金融发展与人民币实际汇率
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财经研究 2015 年 第 41 卷第 03 期, 页码：111 - 120
摘要
参考文献
摘要
尽管金融发展对一国经济有诸多有利之处,但文章认为它也可能通过影响物价、全要素生产率等引起货币实际升值。检验结果表明,我国银行对私人部门的信贷和股票市场的发展均可引起人民币实际升值,且主要是通过对物价的直接影响实现的,而通过巴拉萨-萨缪尔森效应仅产生有限的影响,人民币名义汇率则不是金融发展影响人民币实际汇率的主要渠道。因此,金融发展带给经济的可能并不全是福音,应充分认识金融发展通过人民币实际升值而可能产生的不利影响。
关键词
[1]傅强,朱映凤,袁晨.中国通货膨胀主要影响因素的判定与阐释[J].中国工业经济,2011,(5):5-15.
[2]胡永刚,郭长林.股票财富、信号传递与中国城镇居民消费[J].经济研究,2012,(3):115-126.
[3]江曙霞,陈玉婵.金融约束政策下的金融发展与经济效率[J].统计研究,2011,(7):21-26.
[4]李连发,辛晓岱.银行信贷、经济周期与货币政策调控:1984-2011[J].经济研究,2012,(3):102-114.
[5]潘敏,缪海斌.银行信贷、经济增长与通货膨胀压力[J].经济评论,2010,(2):62-70.
[6]沈坤荣,孙文杰.投资效率、资本形成和宏观经济波动——基于金融发展视角的实证研究[J].中国社会科学,2004,(6):52-63.
[7]唐旭,钱士春.相对劳动生产率变动对人民币实际汇率的影响分析——哈罗德-巴拉萨-萨缪尔森效应实证研究[J].金融研究,2007,(5):1-14.
[8]王苍峰,岳咬兴.人民币实际汇率与中国两部门生产率差异的关系——基于巴拉萨-萨缪尔森效应的实证分析[J].财经研究,2006,(8):71-80.
[9]熊鹏,王飞.中国金融发展对经济增长内在传导渠道研究——基于内生增长理论的实证比较[J].财经研究,2007,(12):68-76.
[10]徐建炜,杨盼盼.理解中国的实际汇率:一价定律偏离还是相对价格变动?[J].经济研究,2011,(7):78-90.
[11]颜鹏飞,王兵.技术效率、技术进步与生产率增长:基于DEA的实证分析[J].经济研究,2004,(12):55-65.
[12]姚耀军.金融发展与全要素增长率增长:区域差异重要吗?——来自中国省级面板数据的经验证据[J].当代财经,2012,(3):43-53.
[13]袁云峰,曹旭华.金融发展与经济增长效率的关系实证研究[J].统计研究,2007,(5):60-66.
[14]袁志刚,邵挺.人民币升值对我国各行业利润率变动的影响——基于2007年投入产出表的研究[J].金融研究,2011,(4):1-15.
[15]赵勇,雷达.金融发展与经济增长:生产率促进抑或资本形成[J].世界经济,2010,(2):37-50.
[16]赵振全,于震,杨东亮.金融发展与经济增长的非线性关联研究——基于门限模型的实证检验[J].数量经济技术经济研究,2007,(7):54-62.
[17]朱承亮,岳宏志,李婷.中国经济增长效率及其影响因素的实证研究:1985-2007年[J].数量经济技术经济研究,2009,(9):52-63.
[18]Arestis P,Demetriades P O,Luintel K B.Financial development and economic growth:The role of stock markets[J].Journal of Money,Credit and Banking,2001,33(1):16-41.
[19]Athukorala P C,Rajapatirana S.Capital inflows and the real exchange rate:A comparative study of Asia and Latin America[J].World Economy,2003,26(4):613-637.
[20]Beck T.Financial development and international trade:Is there a link?[J].Journal of International Economics,2002,57(1):107-131.
[21]Beck T.Financial dependence and international trade[J].Review of International Economics,2003,11(2):296-316.
[22]Brown R L,Durbin J,Evans J M.Techniques for testing the constancy of regression relationships over time[J].Journal of the Royal Statistical Society,Series B(Methodological),1975,37(2):149-192.
[23]Christopoulos D K,Tsionas E G.Financial development and economic growth:Evidence from panel unit root and cointegration tests[J].Journal of development Economics,2004,73(1):55-74.
