RMB Exchange Rate and Foreign Direct Investment ----Based on Error Correction Model
- 王亚南院－学位论文 
改革开放30年来，我国经济建设的长期稳定发展离不开外商对华直接投资的巨大贡献。有学者认为，外商对华投资的不断增长是长期以来人民币持续被低估造成的。但是我国自2005年7月21日起，人民币汇率制度取消了钉住单一美元的汇率制度，而是参考一篮子货币的、有管理的浮动汇率制，人民币长期被低估的力量得到释放，人民币对美元的汇率一路走高。现有理论认为，汇率通过相对成本渠道和财富渠道会影响一国吸引外商直接投资的情况。那么，人民币未来继续升值或者升值的预期，是否对外商对华直接投资造成影响？人民币升值以来，外商对华直接投资的行业分布的变化，是否正是出于对汇率变动的反应？当前研究这个问题是非常有现实意义的。 本文在总结了汇率与外商直接投资的相关文献基础上，结合人民币汇率制度变革以及改革开放以来外商对华直接投资的特点，对汇率影响外商直接投资的作用机制进行研究，推导出人民币汇率以及汇率波动与外商直接投资之间可能存在的关系。然后利用1995年至2007年的季度数据建立误差修正模型来进行实证检验，发现在短期内，人民币汇率的波动会对我国的外商直接投资状况造成影响，波动越大，FDI流入量越多。而在长期内，人民币汇率的水平会影响到我国的FDI流入，人民币汇率贬值会吸引更多的FDI。最后，本文对汇率与外商直接投资的相关性进行了格兰杰因果检验。 文章最后得到的启示是，在未来一段时间内人民币汇率贬值可能性很小的情况下，维持汇率稳定是至关重要的。此外，还应该建立合理的引资政策对外商投资进行引导和规范。Foreign direct investment has made a strong contribution to the development of China’s economy since the Open-door policy took effect thirty years ago. According to a range of economists, the rapidly growing amount of FDI was due to past undervaluation of the RMB. However, on July 21, 2005, China carried out its RMB exchange rate reform and started to peg its efforts on a variety of currencies, rather than solely on the U.S. dollar. Since this reform took effect, the RMB nominal exchange rate steadily appreciated against the U.S. dollar. What effect does the appreciation of RMB have on China’s FDI inflow? Furthermore, will the expectations of the RMB’s appreciation do harm to foreign investment? Nowadays, we could see that some Chinese industries other than manufacturing are attracting more and more FDI inflow, such as the real estate industry and finance service industry. Is this change due to the RMB appreciation? These are some of the questions we seek to address in this thesis. Based on solid literature reviews on exchange rate and foreign direct investment, this thesis firstly makes proper assumptions according to the characteristics of FDI inflow to China, to find the mechanism of the exchange rate effect on FDI. Next, we utilized practical analysis using quarter data from 1995 to 2007. The error correction model helped us find long-term, as well as short-term, effects of the RMB exchange rates on FDI inflow to China. We find that the short-term effects of exchange rate volatility was significant, as well as the long-term effect of exchange rate level. Finally, we employed the Granger Causality Test on these effects and found that the exchange rate volatility did Granger Cause the FDI inflow to China, while the exchange rate level not. The findings of this thesis implies that since the possibility of RMB depreciation in the near future is relatively insignificant, keeping the stability of the RMB exchange rate seems crucial to attract FDI inflow. Additionally, we suggest the implementation of suitable policies to induct and supervise the FDI inflow to China.