还证明了人民币实际有效汇率的波动与FDI负相关。同时,在分国别(地区)的分析时发现,基于不同的投资动机,对汇率的影响程度也不同。对于“贸易导向型”FDI,双边实际汇率的影响显著;对“市场盘踞型”FDI,双边实际汇率的影响则不那么显著。另外全国数据显示,汇率对FDI的综合解释能力只在30%左右,所以我们在制定引资策略时不能仅盯住汇率因素,所有因素的综合考虑才能达到引资最优化。
目前人民币汇率一直处于升值趋势之中,综合本文的研究结果来看,短期内人民币实际有效汇率的水平变动及波动都对FDI的影响不显著,所以短期内人民币汇率波动及小幅升值都不会对FDI产生明显影响,并且也可以使我国更好的利用汇率杠杆进行宏观调控。但是长期来看人民币实际有效汇率的贬值及汇率稳定都对FDI的流入更加有利。所以在进行汇率变动时,特别是对人民币汇率升值以及汇率的长期波动方面,必须慎之又慎,以防止对我国吸收FDI产生不利的影响。
Along with China attracts more and more foreign direct investment (FDI), FDI has already became one of the main driving engines that stimulate our country's economic development. Its influences exist in increasing the quantity of employment, introducing advanced technology, pushing the development of import and export industries and so on. On the other hand, with China open-up further, the importance of exchange rate especially real effective exchange rate, as the main regulating and controlling means and economic lever of macro-economy is obvious. After RMB exchange rate reform in July, 2005, RMB exchange rate system becomes more flexible, and RMB faces the great pressure of upvaluation, hence it makes sense to research the influence of RMB real effective exchange rate on FDI.
In this dissertation, according to the theory of foreign direct investment, and combining with the practical situation in China, the author establishes the theoretical and econometrics models. In the econometrics models, not only analyze the influence of real effective exchange rate-level change on FDI, but also analyze the influence on FDI caused by the volatility of exchange rate. Meanwhile, this dissertation selects some typical countries (areas) to test how bilateral real exchange rate affects their strategic decisions on investing in China. The dissertation mainly use the methods such as Granger Causality Test, Co-integration test and establishing Error Correction Model, then use the Vector Error Correction model (VEC) do dynamic analyses.
The results show there is relativity between RMB real exchange rate and FDI, and there also exists a long-term relationship of cointegration between them. Both the theoretical and econometrics models prove the devaluation of RMB can enhance China's ability to attract FDI, meanwhile the empirical analysis also prove there is a negative correlation between the volatility of exchange rate and FDI. The analyses of some typical countries (areas) show that the effects of bilateral real exchange rate on FDI from different countries or areas are variable according to their different investment motivations. As for trade-oriented FDI, bilateral real exchange rate influences significantly, whereas for market-oriented FDI, it works insignificantly. Additional, the dynamic analyses show that the explanatory ability of real effective exchange rate to FDI only about 30%, therefore, it should not just focus on exchange rate when making strategies for attracting foreign investment. In order to achieve optimization, all of the related factors are needed to consider.
Recently, the trend of RMB exchange rate is still upwards. According to the analysis in this dissertation, the influences of real effective exchange rate-level change and volatility on FDI are not significant in the short-term. So both fluctuation and upvaluation will not influence on FDI significantly in short-term, and our government can utilize the exchange rate lever to control macroeconomic better. However, the devaluation and stability of RMB are more favorable to attract FDI in the long time. In conclusion, we must treat the fluctuation and appreciation in exchange rate more and more prudent to prevent unfavorable influences on FDI.
