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为分析中国贸易余额、外商直接投资(FDI)和人民币兑美元实际汇率三者之间潜在的动态互动关系,本文首先对3个变量的月度时序数据(1997M1—2007M7)进行包含多个内生结构突变点的最小拉格朗日乘数(LM)单整检验,发现三者均是包含两次内生结构突变的分段趋势平稳过程。基于这一数据生成特点,在对3个变量进行退势处理的基础上,本文又构建了具有长期约束的结构向量自回归(SVAR)模型对三者之间的长短期动态关系进行了实证分析,分析结论对中国在今后通过更加灵活的人民币汇率政策来调节国际收支平衡、保持经济健康稳定发展具有重要的理论指导意义。
In order to analyze the potential dynamic interaction between China’s trade balance, foreign direct investment (FDI) and the real exchange rate of RMB against the U.S. dollar, this paper first analyzes the monthly time series data of three variables (1997M1-2007M7) The least Lagrange Multiplier (LM) test of the mutation points showed that the three are both piecewise trend stationary processes involving two endogenous structural mutations. Based on the characteristics of this data generation, based on the regression of the three variables, this paper constructs a structured vector autoregressive (SVAR) model with long-term constraints to empirically analyze the long-short dynamic relationship among the three variables The conclusion of the analysis is of great theoretical guidance to China in the future through a more flexible RMB exchange rate policy to adjust the balance of payments and maintain a healthy and stable economic development.