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我国价格贸易条件冲击的经济增长效应研究
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摘要
价格贸易条件定义为出口价格指数与进口价格指数的比率,是国际贸易领域中最重要的相对价格之一。作为衡量一国贸易利益的重要指标,价格贸易条件的长期变化趋势、短期波动特征及其对宏观经济运行的冲击效应备受学术界和政策制定者的关注。本论文全面梳理了自“HLM”效应提出以来,国内外有关价格贸易条件研究的优秀成果,详细阐释了与价格贸易条件相关的贸易理论,并重点考察了价格贸易条件对经济增长影响的债务传导、消费和储蓄传导以及投资传导机制和机理。
     以上述文献综述和理论分析为支撑,论文采用H-P滤波方法、GARCH(1,1)模型、中值无偏估计技术、单位根检验、协整检验、预测误差方差分解和脉冲响应函数等计量和时间序列方法对我国价格贸易条件变动的长期演进趋势、短期波动特征、冲击持久性及其对经济增长的影响效应等问题进行了实证研究。论文研究的主要结论如下:
     其一,价格贸易条件长期变动趋势和短期波动特征的研究结论显示:从长期来看,我国价格贸易条件呈现恶化趋势,价格贸易条件的均值变化轨迹可以划分为三个阶段:第一阶段从1980年至1986年,为持续重度恶化阶段;第二阶段从1987年至1998年,该阶段价格贸易条件呈现震荡改善态势;第三阶段从1999年至2010年,该阶段的价格贸易条件指数走势表现为震荡重度恶化。来自波动性变化趋势的经验研究表明:总的来看,我国价格贸易条件整体波动性的变化路径以1990年为分界点,呈现“V”字形结构,在“V”字的左侧(1980年至1990年),下降的坡度相对陡峭,说明价格贸易条件波动性下降较快,而在“V”字的右侧(1990年至2010年),上升的坡度相对平缓,表明价格贸易条件波动性在缓慢增强。
     其二,价格贸易条件冲击的测度结果表明:我国价格贸易条件冲击的持久性是中短期的,所估计的中值无偏半衰期结果是9.55年,这与我国价格贸易条件的时序变化呈现缓慢的均值回复特征基本吻合。这一研究结论对后危机时代我国管理和干预价格贸易条件冲击具有重要的政策启示意义。中短期的价格贸易条件冲击意味着,我国应该更多地使用调整国内储蓄或者是调整国际借贷规模等宏观经济政策来平滑价格贸易条件冲击对国内经济造成的影响。
     其三,价格贸易条件及其波动性对经济增长影响的经验证据发现,我国价格贸易条件均值水平和波动性都与经济增长之间存在显著的正相关关系。这说明不仅价格贸易条件改善有助于促进经济增长,而且温和适当的价格贸易条件波动对我国经济增长也是有利的。这一研究结论与以往的文献研究所得出的价格贸易条件均值水平对经济增长有正向影响,而价格贸易条件波动性对经济增长有负向影响的结论有所不同。对此,可以参照Mendoza (1997)的相关理论研究进行合理的解释。Mendoza(1997)认为,与价格贸易条件均值水平一样,价格贸易条件的波动也同样会影响储蓄率和经济增长,但其效应可正可负,这主要取决于一国的风险厌恶程度。如果风险厌恶程度低,增长的贸易条件波动会降低增长。如果风险厌恶程度高,那么增长的价格贸易条件波动依然会导致较快的经济增长。有研究表明,改革开放至今,受计划经济体制等因素影响,我国无论是投资者还是消费者都表现出较强的风险厌恶特征,这可能是对本文研究结论的一种解释。
     与国内现存的研究文献相比,本论文在研究方法、研究内容和研究结论上都有突破和创新。方法方面:正式使用H-P滤波方法和GARCH(1,1)模型对我国价格贸易条件的长期趋势和波动性问题进行了分析。内容方面:首次对我国价格贸易条件冲击的持久性问题进行了统计测度。结论方面:发现温和而适当的价格贸易条件波动对我国经济增长是有利的。这与以前的文献认为价格贸易条件波动性对经济增长具有负向影响的研究结论有所不同。
Defined as ratio of export prices to import prices, net barter terms of trade (NBTT)is one of the most important relative prices in international trade. As a critical indicator oftrade benefits for a nation, long-term trend in and short-term volatility of NBTT, as wellas their impact on macroeconomics has been received great attention from both scholarsand policy makers. This dissertation summarizes conclusions of most outstanding studieson NBTT both at home and abroad since famous “HLM” effect was raised. It describesoverall international trade theories closely related to NBTT, and studies debt andconsumption transmission mechanism through which NBTT affects a nation’s economicgrowth.
