人民币汇率变动对固定资产投资的影响研究:理论及实证

发布时间：2018-02-27 01:00

本文关键词： 汇率单向贬值传递固定资产投资系统GMM估计非线性自回归分布滞后模型　出处：《世界经济研究》2017年07期 　论文类型：期刊论文

【摘要】：开放经济下,汇率变动对一国投资有着重要的影响。文章根据行业特点计算得出行业有效汇率,并以此构建行业动态面板数据,运用系统GMM估计方法、非线性自回归分布滞后(NARDL)模型,结合非对称性视角,从汇率水平变动、汇率波动幅度变动两个角度考察了汇率对不同行业投资的传递效应。结果表明,人民币贬值会刺激投资,反之则反是。其中劳动密集型行业对汇率水平变动较为敏感,而资本密集型行业对汇率波幅较为敏感,且均具有显著时滞性。汇率对投资的传递主要依靠收入渠道,成本、利润渠道则并不明显。此外,劳动密集型行业对人民币贬值更敏感,而资本密集型行业则相反。
[Abstract]:Under the open economy, the exchange rate changes have a significant impact on the country's investment. This paper calculated according to the characteristics of the industry industry that effective exchange rate, and to build the industry dynamic panel data estimation method using the system GMM, the nonlinear autoregressive distributed lag (NARDL) model, combined with the asymmetrical angle, changes in the exchange rate, exchange rate fluctuations in two perspectives: the effect of exchange rate transfer investment in different industries. The results show that the RMB devaluation will stimulate investment, vice versa. The labor intensive industries are more sensitive to exchange rate movements, and capital intensive industries are more sensitive to exchange rate volatility, and significantly delayed transfer exchange rate on investment. Rely mainly on the revenue channels, cost, profit channel is not obvious. In addition, labor-intensive industries are more sensitive to the devaluation of the renminbi, and capital intensive industry is on the contrary.

【作者单位】：武汉大学经济与管理学院金融系;
【分类号】：F283;F832.6

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