[24]Cho S.Evidence of a stock market wealth effect using household level data[J].Economic Letters,2006,90(3):402-406.
[25]Combes J-L,Tidiane K,Patrick P.Capital flows,exchange rate flexibility,and the real exchange rate[R].IMF Working Paper WP/11/9,2011.
[26]Cottani J A,Cavallo D F,Khan M S.Real exchange rate behavior and economic performance in LDCs[J].Economic Development and Cultural Change,1990,39(1):61-76.
[27]Demir F,Dahi O S.Asymmetric effects of financial development on South-South and South-North trade:Panel data evidence from emerging markets[J].Journal of Development Economics,2011,94(1):139-149.
[28]Edwards S,Van Wijnbergen S.Tariffs,the real exchange rate and the terms of trade:On two popular propositions in international economics[J].Oxford Economic Papers,1987,39(3):458-464.
[29]Fujiwara I,Teranishi Y.Real exchange rate dynamic revisited:A case with financial market imperfections[J].Journal of International Money and Finance,2011,30(7):1562-1589.
[30]Funke N.Is there a stock market wealth effect in emerging markets?[J].Economic Letters,2004,83(3):417-421.
[31]Guo Q.The Balassa-Samuelson model of purchasing power parity and Chinese exchange rates[J].China Economic Review,2010,21(2):334-345.
[32]Jongwanich J,Kohpaiboon A.Capital flows and real exchange rates in emerging Asian countries[J].Journal of Asian Economics,2013,24:138-146.
[33]King R G,Levine R.Finance and growth:Schumpeter might be right[J].Quarterly Journal of Economics,1993,108(3):717-736.
[34]Kletzer K,Bardhan P.Credit markets and patterns of international trade[J].Journal of Development Economics,1987,27(1-2):57-70.
[35]Larrain B.Stock market development and cross-country differences in relative prices[J].Review of Economics and Statistics,2010,92(4):784-797.
[36]Levine R.Financial development and economic growth:Views and agenda[J].Journal of Economic Litera-ture,1997,35(2):688-726.
[37]Levine R,Loayza N,Beck T.Financial intermediation and growth:Causality and causes[J].Journal of Monetary Economics,2000,46(1):31-77.
[38]Levine R,Zervos S.Stock markets,banks,and economic growth[J].American Economic Review,1998,88(3):537-558.
[39]Li H,Ma H,Xu Y,et al.How do exchange rate movements affect Chinese exports?A firm-level investigation[R].Working Paper,School of Economics and Management,Tsinghua University,2012.
[40]Mercereau B.Stock markets and the real exchange rate:An intertemporal approach[J].Journal of International Money and Finance,2006,25(7):1130-1145.
[41]Peltonen T A,Sousa R M,Vansteenkiste I S.Wealth effects in emerging market economies[J].International Review of Economics and Finance,2012,24(10):155-166.
[42]Pesaran M H,Shin Y,Smith R J.Bounds testing approaches to the analysis of level relationships[J].Journal of Applied Econometrics,2001,16(3):289-326.
[43]Phylaktis K,Ravazzolo F.Stock prices and exchange rate dynamics[J].Journal of International Money and Finance,2005,24(7):1031-1053.
[44]Saint-Paul G.Technological choice,financial markets and economic growth[J].European Economic Review,1992,36(4):763-781.
[45]Wang J,Wang X.Benefits of foreign ownership:Evidence from foreign direct investment in China[R].Working Paper No.191,Globalization and Monetary Policy Institute,Federal Reserve Bank of Dallas,2014.
[46]Zhao H.Dynamic relationship between exchange rate and stock price:Evidence from China[J].Research in International Business and Finance,2010,24(2):103-112.
1根据2014年9月发布的《中国企业500强发展报告》,入选的制造业企业数量和利润连年下滑,入选的260家制造业企业的利润占全部500强的比重已不足20%,而入选的25家金融业企业则贡献了净利润的53%。
1 本文也考虑了将国内外劳动生产率差异和政府支出作为控制变量的情况,但由于前者与私人信贷的相关系数达到0 .93,后者与私人信贷的相关系数也达到0.82,产生了严重的多重共线性,故未使用。
2该指标是根据《海关统计》提供的进出口商品数量和单价数据以及《中国对外贸易指数》提供的进出口价格指数同比变动数据计算得到的。
3全要素生产率用(实际GDP/就业)对(实际资本存量/就业)与(人力资本/就业)回归后的残差来衡量,其中人力资本以全国高等院校在校生人数来衡量。
1人民币实际有效汇率指数和美元兑人民币无本金交割远期汇率分别来自国际清算银行和彭博数据库,其他数据来自中经网统计数据库。
2根据该检验,如果模型的所有估计系数是稳定的,那么迭代残差的累积和将处于5%显著性水平上的临界值之内。
[2]胡永刚,郭长林.股票财富、信号传递与中国城镇居民消费[J].经济研究,2012,(3):115-126.