     Based on above literature review and theory summarization, this dissertationconducts econometric studies on long-term trend in, short-term volatility of, and durationof NBTT as well as their impacts on China’s economic growth by using several kinds ofeconometric methods and time series methods including H-P filter method, GARCH(1,1)model, median-unbiased estimator method, unit-root test, cointegration test, forecasterror variance composition method, and impulse-response function method. It’s mainconclusions are as follows:
     First, studies on long-term trend in NBTT show that, in the long run, NBTT inChina has deteriorated. Meanwhile, the trend could be divided into three phases:(1)From1980to1986, it showed a sustained heavily deteriorated feature;(2) From1987to1998, it showed a choppy improvement feature;(3) From1999to2010, it showed achoppy heavily deteriorated feature. While empirical studies on short-term volatility ofNBTT show that, generally speaking, volatility track of NBTT in China was watershedby1990, which makes the shape of whole track look like a word “V”. Before1990(from1980to1990), the volatility track descended abruptly, implying NBTT volatility’s rapiddecline; while after1990(from1990to2010), the volatility track went up gently,meaning NBTT’s volatility was rising slowly.
     Second, studies on duration of NBTT in China show that, China experienced amedium and short term NBTT shocks. The estimated half life of NBTT in China frommedian-unbiased estimator method is9.55years, which is generally consistent withprevious finding that time changes in NBTT in China enjoys a mean-preserving feature. This conclusion is meaningful since it has critical policy implications for China toeffectively manage and control NBTT shocks in post-crisis era. Medium and short termNBTT shocks mean that China should smooth NBTT shocks’ impact on economicgrowth through adjustment in domestic savings and international borrowing.
     Third, the empirical studies about NBTT volatility’s impact on economic growthsuggest that both of mean and variance of NBTT in China have positive relations witheconomic growth, which testify that not only improved NBTT helps development ofeconomics, but also favorable volatility of NBTT is beneficial to China’s economicgrowth. This conclusion is sharply different from that of previous research that mean ofNBTT has positive relations with economic growth, while volatility of NBTT is negativerelated to it. In order to explain this conclusion properly, theory in Mendoza (1997) couldbe referred to. In Mendoza (1997), just as mean of NBTT could affect rate of savings andeconomic growth, volatility of NBTT also has the same function. But the difference liesin that volatility of NBTT’s impact on them sometimes is positive, and sometimes isnegative, depending on a nation’s degree of risk aversion. When a nation’s risk aversionis low, increased volatility of NBTT will lower speed of economic growth. But when anation enjoys high risk aversion, then increased NBTT volatility could also lead to highspeed of economic growth. Since some studies show that both of China’s investors andconsumers enjoy high risk aversion due to influence of planned economy, this may be areasonable explanation to this conclusion.
     Finally, compared with current studies in China, this dissertation enjoys severalbreakthroughs and innovations both in methodologies, contents and conclusions. Withregard to methodologies, it formally employs H-P filter method and GARCH(1,1) modelto measure long-term trend in and short-term volatility of NBTT in China, and analyzestheir reasons. As regards contents, it is the first research on thorough study of andmeasurement on duration of NBTT shocks in China. With reference to conclusions, itfinds that favorable and modest NBTT shocks is beneficial to China’s economic growth,which is a sharp contrast to conclusions from previous studies that volatility of NBTTwill definitely negatively affect economic growth.
引文
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