金融危机与贸易波动
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摘要
本文依据192个出口国(地区)和169个进口国(地区)的数据,利用引力模型研究金融危机对出口及出口二元边际的当期及滞后期的影响情况,并分析影响危机复苏的机制,将金融危机划分为货币危机、银行危机和违约危机。研究结果显示:货币危机对出口广延边际的影响为正,对集约边际的影响为负,对总出口的影响不显著;银行危机对总出口的影响显著为负;违约危机对总出口的影响显著为正,该正向影响主要来自于广延边际;浮动的汇率制度和较高的劳动力市场流动性对危机爆发后广延边际的复苏起到一定的促进作用。
Using a data set covering 192 export countries and 169 import countries,this study investigated the effects of crisis and their lags on export and the extensive and intensive margins of export by gravity model. By dividing the crises into currency crises,system bank crises and default crises,we find that currency crises have positive effect on extensive margin while negative effect on intensive margin,so the effect of currency crises on export is statistically insignificant; system bank crises have negative effect on export;default crises have negative effect on export,which comes from extensive margin. Finally,we find that after crises floating exchange rate regime and high labor liquidly have a positive effect on recovering of export.
Using a data set covering 192 export countries and 169 import countries,this study investigated the effects of crisis and their lags on export and the extensive and intensive margins of export by gravity model. By dividing the crises into currency crises,system bank crises and default crises,we find that currency crises have positive effect on extensive margin while negative effect on intensive margin,so the effect of currency crises on export is statistically insignificant; system bank crises have negative effect on export;default crises have negative effect on export,which comes from extensive margin. Finally,we find that after crises floating exchange rate regime and high labor liquidly have a positive effect on recovering of export.
引文
[1]EATON,JONATHAN,S KORTUM,B NEIMAN AND J ROMALIS.Trade and the Global Recession[R].National Bureau of Economic Research,2011:16666.
[2]AMITI M,WEINSTEIN D E.Exports and Financial Shocks[J].The Quarterly Journal of Economics,2011,126(4):1841-1877.
[3]裴平,张倩,胡志锋.国际金融危机对我国出口贸易的影响---基于2007-2008年月度数据的实证研究[J].金融研究,2009(8):103-113.
[4]GUPTA P,MISHRA D,SAHAY R.Behavior of Output During Currency Crises[J].Journal of International Economics,2007,72(2):428-450.
[5]GLICK R,ROSE A.How Do Currency Crises Spread?[M].Research Department,Federal Reserve Bank of San Francisco,1998.
[6]HONG K,TORNELL A.Recovery from a Currency Crisis:Some Stylized Facts[J].Journal of Development Economics,2005,76(1):71-96.
[7]HUTCHISON M M,NOY I.Sudden Stops and the Mexican Wave:Currency Crises,Capital Flow Reversals and Output Loss in Emerging Markets[J].Journal of Development Economics,2006,79(1):225-248.
[8]FREUND C.The Trade Response to Global Downturns:Historical Evidence[M].The World Bank,2009.
[9]BEHRENS K,CORCOS G,MION G.Trade Crisis?What Trade Crisis?[J].Review of Economics and Statistics,2013,95(2):702-709.
[10]BRICONGNE J C,FONTAGNL,GAULIER G,et al.Firms and the Global Crisis:French Exports in the Turmoil[J].Journal of international Economics,2012,87(1):134-146.
[11]陈波,荆然.金融危机、融资成本与我国出口贸易变动[J].经济研究,2013(2):30-41.
[12]GOURINCHAS P O,OBSTFELD M.Stories of The Twentieth Century for the Twenty-First[J].American Economic Journal:Macroeconomics,2012,4(1):226-65.
[13]BORDO M,EICHENGREEN B,KLINGEBIEL D,et al.Is the Crisis Problem Growing More Severe?[J].Economic Policy,2001,16(32):52-82.
[14]LAEVEN,LUC,FABIAN VALENCIA.Systemic Banking Crises Database;An Update[R].International Monetary Fund,2012.
[15]REINHART C M,ROGOFF K S.The Forgotten History of Domestic Debt[J].The Economic Journal,2011,121(552):319-350.
[16]ANDERSON J E,VAN WINCOOP E.Gravity with Gravitas:A Solution to The Border Puzzle[J].American Economic Review,2003,93(1):170-192.
