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

【摘要】：開(kāi)放經(jīng)濟(jì)下,匯率變動(dòng)對(duì)一國(guó)投資有著重要的影響。文章根據(jù)行業(yè)特點(diǎn)計(jì)算得出行業(yè)有效匯率,并以此構(gòu)建行業(yè)動(dòng)態(tài)面板數(shù)據(jù),運(yùn)用系統(tǒng)GMM估計(jì)方法、非線性自回歸分布滯后(NARDL)模型,結(jié)合非對(duì)稱性視角,從匯率水平變動(dòng)、匯率波動(dòng)幅度變動(dòng)兩個(gè)角度考察了匯率對(duì)不同行業(yè)投資的傳遞效應(yīng)。結(jié)果表明,人民幣貶值會(huì)刺激投資,反之則反是。其中勞動(dòng)密集型行業(yè)對(duì)匯率水平變動(dòng)較為敏感,而資本密集型行業(yè)對(duì)匯率波幅較為敏感,且均具有顯著時(shí)滯性。匯率對(duì)投資的傳遞主要依靠收入渠道,成本、利潤(rùn)渠道則并不明顯。此外,勞動(dòng)密集型行業(yè)對(duì)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(xué)經(jīng)濟(jì)與管理學(xué)院金融系;
【分類號(hào)】：F283;F832.6

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