本文分析了我国吸引FDI的现状,人民币汇率制度改革的进程,并且在对外商直接投资理论分析的基础上,结合中国的实际情况,分别建立了理论和实证模型进行分析。在实证分析时,不仅分析了人民币实际有效汇率的水平变动,还分析了人民币实际有效汇率的波动对外商直接投资的影响,并且分国别(地区)讨论了双边实际汇率对这些国家(地区)对华FDI的影响。主要运用了格兰杰因果检验、协整检验、建立误差修正模型的方法,最后利用了VEC(向量误差修正)模型来动态的分析人民币实际汇率对外商直接投资的影响。
结果表明,人民币实际有效汇率是FDI的格兰杰原因;分国别(地区)的讨论也显示双边实际汇率是FDI的格兰杰原因;并且汇率与FDI之间存在长期的协整关系。理论和实证模型都证明人民币贬值对FDI的流入有利,对全国数据的分析还证明了人民币实际有效汇率的波动与FDI负相关。同时,在分国别(地区)的分析时发现,基于不同的投资动机,对汇率的影响程度也不同。对于“贸易导向型”FDI,双边实际汇率的影响显著;对“市场盘踞型”FDI,双边实际汇率的影响则不那么显著。另外全国数据显示,汇率对FDI的综合解释能力只在30%左右,所以我们在制定引资策略时不能仅盯住汇率因素,所有因素的综合考虑才能达到引资最优化。
目前人民币汇率一直处于升值趋势之中,综合本文的研究结果来看,短期内人民币实际有效汇率的水平变动及波动都对FDI的影响不显著,所以短期内人民币汇率波动及小幅升值都不会对FDI产生明显影响,并且也可以使我国更好的利用汇率杠杆进行宏观调控。但是长期来看人民币实际有效汇率的贬值及汇率稳定都对FDI的流入更加有利。所以在进行汇率变动时,特别是对人民币汇率升值以及汇率的长期波动方面,必须慎之又慎,以防止对我国吸收FDI产生不利的影响。
Along with China attracts more and more foreign direct investment (FDI), FDI has already became one of the main driving engines that stimulate our country's economic development. Its influences exist in increasing the quantity of employment, introducing advanced technology, pushing the development of import and export industries and so on. On the other hand, with China open-up further, the importance of exchange rate especially real effective exchange rate, as the main regulating and controlling means and economic lever of macro-economy is obvious. After RMB exchange rate reform in July, 2005, RMB exchange rate system becomes more flexible, and RMB faces the great pressure of upvaluation, hence it makes sense to research the influence of RMB real effective exchange rate on FDI.
In this dissertation, according to the theory of foreign direct investment, and combining with the practical situation in China, the author establishes the theoretical and econometrics models. In the econometrics models, not only analyze the influence of real effective exchange rate-level change on FDI, but also analyze the influence on FDI caused by the volatility of exchange rate. Meanwhile, this dissertation selects some typical countries (areas) to test how bilateral real exchange rate affects their strategic decisions on investing in China. The dissertation mainly use the methods such as Granger Causality Test, Co-integration test and establishing Error Correction Model, then use the Vector Error Correction model (VEC) do dynamic analyses.
The results show there is relativity between RMB real exchange rate and FDI, and there also exists a long-term relationship of cointegration between them. Both the theoretical and econometrics models prove the devaluation of RMB can enhance China's ability to attract FDI, meanwhile the empirical analysis also prove there is a negative correlation between the volatility of exchange rate and FDI. The analyses of some typical countries (areas) show that the effects of bilateral real exchange rate on FDI from different countries or areas are variable according to their different investment motivations. As for trade-oriented FDI, bilateral real exchange rate influences significantly, whereas for market-oriented FDI, it works insignificantly. Additional, the dynamic analyses show that the explanatory ability of real effective exchange rate to FDI only about 30%, therefore, it should not just focus on exchange rate when making strategies for attracting foreign investment. In order to achieve optimization, all of the related factors are needed to consider.
Recently, the trend of RMB exchange rate is still upwards. According to the analysis in this dissertation, the influences of real effective exchange rate-level change and volatility on FDI are not significant in the short-term. So both fluctuation and upvaluation will not influence on FDI significantly in short-term, and our government can utilize the exchange rate lever to control macroeconomic better. However, the devaluation and stability of RMB are more favorable to attract FDI in the long time. In conclusion, we must treat the fluctuation and appreciation in exchange rate more and more prudent to prevent unfavorable influences on FDI.
