不同资本账户开放程度下汇率波动对经济增长的非线性效应--基于面板门限模型的分析

Nonlinear Effects of Exchange Rate Volatility on Economic Growth Under Different Capital Account Openness Degrees:An Analysis Based on Panel Threshold Model

文章利用50个国家1997~2015年的年度数据,基于面板门限模型分析了不同资本账户开放度下汇率波动与经济增长之间的非线性效应。研究发现:第一,汇率波动与经济增长之间存在门限效应,具体表现为低汇率波动促进经济增长,高汇率波动抑制经济增长;第二,资本账户开放能够弱化汇率波动对经济增长的不利影响,且不同资本账户开放度存在异质性;第三,不同汇率波动幅度下,汇率波动与资本账户开放度的交互项对经济增长的影响存在门限效应。

Using annual data of 50 countries from 1997 to 2015, this paper analyses the non-linear effect between exchange rate volatility and economic growth under different capital account openness based on panel threshold model. The results show that: firstly, there is a threshold effect between exchange rate volatility and economic growth, which is manifested by low exchange rate volatility promoting economic growth and high exchange rate volatility inhibiting economic growth;secondly, capital account liberalization can weaken the adverse impact of exchange rate volatility on economic growth, and different capital account openness exists heterogeneity;Thirdly, under different exchange rate volatilities the interaction between exchange rate volatility and capital account openness has a threshold effect on economic growth.