人民币汇率变动产出和就业效应的地区差异研究

【作者】 朱永行；

【导师】 干杏娣；

【作者基本信息】 复旦大学 ， 金融学， 2011， 博士

【摘要】 汇率变动的宏观经济效应是一个倍受争论但又不可回避的课题。20世纪90年代以来,随着我国经济开放度的不断提高和出口导向型经济发展战略的实施,我国的进出口贸易迅速增长,国内经济发展日益依赖于国际市场,较高的对外依存度也使得我国经济中相当大的比例暴露于汇率风险之中。人民币实际有效汇率变动会影响我国的进出口贸易和外商直接投资,尤其是实际有效汇率的升值将直接导致我国出口产品竞争力下降,进而引致我国出口减少和出口导向型的外商直接投资减少,并进一步影响到我国的产出和就业。开放经济条件下,汇率变动会通过对外贸易渠道、外商投资渠道、资产负债表渠道以及心理预期渠道等对一国的产出和就业产生影响。我国是一个面积大国,且不同地区之间存在较大的非均衡性,在进出口规模和吸引外商直接投资水平方面也存在较大差异。这种地区之间的异质性,为本文分析人民币实际有效汇率变动对我国不同地区实际产出和就业影响的差异性提供了研究视角。首先,本文基于协整的向量误差修正模型(VECM)以及Granger因果检验、脉冲响应函数等分析技术实证检验了我国实际产出、实际出口额、实际利用FDI和人民币实际有效汇率四个变量之间的长期均衡关系和短期动态调整关系。实证检验的结果表明,我国实际产出、实际出口额、实际利用FDI和人民币实际有效汇率四个变量之间存在唯一长期均衡关系。短期内人民币实际有效汇率变动主要对出口产生负向冲击,并与出口、FDl一起对实际产出产生负向冲击。考虑到我国经济发展的地区非均衡性,我们认为忽视地区之间的差异将可能导致对所讨论问题的认识不足以及产生经验分析结果上的偏误。我国不同地区之间的经济差异,主要表现在地区经济规模及发展水平、对外开放程度、进出口额与吸引FDI流入规模等方面。由此,我们判断人民币实际有效汇率变动也会对我国不同地区的产出和就业产生差异性的影响。进而,本文以拓展的开放经济生产函数为理论框架,分别建立人民币实际有效汇率变动影响我国地区实际产出和地区就业的省际面板数据模型,利用面板数据的分析方法对地区实际产出和地区就业的计量模型分别进行了相关检验和分析。经验实证的结果表明,无论是从省际层面来看还是通过划分不同经济区域来看,人民币实际有效汇率变动对我国不同地区的实际产出和就业的影响均具有显著的差异性。从29个省(直辖市、自治区)层面来看,产出的汇率弹性系数为负的地区有17个,为正的地区有12个,省际间的产出汇率弹性系数的均值、标准差和离散系数分别为—0.147、0.436和—2.961；就业的汇率弹性系数为负的地区有16个,为正的地区有13个,省际间的就业汇率弹性系数的均值、标准差和离散系数分别为-0.061、0.326和-5.363。从经济四区域划分来看,东、中、西和东北地区实际产出的汇率弹性系数分别为-0.262、-0.130、-0.321和-0.128,就业的汇率弹性系数分别为-0.274、0.034、-0.130和-0.182。经济八区域划分的计量结果同样显示出地区产出和就业的汇率弹性系数具有较大差异。四区划的估计结果反映出,人民币实际有效汇率升值,将会拉大我国西部地区与东部地区之间的经济差距,同时会加大我国尤其是东部地区的劳动力就业压力。再次,根据汇率变动主要通过对外贸易和外商直接投资两大中间传导渠道对产出和就业产生影响的作用机制,本文通过构建影响我国地区出口、地区进口和地区外商直接投资的计量方程,从实证的角度分别检验了人民币实际有效汇率变动影响我国不同地区出口、进口和吸引外商直接投资的差异性。经验研究的结果证实了对外贸易和外商直接投资这两大中间传导渠道的作用。人民币实际有效汇率变动对我国不同地区出口、进口和利用外商直接投资的影响均具有较大的差异性。从29个省(直辖市、自治区)层面来看,出口的汇率弹性系数为负的地区有26个,为正的地区有3个,省际间的出口汇率弹性系数的均值、标准差和离散系数分别为-1.079、0.815和-0.757；进口的汇率弹性系数为负的地区有26个,为正的地区有3个,省际间的进口汇率弹性系数的均值、标准差和离散系数分别为-1.618、1.378和-0.852；FDI的汇率弹性系数为负的地区有15个,为正的地区有14个,省际间的FDI汇率弹性系数的均值、标准差和离散系数分别为-0.570、2.169和-3.804。从经济四区域划分来看,东、中、西和东北地区出口的汇率弹性系数分别为-0.726、-1.568、-1.172和-1.093,进口的汇率弹性系数分别为-0.894、-1.910、-1.363和-1.365,FDI的汇率弹性系数分别为-0.438、-0.711、-1.328和-0.035。经济八区域划分的计量结果同样显示出地区出口、进口和FDI的汇率弹性系数具有较大差异。四区划的估计结果反映出,人民币实际有效汇率变动对我国中部地区的出口和进口影响程度最大,对西部地区的FDI流入影响程度最大,而对东部地区的出口、进口和FDI流入影响程度均相对较小。最后,在对全文进行总结分析的基础上,提出了相关政策建议。更多还原