[17]BALDWIN R,TAGLIONI D.Gravity for Dummies and Dummies for Gravity Equations[R].National Bureau of E-conomic Research,2006.
[18]HUMMELS D,KLENOW P J.The Variety and Quality of a Nation’s Exports[J].American Economic Review,2005,95(3):704-723.
[19]DUTT P,MIHOV I,VAN ZANDT T.The Effect of WTO on the Extensive and the Intensive Margins of Trade[J].Journal of International Economics,2013,91(2):204-219.
[20]REINHART C M,ROGOFF K S.The Modern History of Exchange Rate Arrangements:A Reinterpretation[J].the Quarterly Journal of Economics,2004,119(1):1-48.
[21]FRANKEL J A.Mundell-Fleming Lecture:Contractionary Currency Crashes in Developing Countries[J].IMFStaff Papers,2005,52(2):149-192.
[22]BERNANKE B S,GERTLER M,GILCHRIST S.The Financial Accelerator in A Quantitative Business Cycle Framework[J].Handbook of Macroeconomics,1999(1):1341-1393.
[23]YEYATI,E L,STURZENEGGER,F.(The Effect of)Monetary and Exchange Rate Policies(on Development)[R].Universidad Torcuato Di Tella,2009.
[24]GAL,JORDI,F SMETS,R WOUTERS.Unemployment in an Estimated New Keynesian Model[R].Nber Working Paper,2011:17084.
[25]BERNANKE B S,CAREY K.Nominal Wage Stickiness and Aggregate Supply in the Great Depression[J].The Quarterly Journal of Economics,1996,111(3):853-883..
[26]ROSE A K,SPIEGEL M M.The Olympic Effect[J].The Economic Journal,2011,121(553):652-677.
(1)数据来源于联合国贸易与发展联合会:http://unctadstat.unctad.org/EN/Index.html。
(1)在稳健性检验中,本文增加2007-2010年的数据进行研究,结果依然稳健。
(1)汇率制度的数据来源于Reinhart和Rogoff(2004)的研究,即以153个国家(地区)汇率变动和通货膨胀率变动的数据为基础,首先判断国家是否存在双重或多重汇率市场,然后通过大量的数据统计分析和相关重要事件进一步判断该国的事实汇率制度,并依据浮动程度从低到高将汇率制度划分为15个细分类(errfine)。
(2)下文出现的控制“国家”表示控制出口国、进口国,控制“国家-国家对”表示控制出口国、进口国和双边国家对,控制“国家-国家对-时间”表示控制出口国、进口国、双边国家对和时间,下同。
(1)在回归中本文仍控制基准回归中的控制变量,但由于篇幅有限本文在此仅报告危机的回归结果。
(1)由于篇幅有限,本文仅报告货币危机时汇率制度和劳动力市场流动性对贸易恢复的调节作用,银行危机和违约危机的结果备索。
(1)由于篇幅有限,并未报告汇率制度和劳动力市场流动性在银行倒闭危机和违约危机后对贸易恢复的调节作用,具体回归结果备索。
[2]AMITI M,WEINSTEIN D E.Exports and Financial Shocks[J].The Quarterly Journal of Economics,2011,126(4):1841-1877.
[3]裴平,张倩,胡志锋.国际金融危机对我国出口贸易的影响---基于2007-2008年月度数据的实证研究[J].金融研究,2009(8):103-113.
[4]GUPTA P,MISHRA D,SAHAY R.Behavior of Output During Currency Crises[J].Journal of International Economics,2007,72(2):428-450.
[5]GLICK R,ROSE A.How Do Currency Crises Spread?[M].Research Department,Federal Reserve Bank of San Francisco,1998.
[6]HONG K,TORNELL A.Recovery from a Currency Crisis:Some Stylized Facts[J].Journal of Development Economics,2005,76(1):71-96.
[7]HUTCHISON M M,NOY I.Sudden Stops and the Mexican Wave:Currency Crises,Capital Flow Reversals and Output Loss in Emerging Markets[J].Journal of Development Economics,2006,79(1):225-248.
[8]FREUND C.The Trade Response to Global Downturns:Historical Evidence[M].The World Bank,2009.
