管理评论

管理评论 ›› 2020, Vol. 32 ›› Issue (9): 34-44.

• 经济与金融管理 • 上一篇    下一篇

人民币汇率对FDI和OFDI的动态影响研究——基于三元GARCH的汇率变动和波动分析

韩永辉1,2, 韩铭辉3, 李子文4   

  1. 1. 广东外语外贸大学广东国际战略研究院, 广州 510420;
    2. 广东外语外贸大学国际经济贸易研究中心, 广州 510420;
    3. 华南理工大学经济与金融学院, 广州 510641;
    4. 广东金融学院金融与投资学院, 广州 510521
  • 收稿日期:2018-01-22 出版日期:2020-09-28 发布日期:2020-09-30
  • 通讯作者: 李子文(通讯作者),广东金融学院金融与投资学院助教
  • 作者简介:韩永辉,广东外语外贸大学广东国际战略研究院副教授,博士生导师,珠江学者、云山学者,国际经济贸易研究中心兼职研究员;韩铭辉,华南理工大学经济与金融学院博士研究生。
  • 基金资助:
    教育部哲学社会科学研究重大课题攻关项目（16JZD018）；国家自然科学基金项目（72073037；71873041；71603060；71573058）；广东省哲学社会科学规划项目（GD19YYJ05）。

Dynamic Impact of RMB Exchange Rate on FDI and OFDI——An Empirical Analysis Based on the Ternary GARCH Model of Exchange Rate Level and Volatility

Han Yonghui1,2, Han Minghui3, Li Ziwen4   

  1. 1. Guangdong Institute for International Strategies, Guangdong University of Foreign Studies, Guangzhou 510420;
    2. Research Center for International Trade and Economics, Guangdong University of Foreign Studies, Guangzhou 510420;
    3. School of Economics and Finance, South China University of Technology, Guangzhou 510641;
    4. School of Finance and Investment, Guangdong University of Finance, Guangzhou 510521
  • Received:2018-01-22 Online:2020-09-28 Published:2020-09-30

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摘要： 在全面开放新格局下，亟待厘清人民币汇率变动和波动对双向FDI的作用机制。本文将人民币汇率、FDI和OFDI三者纳入一个统一的理论分析框架，从汇率水平变动和汇率波动风险的双重视角，考虑时变异方差和变量间风险传递效应，采用三元GARCH和BEKK时序模型研究人民币汇率、FDI和OFDI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OFDI增长，但汇率变动对FDI未见显著影响；人民币汇率波动风险增加对FDI有显著促进作用，对OFDI则有显著抑制作用；考察三变量的波动传导机制，发现历史人民币汇率波动对当期FDI波动存在短期促进和长期抑制的传导效应，历史人民币汇率波动对当期OFDI波动则存在显著的长短期抑制传导效应。本研究表明，在推进双向开放的新阶段，应更注重利用人民币汇率升贬值的区间波段机制，推动FDI和OFDI良性协同发展，优化双向国际投资策略。

关键词: FDI, OFDI, 人民币汇率, 三元GARCH

Abstract: In the current new era of comprehensive liberalization, it is urgent to clarify the mechanism of how exchange rate fluctuation and volatility affects two-way FDI. This paper integrates the RMB exchange rate, FDI and OFDI into a unified theoretical framework. Based on the dual perspective of exchange rate fluctuation and exchange rate volatility risk, we examine the time variance and the risk transfer effect between variables, and study the dynamic relationship between RMB exchange rate, FDI and OFDI and the interactive mechanism of volatility risk with ternary BEKK-GARCH timing model. The study finds that the appreciation of the RMB exchange rate fluctuation, will promote the growth of OFDI, but have no significant effect on FDI. RMB exchange rate volatility has a significant role in the increased risk of FDI, but has significant inhibitory effect on OFDI. By examining the wave conduction mechanism of the three variables, the study finds that historical RMB exchange rate volatility has the short term promotion and long-term inhibition effect on the current FDI fluctuations, and has a significant short-term and long-term inhibitory effect on the current OFDI. This study shows that in promoting a new stage of two-way opening, we should pay more attention to the use of RMB exchange rate or depreciation of the interval wave segment mechanism to promote the benign development of FDI and OFDI and optimize two-way international investment strategy.

Key words: FDI, OFDI, RMB exchange rate, ternary GARCH