人民币汇率、FDI与我国产业结构的非线性效应——基于MS-VAR模型的实证研究

Nonlinear Effects of RMB Exchange Rate and FDI on China's Industrial Structure:An Empirical Study based on MS-VAR Model

近年来,人民币汇率变动对外商直接投资(FDI)流入和我国产业结构调整的影响日趋显著。本文运用马尔科夫区制转移向量自回归(MS-VAR)模型,实证分析2004-2016年人民币汇率变动通过FDI路径对中国产业结构调整的非线性影响效应。研究结果表明:人民币汇率变动对中国产业结构的影响依赖经济周期具体阶段而呈现出两区制特征,其中区制1、区制2分别代表经济状态波动平缓区制和经济状态波动剧烈区制,并且不同区制下变量间具有不同的动态关系。脉冲响应函数的结果显示,区制1中人民币升值促进了FDI流入,推动了产业结构优化升级,区制2中则相反,并且两区制下FDI流入对产业结构调整均发挥了积极作用,但区制2中的响应程度明显大于区制1。因此,保持人民币汇率在合理均衡水平上的基本稳定,避免人民币汇率波动幅度过大,增加FDI流入,有助于推动我国产业结构的优化升级。

RMB exchange rate and China＇s industrial structure adjustment are hot issue in the current economic field. The paper analyzes the nonlinear effect of RMB exchange rate through FDI path on China＇s industrial structure adjustment from 2004 to 2016 by using Markov Regime Switching Vector Auto-regression （MS-VAR） model. The results show that the impact of RMB exchange rate fluctuation on China＇s industrial structure depends on the specific stage of the economic cycle and presents the characteristics of the two regimes, in which the regime 1 and the regime 2 represent the gentle and violent economic fluctuation system respectively, and there are different dynamic relationships among the variables under different regimes. The results of impulse response function show that the appreciation of RMB in regime 1 has promoted the inflow of FDI, promoted the optimization and upgrading of industrial structure, regime 2 is the opposite, and the in- flow of FDI under the two-regime system has played a positive role in the industrial structure adjustment. But the degree of response in regime 2 is significantly greater than that in regime 1. Therefore, maintaining the basic stability of the RMB exchange rate at a reasonable level of equilibrium to avoid excessive fluctuations in the RMB exchange rate, and in- creasing the inflow of FDI, will help to promote the optimization and upgrading of China＇s industrial structure.