国内经济不确定性是否抑制了外商直接投资?——基于时变参数向量自回归模型分析

Does Domestic Economic Uncertainty Restrain Foreign Direct Investment?——Analysis base on Time-Varying Parameter Vector Autoregressive Model

外商直接投资对一个国家特别是发展中国家的经济发展有着很大的影响,一个国家吸引外资的能力受到了经济、制度、政策等多方面因素影响。本文从经济不确定性角度出发,研究其对外商直接投资的影响。经济不确定性会导致经济波动的产生,一般有可能会加深资本持有者的不信任程度,那么这种不信任是否会实际抑制外商直接投资呢?本文通过带有时变参数的向量自回归模型(TVP-VAR)来对经济不确定性与外商直接投资的相关性进行研究。结果表明,经济政策的不确定性对外商直接投资在长期来看具有正面的冲击;而在实体经济不确定性中,生产价格指数上升短期内会刺激外商直接投资,但长期来看生产价格指数上升带来的生产成本上升最终会对外商直接投资产生抑制作用;宏观经济景气指数则会对外商直接投资产生正面影响,且这种影响具有可持续性。

Foreign direct investment has a great effect on economic development of acountry,especially a developing country. The ability of a country that attracts foreign investment isaffected by many factors such as economy,system and policy. This study researches the effect of foreign direct investment on the perspective of economic uncertainty. Economic uncertainty will lead to economic fluctuations,which may increase mistrust of capital holders. Does the mistrust actually inhibit foreign direct investment? This study researches the correlation betweeneconomic uncertainty and foreign direct investment through time-varying parameter vector autoregressive model. The result shows that the uncertainty of economic policyhas a positive impact on foreign direct investment from long term view. However,in the real economy,the rise of the producer price index will stimulate foreign direct investment inshort term,but from long term view,the increase of producer price index that lead to the increase of the costs of production will eventually inhibit foreign direct investment;the business index of macro-economic will have a positive effect on foreign direct investment,and this effect can last for long term.