对外开放和经济波动的关联性检验——中国和东亚新兴市场国家的案例

本文运用研究非对称性冲击问题的实证方法考察和比较了东亚4国(韩国、印尼、泰国和中国)在经济开放过程中内外金融资源的相对价格——实际利差的变化及由此引起的宏观经济(产出、货币和银行信贷)的波动特征。这一研究的政策意义在于通过区分外部因素的基本面(mean)变化和突发性的波动(volatility)对本国经济所产生的不同性质的溢出效应(spillover),为政府制定不同的针对性措施提供理论根据。通过引入非对称“时变波动”(asymmetrictimevaryingvolatility)特征的二元EGARCHVAR实证模型,论文得到了三个主要结论第一,虽然为维持名义汇率的稳定,各国政府都积极地干预外汇市场,由此影响了当期内外利差的收敛,但包括中国在内的4个国家金融的实际开放程度都在不断加大。第二,除上世纪90年代国际资本移动的鼎盛阶段外,各国的经济波动并不是由外部冲击直接带来的,而是国内经济的不确定因素导致的。第三,比较各国经济波动特征,可以发现汇率制度、金融市场的开放程度以及资本市场的发展状况对经济波动有很大的影响。

Market Openness and Economic Fluctuation: The Case of East Asia and China

The purpose of this paper is to present an appropriate econometric methodology to examine the impacts of foreign shocks on domestic output, money, credit and their fluctuations by comparing the ex-ante East Asia Crisis cases in the three Asian emerging markets of Korea, Indonesia and Thailand, and the ex-post case in transitional economy of China under the process of external liberalization. According to the EGARCH-VAR empirical model dealing with asymmetric time-varying volatility, this paper comes to the following three main conclusions: First, the East Asian governments have interfered in their foreign exchange markets actively, whereas the monetary policies in these countries have shown less effective. Second, except for the peak period of international capital movements, the economic fluctuations in all sample countries are not caused directly by the impacts of foreign shocks, but mostly by domestic economic uncertain factors under open economies. Third, domestic economic fluctuations have been found largely depending on the actual situations in exchange rate regime, the openness of financial markets and the development in capital markets in these countries.