中日韩宏观经济动态影响及外生冲击传导机制研究

发布时间：2018-03-16 23:19

本文选题：经济周期　切入点：全球向量自回归　出处：《华侨大学》2013年博士论文　论文类型：学位论文

【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。
[Abstract]:China, Japan and South Korea are playing an increasingly important role on the stage of East Asia and the world as a whole. Under the conditions of open economy, the three countries have increasingly close economic ties and the rapid development of transnational investment. International trade and other economic activities have made the economic cycles of the three countries show a common trend of change. The impact of exogenous shocks, including changes in international oil prices, on the economic cycles of China, Japan and South Korea is becoming more and more obvious. In this context, we investigate the synergistic nature of the macro economy of China, Japan and South Korea, the operational characteristics of their respective economic cycles, and the transmission mechanism of economic fluctuations between them. It is of great theoretical and practical significance to accurately grasp the external environment of China's economy, actively use the favorable impact of regional economic cycle to avoid adverse shocks, and realize the smooth operation of Chinese economy. This paper reviews the theoretical research results at home and abroad, and expounds the mechanism of the main transmission channels between economies of economic cycle fluctuations and exogenous shocks in three open economies, namely, international trade channels, foreign direct investment channels and exchange rate channels. It lays the economic theoretical foundation for the empirical results of the global vector autoregressive model. We analyze the conduction paths of the three channels respectively. It makes our research results more realistic and interpretive. A large number of statistics are cited to describe in detail the economic and trade activities between the three countries. This paper constructs a game model between three countries and a mathematical model of the regional optimal currency area. The result of the game model shows that the three countries should proceed from the angle of collective interests when making economic policies, otherwise, the collective interests of the three countries will be damaged. From the results of the optimal currency area model, it is concluded that the subjective will of East Asian countries, including China, Japan and South Korea, to set up the optimal currency area depends on the comparison of the effectiveness of the country before and after its accession. If the economic cycle of a country is consistent with that of the member countries in the optimal currency zone, the willingness of the country to join is stronger than that of the other. The global vector autoregressive model (GVAR) is an econometric model for the analysis of economic linkages between multinational economies, which is based on the VAR model. In this paper, the modeling methods and techniques of global vector autoregressive global VARs model are systematically introduced. This method is used to analyze the macroeconomic dynamic correlation between China, Japan and South Korea and the dynamic conduction path of exogenous shocks among the three countries. The results of the model estimate show that the economies of China, Japan and Korea are interdependent. The economic fluctuations of any one of these countries will have an impact on the other two countries, but the degree of economic dependence among the three countries is asymmetrical, in which the Korean economy and the Chinese economy have a significant positive correlation. Japanese economy and Chinese economy show positive correlation in some fields, negative correlation in some fields, dependence and competition coexist. The impact of exogenous shocks, such as crude oil price, on China, Japan and South Korea is also asymmetric. The rise in crude oil prices has had a greater impact on China than on Japan and South Korea. In particular, the appreciation of the yuan has had varying degrees of negative impact on the economies of China, Japan and South Korea as a whole. The results show that China, Japan and South Korea have a wide range of common interests. In formulating macroeconomic policies, we should take full account of the interdependent characteristics of economic cycles among different countries, and carry out extensive cooperation in political, economic, cultural, and other fields. We should avoid vicious competition, seek common ground while reserving differences, and expand common interests.
【学位授予单位】：华侨大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F124;F131.3;F131.26;F224

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