[3]江曙霞,陈玉婵.金融约束政策下的金融发展与经济效率[J].统计研究,2011,(7):21-26.
[4]李连发,辛晓岱.银行信贷、经济周期与货币政策调控:1984-2011[J].经济研究,2012,(3):102-114.
[5]潘敏,缪海斌.银行信贷、经济增长与通货膨胀压力[J].经济评论,2010,(2):62-70.
[6]沈坤荣,孙文杰.投资效率、资本形成和宏观经济波动——基于金融发展视角的实证研究[J].中国社会科学,2004,(6):52-63.
[7]唐旭,钱士春.相对劳动生产率变动对人民币实际汇率的影响分析——哈罗德-巴拉萨-萨缪尔森效应实证研究[J].金融研究,2007,(5):1-14.
[8]王苍峰,岳咬兴.人民币实际汇率与中国两部门生产率差异的关系——基于巴拉萨-萨缪尔森效应的实证分析[J].财经研究,2006,(8):71-80.
[9]熊鹏,王飞.中国金融发展对经济增长内在传导渠道研究——基于内生增长理论的实证比较[J].财经研究,2007,(12):68-76.
[10]徐建炜,杨盼盼.理解中国的实际汇率:一价定律偏离还是相对价格变动?[J].经济研究,2011,(7):78-90.
[11]颜鹏飞,王兵.技术效率、技术进步与生产率增长:基于DEA的实证分析[J].经济研究,2004,(12):55-65.
[12]姚耀军.金融发展与全要素增长率增长:区域差异重要吗?——来自中国省级面板数据的经验证据[J].当代财经,2012,(3):43-53.
[13]袁云峰,曹旭华.金融发展与经济增长效率的关系实证研究[J].统计研究,2007,(5):60-66.
[14]袁志刚,邵挺.人民币升值对我国各行业利润率变动的影响——基于2007年投入产出表的研究[J].金融研究,2011,(4):1-15.
[15]赵勇,雷达.金融发展与经济增长:生产率促进抑或资本形成[J].世界经济,2010,(2):37-50.
[16]赵振全,于震,杨东亮.金融发展与经济增长的非线性关联研究——基于门限模型的实证检验[J].数量经济技术经济研究,2007,(7):54-62.
[17]朱承亮,岳宏志,李婷.中国经济增长效率及其影响因素的实证研究:1985-2007年[J].数量经济技术经济研究,2009,(9):52-63.
[18]Arestis P,Demetriades P O,Luintel K B.Financial development and economic growth:The role of stock markets[J].Journal of Money,Credit and Banking,2001,33(1):16-41.
[19]Athukorala P C,Rajapatirana S.Capital inflows and the real exchange rate:A comparative study of Asia and Latin America[J].World Economy,2003,26(4):613-637.
[20]Beck T.Financial development and international trade:Is there a link?[J].Journal of International Economics,2002,57(1):107-131.
[21]Beck T.Financial dependence and international trade[J].Review of International Economics,2003,11(2):296-316.
[22]Brown R L,Durbin J,Evans J M.Techniques for testing the constancy of regression relationships over time[J].Journal of the Royal Statistical Society,Series B(Methodological),1975,37(2):149-192.
[23]Christopoulos D K,Tsionas E G.Financial development and economic growth:Evidence from panel unit root and cointegration tests[J].Journal of development Economics,2004,73(1):55-74.
[24]Cho S.Evidence of a stock market wealth effect using household level data[J].Economic Letters,2006,90(3):402-406.
[25]Combes J-L,Tidiane K,Patrick P.Capital flows,exchange rate flexibility,and the real exchange rate[R].IMF Working Paper WP/11/9,2011.
[26]Cottani J A,Cavallo D F,Khan M S.Real exchange rate behavior and economic performance in LDCs[J].Economic Development and Cultural Change,1990,39(1):61-76.