[9]BEHRENS K,CORCOS G,MION G.Trade Crisis?What Trade Crisis?[J].Review of Economics and Statistics,2013,95(2):702-709.
[10]BRICONGNE J C,FONTAGNL,GAULIER G,et al.Firms and the Global Crisis:French Exports in the Turmoil[J].Journal of international Economics,2012,87(1):134-146.
[11]陈波,荆然.金融危机、融资成本与我国出口贸易变动[J].经济研究,2013(2):30-41.
[12]GOURINCHAS P O,OBSTFELD M.Stories of The Twentieth Century for the Twenty-First[J].American Economic Journal:Macroeconomics,2012,4(1):226-65.
[13]BORDO M,EICHENGREEN B,KLINGEBIEL D,et al.Is the Crisis Problem Growing More Severe?[J].Economic Policy,2001,16(32):52-82.
[14]LAEVEN,LUC,FABIAN VALENCIA.Systemic Banking Crises Database;An Update[R].International Monetary Fund,2012.
[15]REINHART C M,ROGOFF K S.The Forgotten History of Domestic Debt[J].The Economic Journal,2011,121(552):319-350.
[16]ANDERSON J E,VAN WINCOOP E.Gravity with Gravitas:A Solution to The Border Puzzle[J].American Economic Review,2003,93(1):170-192.
[17]BALDWIN R,TAGLIONI D.Gravity for Dummies and Dummies for Gravity Equations[R].National Bureau of E-conomic Research,2006.
[18]HUMMELS D,KLENOW P J.The Variety and Quality of a Nation’s Exports[J].American Economic Review,2005,95(3):704-723.
[19]DUTT P,MIHOV I,VAN ZANDT T.The Effect of WTO on the Extensive and the Intensive Margins of Trade[J].Journal of International Economics,2013,91(2):204-219.
[20]REINHART C M,ROGOFF K S.The Modern History of Exchange Rate Arrangements:A Reinterpretation[J].the Quarterly Journal of Economics,2004,119(1):1-48.
[21]FRANKEL J A.Mundell-Fleming Lecture:Contractionary Currency Crashes in Developing Countries[J].IMFStaff Papers,2005,52(2):149-192.
[22]BERNANKE B S,GERTLER M,GILCHRIST S.The Financial Accelerator in A Quantitative Business Cycle Framework[J].Handbook of Macroeconomics,1999(1):1341-1393.
[23]YEYATI,E L,STURZENEGGER,F.(The Effect of)Monetary and Exchange Rate Policies(on Development)[R].Universidad Torcuato Di Tella,2009.
[24]GAL,JORDI,F SMETS,R WOUTERS.Unemployment in an Estimated New Keynesian Model[R].Nber Working Paper,2011:17084.
[25]BERNANKE B S,CAREY K.Nominal Wage Stickiness and Aggregate Supply in the Great Depression[J].The Quarterly Journal of Economics,1996,111(3):853-883..
[26]ROSE A K,SPIEGEL M M.The Olympic Effect[J].The Economic Journal,2011,121(553):652-677.
(1)数据来源于联合国贸易与发展联合会:http://unctadstat.unctad.org/EN/Index.html。
(1)在稳健性检验中,本文增加2007-2010年的数据进行研究,结果依然稳健。
(1)汇率制度的数据来源于Reinhart和Rogoff(2004)的研究,即以153个国家(地区)汇率变动和通货膨胀率变动的数据为基础,首先判断国家是否存在双重或多重汇率市场,然后通过大量的数据统计分析和相关重要事件进一步判断该国的事实汇率制度,并依据浮动程度从低到高将汇率制度划分为15个细分类(errfine)。
(2)下文出现的控制“国家”表示控制出口国、进口国,控制“国家-国家对”表示控制出口国、进口国和双边国家对,控制“国家-国家对-时间”表示控制出口国、进口国、双边国家对和时间,下同。
(1)在回归中本文仍控制基准回归中的控制变量,但由于篇幅有限本文在此仅报告危机的回归结果。
(1)由于篇幅有限,本文仅报告货币危机时汇率制度和劳动力市场流动性对贸易恢复的调节作用,银行危机和违约危机的结果备索。
(1)由于篇幅有限,并未报告汇率制度和劳动力市场流动性在银行倒闭危机和违约危机后对贸易恢复的调节作用,具体回归结果备索。