我国“双顺差”成因的实证分析:1994-2007

A Positive Analysis of China's "Twin Surplus" from 1994 to 2007

通过构建VAR模型,对我国外汇储备、FDI流入量、加工贸易顺差和存差1994-2007年的月度数据进行了实证检验。协整检验显示FDI、加工贸易和存差与外汇储备存在协整关系或长期均衡关系。格兰杰因果检验表明FDI、加工贸易和存差均是外汇储备的格兰杰原因。从脉冲响应函数来看,FDI、加工贸易和存差均对外汇储备形成持续的正向冲击,方差分解显示FDI流入量对"双顺差"贡献最大。向量误差修正模型结果表明FDI、加工贸易和存差的短期波动对外汇储备的短期波动有显著影响。在定量分析基础上,就调整我国目前"双顺差"提出了政策建议。

By constructing a VAR model, we test monthly data from 1994 to 2007 of China＇s exchange reserve, inflow of FDI, surplus of processing trade and remain sum of deposit minus loan. Cointegration test shows that the four variables have the cointegration relationship with exchange reserve. Granger cause test indicates FDI, surplus of processing trade and remain sum of deposit minus loan axe Granger cause of exchange reserve. Impulse function test shows that FDI, surplus of processing trade and remain sum of deposit minus loan impact exchange reserve positively and persistently. And variance decomposition test proves that surplus of processing trade contributes biggest share to the ＂twin surplus＂. VECM test shows that the short-run fluctuation of FDI, surplus of processing trade and remain sum of deposit minus loan significantly influence exchange reserve. Based on the analysis of quantity we propose policies for how to adjust China＇s ＂twin surplus＂.