引文
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[2]Backus, David K. & Smith, Gregor. Consumption and real exchange rates in dynamic economies with non-trade goods[J]. Journal of International economics, 1992, (35): 297-316
[3]Benassy-Quere, Agnes, Fontagne, Lionel & Lahreche-Revil, Amina. Exchange-rate strategies in the competition for attracting foreign direct investment[J]. Journal of the Japanese and International Economies.2001, (15): 178-198.
[4]Blomstrom, M. & Persson, H. Foreign direct investment and spillover efficiency in an underdeveloped economy: Evidence from the Mexican manufacturing industry[J].World Development. 1983, (11): 493-501.
[5]Blonigen, Bruce A. Firm-specific assets and the link between exchange rates and foreign direct investment[J]. The American Economic Review, 1997, 87(3): 447-465
[6]Calderon-Rossell, Jorger R. Towards the theory of foreign direct investment[J]. Oxford Economic Papers, 1985, 37(2): 282-291
[7]Campa, J.M. & Goldberg, L.S. Investment, pass-through, and exchange rates: A cross-country comparison[J]. International Economic Review, 1989, 40(2): 287-313
[8]Chen, David Y. Foreign direct investment in the United States: Interest rate and exchange rate[J]. Southern Business Review, 2005, 31(1): 1-12
[9]Cushman, D.O. Real exchange rate risk, expectations, and the level of direct investment[J]. Review of Economics and Statistics, 1985, 67(2): 297-308
[10]Culem, C. The locational determinants of direct investments among industrialized countries[J]. European Economic Review, 1998, 32(4): 885-904
[11]Dewenter, Kathryn L. Do exchange rate changes drive foreign direct investment?[J]. The Journal of Business, 1995, 68(3): 405-431
[12]Froot,Kenneth A.& Stein,Jeremy C.Exchange rates and foreign direct investment:An imperfect capital market approach[J].Quarterly Journal of Economics,1991,(4):1191-1217
[13]Kohlhagen,Steven W.Exchange rate changes,profitability,and direct foreign investment[J].Southern Economic Journal,1977,44(1):43-52
[14]Kosteletou,Nikolina & Liargovas,Panagiotis.Foreign direct Investment and real exchange rate interlinkages[J].Open Economies Review.2000,11(02):135-148
[15]Lahiri,Sajal & Mesa,Fernando.Local content requirement on foreign direct investment under exchange rate volatility[J].International Review of Economics and Finance,2006,(15):346-363
[16]Shrikhande,Milind M.A general equilibrium analysis of foreign direct investment and the real exchange rate[J].International Journal of Finance and Economics,2002,(7):309-325
[17]Uusivuori,Jussi & Laaksonen-Craig,Susanna.Foreign direct investment exports and exchange rates:The case of forest industries[J].Forest Science,2001,47(4):577-586
[18]Xing,Yuqing.Why is China so attractive for FDI? The role of exchange rates[J].China Economic Review,2006,(17):198-209
[19]Yip,Paul S.L.& Yao,S.T.Removing foreign direct investment's exchange rate risk in developing economies:the case for a foreign exchange custodian[J].International Review of Economics and Finance,2006,(15):294-315
[20]陈帮能.人民币有效汇率与我国外商直接投资的关系[J].金融教学与研究,2006,(3):26-31
[21]陈浪南,王瑞锟和林海蒂.汇率变动对外国直接投资影响的实证研究[J].投资研究,1999,(2):18-24
[22]陈阳,唐红涛.汇率与FDI关系的实证研究及传导路径[J].吉林财税高等专科学校学报,2004,(3):33-35
[23]丁辉侠,冯宗宪和王青.投资来源国的特定因素对中国FDI的影响-以多维度要素模型为基础的实证分析[J].国际贸易问题,2006,(12):63-68
[24]戴金平,王晓天.中国的贸易、境外直接投资与实际汇率的变动关系分析[J].数量经济技术经济研究,2005,(11):34-44
[25]封福育,王少平.FDI对中国出口贸易影响的实证分析[J].南昌大学学报(人文社会科学版),2006,37(2):53-55
[26]葛柳燕.从博弈角度看我国的FDI政策[J].市场周刊·理论研究,2006,(6),123-124
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