摘要
本文以各国1995—2012年的季度数据为样本,采用界限检验法以及自回归分布滞后模型(ARDL),对G-7国家固定资产投资增长率方程进行了协整估计,旨在分析实际有效汇率对固定资产投资的影响,试图为研究我国汇率改革提供一些可借鉴的参考。实证发现:短期来看,实际有效汇率与美国、德国、法国、英国以及加拿大的固定资产投资正相关;长期来看,实际有效汇率升值促进了日本、德国、法国、英国和加拿大的固定资产投资。总体上,实际有效汇率升值均不同程度地促进了G-7各国的固定资产投资。
Taking seasonal data of Cr-7 countries over the period of 1995 to 2012 as sample, we estimate their co-integration equations about growth rate of fixed asset investment by means of autoregressive distributed lag model and bound testing approach proposed by Pesaran et al. in 2001. This paper aims at analyzing the effect which volatility of real exchange rate has on fixed asset investment and attempts to provide some references for research on Chinese exchange rate reforms. We find in the short run, real effective exchange rate has positive effect on investment in America, Germany, France, England and Canada; in the long run, a real appreciation could stimulate domestic investment in Japan, Germany, France, England and Canada. The conclusion is that, except for Italy, an appreciation promotes domestic investment but varies in degree with different countries.
出处
《财贸经济》
CSSCI
北大核心
2013年第12期77-85,共9页
Finance & Trade Economics
关键词
实际有效汇率
自回归分布滞后模型
界限检验
固定资产投资
Real Effective Exchange Rate, Autoregressive Distributed Lag Model, Bound Testing Approach, Fixed Asset Investment
