汇率及其波动与日本对华直接投资

日本是我国重要的贸易伙伴和外商直接投资来源国。影响日本企业对我国直接投资的因素可能有多种,本文拟从汇率因素切入,并以日本对华直接投资的事实数据和特征为背景,研究日元与人民币双边真实汇率对日本对华直接投资的影响。首先通过GARCH模型对双边真实汇率的波动进行测算,然后以此变量和真实汇率变量为基础,通过脉冲响应函数和方差分解技术,研究真实汇率水平及其波动对流入我国的日本FDI带来的影响。模型结果显示,双边真实汇率及其波动均对FDI产生了显著影响,而且该影响同理论预期相吻合,说明真实汇率是影响日本对华直接投资的重要因素,现阶段保持人民币汇率的相对稳定性有利于日本对华直接投资的增长。

Foreign Exchange Rate,Its Fluctuation,and Japan's Direct Investment towards China

Japan is one of the most important trade partners and FDI sources countries of China.Many factors may contribute to FDI from Japan to China,but this paper chooses the factor of foreign exchange rate and begins with the introduction of statistic data and characters of Japan's direct investment towards China,analyzing the impact of real exchange rate and its fluctuation on Japan outwards FDI to China.First,attaining the exchange rate fluctuation by applying the GARCH model,then based on real exchange rate and its fluctuation through impulse response function and variance deposition method to research the influence of exchange rate and its fluctuation.The results showed that bilateral real exchange rate and its fluctuation had significantly influence on FDI.This is consistent with theoretical hypothesis,which implies that real exchange rate is the important factor in attracting FDI,and hence it is practically valuable to keep relative stable exchange rate system.