人民币汇率与外商直接投资关系研究——基于上海市的数据

Correlation between RMB Exchange Rate and Foreign Direct Investment ——Based on the Data of Shanghai

运用Johansen协整检验、Granger因果检验、脉冲响应分析等实证方法研究上海市外商直接投资与人民币实际有效汇率及其波动之间的相关性,研究表明:上海市外商直接投资(FDI)与实际有效汇率(REER)、地区国内生产总值(GDP)和对外依存度(OPEN)显著正相关,与汇率波动(VOL)和平均工资(WAGE)显著负相关;短期内人民币实际有效汇率及其波动对上海市外商直接投资存在影响,且汇率的波动比其实际值的大小更能影响外商直接投资;实际有效汇率及其波动的冲击在零期对外商直接投资均没有影响,响应值在第四期达到最大,实际有效汇率对于外商直接投资的影响主要体现在投资时机的选择上。

Foreign direct investment is one of the important impetus of Chinese rapid economic development. In this paper, we use Johansen cointegration test, Granger causality test, impulse response function to analysis the correlation between results are as follow Shanghai foreign direct investment, RMB real effective exchange rate and it＇ s fluctuations, the s： Shanghai foreign direct investment （FDI）, real effective exchange rate （REER）, regional gross domestic product （GDP） and external dependence （OPEN） are significantly positively correlative with the exchange rate fluctuations （VOL） ,the correlation between average wages （WAGE） and VOL is significantly negative; in the short term, real effective RMB exchange rate and it＇s fluctuations influence Shanghai foreign direct investment, and the impact of VOL is more significant; in the zero period , REER and VOL has no influence on FDI, and the response gets maximum in the fourth period, the effect of REER on foreign direct investment mainly embod- ies in the choice of investment opportunity.