人民币汇率对出入境并购的动态影响研究——基于三元GARCH的汇率变动和波动分析

Dynamic Impact of RMB Exchange Rate on Cross-Border Mergers and Acquisitions:An Empirical Analysis Based on the Ternary GARCH Model of Exchange Rate Level and Volatility

为进一步扩大对外开放,推动形成全面开放新格局,亟待厘清人民币汇率变动和波动对出入境并购的作用机制。本文将人民币汇率、入境并购和出境并购三者纳入一个统一的理论分析框架,从汇率水平变动和波动风险的双重视角,考虑时变异方差和变量间风险的传递效应,采用三元GARCH和BEKK时序模型研究人民币汇率、入境并购和出境并购之间的动态影响关系及其波动风险互动机制。研究发现,人民币汇率升值变动将推动出境并购增长,抑制入境并购增长;人民币汇率波动的增加将对入境并购带来显著的正向促进效应,对出境并购带来显著的负向抑制效应,出境并购投资与入境并购投资存在互动的波动风险影响效应。考察三变量的波动传染机制发现,在短期,历史人民币汇率波动对当期入境并购波动以及对当期出境并购波动的影响效应不显著;在长期,历史人民币汇率波动对当期入境并购波动以及对当期出境并购波动均存在负向的抑制传导效应。

In order to further expand opening-up and form a new pattern,it is urgent to clarify the mechanism of RMB exchange rate fluctuations on entry-exit mergers and acquisitions.This paper incorporates RMB exchange rate,inbound M&A and outbound M&A into a unified theoretical analysis framework.From the dual perspectives of exchange rate level fluctuation and volatility risk,and considering the transmission effect of time variance and inter-variable risk,we use three-dimensional GARCH and BEKK time series models to study the dynamic relationship among RMB exchange rate,inbound and outbound M&A and the interaction mechanism of volatility risk.The study finds that the appreciation of RMB exchange rate will promote the growth of outbound mergers and acquisitions and restrain the growth of inbound mergers and acquisitions.The increase of RMB exchange rate fluctuation will bring significant positive promotion effect on inbound mergers and acquisitions,and significant negative restraint effect on outbound mergers and acquisitions.There is a self and interactive volatility risk effect between outbound mergers and acquisitions investment and inbound.In the short run,the historical RMB exchange rate fluctuation has no significant effect on the current entry M&A fluctuation and the current exit M&A fluctuation.In the long run,the historical RMB exchange rate fluctuation has negative restraint conduction effect on the current entry M&A fluctuation and the current exit M&A fluctuation.