[27]Demir F,Dahi O S.Asymmetric effects of financial development on South-South and South-North trade:Panel data evidence from emerging markets[J].Journal of Development Economics,2011,94(1):139-149.
[28]Edwards S,Van Wijnbergen S.Tariffs,the real exchange rate and the terms of trade:On two popular propositions in international economics[J].Oxford Economic Papers,1987,39(3):458-464.
[29]Fujiwara I,Teranishi Y.Real exchange rate dynamic revisited:A case with financial market imperfections[J].Journal of International Money and Finance,2011,30(7):1562-1589.
[30]Funke N.Is there a stock market wealth effect in emerging markets?[J].Economic Letters,2004,83(3):417-421.
[31]Guo Q.The Balassa-Samuelson model of purchasing power parity and Chinese exchange rates[J].China Economic Review,2010,21(2):334-345.
[32]Jongwanich J,Kohpaiboon A.Capital flows and real exchange rates in emerging Asian countries[J].Journal of Asian Economics,2013,24:138-146.
[33]King R G,Levine R.Finance and growth:Schumpeter might be right[J].Quarterly Journal of Economics,1993,108(3):717-736.
[34]Kletzer K,Bardhan P.Credit markets and patterns of international trade[J].Journal of Development Economics,1987,27(1-2):57-70.
[35]Larrain B.Stock market development and cross-country differences in relative prices[J].Review of Economics and Statistics,2010,92(4):784-797.
[36]Levine R.Financial development and economic growth:Views and agenda[J].Journal of Economic Litera-ture,1997,35(2):688-726.
[37]Levine R,Loayza N,Beck T.Financial intermediation and growth:Causality and causes[J].Journal of Monetary Economics,2000,46(1):31-77.
[38]Levine R,Zervos S.Stock markets,banks,and economic growth[J].American Economic Review,1998,88(3):537-558.
[39]Li H,Ma H,Xu Y,et al.How do exchange rate movements affect Chinese exports?A firm-level investigation[R].Working Paper,School of Economics and Management,Tsinghua University,2012.
[40]Mercereau B.Stock markets and the real exchange rate:An intertemporal approach[J].Journal of International Money and Finance,2006,25(7):1130-1145.
[41]Peltonen T A,Sousa R M,Vansteenkiste I S.Wealth effects in emerging market economies[J].International Review of Economics and Finance,2012,24(10):155-166.
[42]Pesaran M H,Shin Y,Smith R J.Bounds testing approaches to the analysis of level relationships[J].Journal of Applied Econometrics,2001,16(3):289-326.
[43]Phylaktis K,Ravazzolo F.Stock prices and exchange rate dynamics[J].Journal of International Money and Finance,2005,24(7):1031-1053.
[44]Saint-Paul G.Technological choice,financial markets and economic growth[J].European Economic Review,1992,36(4):763-781.
[45]Wang J,Wang X.Benefits of foreign ownership:Evidence from foreign direct investment in China[R].Working Paper No.191,Globalization and Monetary Policy Institute,Federal Reserve Bank of Dallas,2014.
[46]Zhao H.Dynamic relationship between exchange rate and stock price:Evidence from China[J].Research in International Business and Finance,2010,24(2):103-112.
1根据2014年9月发布的《中国企业500强发展报告》,入选的制造业企业数量和利润连年下滑,入选的260家制造业企业的利润占全部500强的比重已不足20%,而入选的25家金融业企业则贡献了净利润的53%。
1 本文也考虑了将国内外劳动生产率差异和政府支出作为控制变量的情况,但由于前者与私人信贷的相关系数达到0 .93,后者与私人信贷的相关系数也达到0.82,产生了严重的多重共线性,故未使用。
2该指标是根据《海关统计》提供的进出口商品数量和单价数据以及《中国对外贸易指数》提供的进出口价格指数同比变动数据计算得到的。
3全要素生产率用(实际GDP/就业)对(实际资本存量/就业)与(人力资本/就业)回归后的残差来衡量,其中人力资本以全国高等院校在校生人数来衡量。
1人民币实际有效汇率指数和美元兑人民币无本金交割远期汇率分别来自国际清算银行和彭博数据库,其他数据来自中经网统计数据库。
2根据该检验,如果模型的所有估计系数是稳定的,那么迭代残差的累积和将处于5%显著性水平上的临界值之内。
引用本文
范言慧, 席丹, 赵家悦. 金融发展与人民币实际汇率[J]. 财经研究, 2015, 41(3): 111–120.
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