發(fā)布時間：2018-02-27 01:00

  本文關鍵詞： 匯率單向貶值傳遞 固定資產(chǎn)投資 系統(tǒng)GMM估計 非線性自回歸分布滯后模型　出處：《世界經(jīng)濟研究》2017年07期 　論文類型：期刊論文

【摘要】：開放經(jīng)濟下,匯率變動對一國投資有著重要的影響。文章根據(jù)行業(yè)特點計算得出行業(yè)有效匯率,并以此構建行業(yè)動態(tài)面板數(shù)據(jù),運用系統(tǒng)GMM估計方法、非線性自回歸分布滯后(NARDL)模型,結(jié)合非對稱性視角,從匯率水平變動、匯率波動幅度變動兩個角度考察了匯率對不同行業(yè)投資的傳遞效應。結(jié)果表明,人民幣貶值會刺激投資,反之則反是。其中勞動密集型行業(yè)對匯率水平變動較為敏感,而資本密集型行業(yè)對匯率波幅較為敏感,且均具有顯著時滯性。匯率對投資的傳遞主要依靠收入渠道,成本、利潤渠道則并不明顯。此外,勞動密集型行業(yè)對人民幣貶值更敏感,而資本密集型行業(yè)則相反。
[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.

【作者單位】： 武漢大學經(jīng)濟與管理學院金融系;
【分類號】：F283;F832.6

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