【Abstract】 The macroeconomic effect of foreign exchange rate change is a contentious yet unavoidable topic. Since 1990’s, with China’s economy becoming more open and the export-oriented strategy of economy development put into practice, China’s foreign trade has grown rapidly and China’s economy has become more reliant on international market. As a result, a large proportion of China’s economy is exposed to foreign exchange risk. The change of RMB REER will influence China’s foreign trade and FDI. In particular, the appreciation of RMB REER will directly weaken the competitiveness of China’s products, reduce export and export-oriented FDI, and consequently influence China’s output and labor demand.In an open economy, exchange rate change will influence output and employment through foreign trade, foreign investment, balance sheet effect and expectation. In China, the development of different regions is unbalanced, so that these regions differ a lot in their foreign trade scale and their ability to attract FDI. This heterogeneity across regions provides a perspective for us to study the different impact of RMB REER change on the real output and employment of different regions.Above all, this paper analyzes the long-term equilibrium relation of China’s real output, real export, FDI utilization and RMB REER with co-integrated Vector Autoregression (VAR) model, and examines their short-term dynamic with Error Correction Model (ECM), Granger causality test, impulse response and other techniques. Empirical results show that there is only one long-term equilibrium relation among China’s real output, real export, FDI utilization and RMB REER. The change of RMB REER has a significant negative impact on real output. In the short run, the major change in REER has a negative impact on exports, and with exports, FDI have a negative impact on actual output.Considering the unbalanced economy development across different regions, it might lead to biased empirical results and insufficient understanding of the topic if we ignore regional differences. Since regions are different in terms of economy scale and development, openness to foreign market, import and export volume and FDI inflow, we judge that the change of RMB REER will have different impact on the output and employment of different regions across China. Then, in the framework of extended production function for open economy, we build panel data models across regions regarding the respective impact of RMB REER change on the real output and employment of different regions, and use techniques for panel data analysis to test and analyze the econometric models of regional real output and employment. Empirical results show that the impact of RMB REER change on real output and employment varies significantly across regions no matter whether the region here is defined by provinces or by economic regions. If we define region by 29 provinces, municipalities directly under the Central Government and autonomous regions, the elasticity of output to exchange rate for 17 provinces is negative, while the figure for the other 12 provinces is positive. The elasticity of output to exchange rate averages -0.147 across different provinces with a standard deviation of 0.436 and a variation coefficient of -2.961. Also, among the 29 provinces, the elasticity of employment to exchange rate for 16 provinces is negative, while the figure for the other 13 provinces is positive. The elasticity of output to exchange rate averages-0.061 across different provinces with a standard deviation of 0.326 and a variation coefficient of -5.363. If we define region by four large regions-East China, Central China, West China and North-east China, the elasticity of real output to exchange rate is -0.262,-0.130,-0.321 and -0.128 respectively, and the elasticity of employment to exchange rate is -0.274,0.034,-0.130 and -0.182 respectively. If we divide China into eight economic regions, econometric results also demonstrate that the elasticity of output and employment to exchange rate varies significantly across regions. The estimate for the model of four regions shows that RMB REER appreciation will widen the economic gap between West China and East China, and will increase pressure on China’s employment, especially on employment in East China.In addition, considering that exchange rate change works on output and employment mainly through foreign trade and FDI, this paper establishes econometric equations that capture the impact of RMB REER change on export, import and FDI across different regions, and empirically examines the different impact of RMB REER change on export, import and FDI for different regions. Empirical results verify the intermediary and transmission role of foreign trade and FDI. The impact of RMB REER change on export, import and FDI varies significantly across regions. In the model of 29 provinces, the elasticity of export to exchange rate for 26 provinces is negative, the figure for the other 3 is positive, and the elasticity of export to exchange rate averages -1.079 across the 29 provinces with a standard deviation of 0.815 and a variation coefficient of -0.757. The elasticity of import to exchange rate for 26 provinces is negative, the figure for the other 3 is positive, and the elasticity of import to exchange rate averages -1.618 across the 29 provinces with a standard deviation of 1.378 and a variation coefficient of -0.852. The elasticity of FDI to exchange rate for 15 provinces is negative, the figure for the other 14 is positive, and the elasticity of FDI to exchange rate averages -0.570 across the 29 provinces with a standard deviation of 2.619 and a variation coefficient of -3.804. In the model of four economic regions, the elasticity of export to exchange rate for East China, Central China, West China and North-east China is -0.726,-1.568,-1.172 and-1.093 respectively, the elasticity of import to exchange rate is -0.894,-1.910,-1.363 and-1.365 respectively, and the elasticity of FDI to foreign exchange is -0.438,-0.711,-1.328 and -0.035 respectively. The econometric results for the model of eight regions also show that the elasticity of export, import and FDI to exchange rate varies greatly across different regions. The estimate for the model of four regions shows that RMB REER change has the largest impact on the export and import of Central China and on the FDI of West China, and have small impact on the export, import and FDI of East China. Finally, we make a summary of the paper and conclude with policy suggestions.更多还原