【作者】 李永丽；

【导师】 王庆石；

【作者基本信息】 东北财经大学 ， 统计学， 2024， 硕士

【摘要】 随着中国“走出去”战略的深入实施以及“一带一路”倡议的提出,中国的对外直接投资规模持续扩大。在2002年,当时中国的对外投资流量仅为27亿美元。到了2013年,这一数字实现了显著提高,首次超过1000亿美元,并在全球范围内位居第三。到了 2022年,中国的对外直接投资流量更是达到了 1631.2亿美元的新高度,位居全球第二。在进行海外直接投资时,成本无疑是投资者必须审慎考虑的关键因素之一。汇率变动会直接影响两国之间的货币兑换比率,从而影响对外直接投资时的成本。众所周知,人民币汇率在一定的弹性范围内上下变化,这显示出人民币汇率变动对中国对外直接投资影响的复杂性和不确定性特征。所以,开展全面且深入的探究,意在明确人民币汇率变动对中国对外直接投资的具体效应,不仅在理论研究层面至关重要,同时也对实际经济活动具有深远的指导意义。本文对完善中国对外直接投资理论,以及有效结合汇率变动理论与对外直接投资理论具有重要理论意义。其次,对于优化中国资源配置,增强中国的国际竞争力也具有至关重要的实际意义。汇率变动是影响中国对外直接投资的一个重要因素,所以本文首先对1994年到2015年以来三次重要的汇率制度改革进行了梳理。理清了三次汇率制度改革的内容及影响,以便更清晰地揭示人民币汇率变动对中国对外直接投资的作用机理。其次,本文阐述了汇率变动影响对外直接投资的相关理论及其作用途径,其中包括了风险规避理论的内容、成本比较优势理论、财富效应理论以及实物期权投资决策理论。本文将对外直接投资的过程细分为以下四个阶段:初期探索期、加速发展期、调整发展期和高速增长期。接着,本文从中国对外投资目标国的特点以及中国对外投资主体的特性两个方面,进行了更为深入的分析。本文选取了 54个中国对外直接投资国和地区作为本文的研究对象,主要集中在亚洲、欧洲、拉丁美洲。其次,选取了中国对外直接投资高速发展阶段2003-2022年对各国对外直接投资的存量数据进行实证分析。使用对数差分方法计算中国与被投资国和地区之间每年的汇率变动。本文首先运用了Hausman检验来判定随机效应模型与固定效应模型哪一个更适合于后续的分析工作,检验的最终结果显示,选择固定效应模型是更为恰当的决定。其次,本文同样使用中国对被投资国家和地区或地区的出口量,来检验其对人民币汇率变动对中国对外直接投资的调节效应。除此之外,本文通过引入面板门槛效应模型来研究中国与被投资国家和地区或地区之间的文化距离所带来的非线性关系。本文通过对不同性质的国家和地区或地区、金融危机前后以及地理距离的远近分别进行了异质性分析,以此来检验人民币汇率变动对中国对外直接投资的异质性。最后,对模型实施了稳健性验证,证实了模型的稳健性。根据固定效应模型的实证结果,人民币汇率的变动会对中国的对外直接投资产生显著的抑制作用。根据调节效应模型的结果,在以出口为调节变量引入模型时,交互项的结果显著为正,说明出口在缓冲人民币汇率变动对中国对外直接投资的影响时有积极的正向作用。面板门槛模型的实证分析表明,文化距离的存在使得人民币汇率变动对中国对外直接投资的影响表现出一种门槛效应。人民币汇率变动在第一门槛值后对中国对外直接投资的抑制作用减弱,在跨过第二门槛值后原来显著的负向关系转变成显著的正向关系。通过异质性分析结果发现,人民币汇率变动对发达国家和地区、金融危机后、远距离国家和地区都具有显著的影响,而对于发展中国家和地区、金融危机前和近距离国家和地区的影响不显著。最后通过内生性检验,逐个加入控制变量,替换核心解释变量,去除异常值,所有解释变量均滞后一期来证明了模型的稳健性。本文的创新点主要有,第一,在以往的研究基础上,考虑人民币汇率变动对中国对外直接投资的影响在不同的地理距离,以及发达国家和地区或地区和发展中国家和地区的影响是否相同。第二,通过引入文化距离这个门槛变量来研究人民币汇率变动对中国对外直接投资所产生的门槛效应。更多还原

【Abstract】 With the deepening promotion of China’s "going-out" strategy and the launch of the"Belt and Road"initiative,China’s outward foreign direct investment(OFDI)scale has continued to climb.In 2002,China’s OFDI flow amounted to only USD 2.70 billion.By 2013,this figure had significantly increased,surpassing USD 100 billion for the first time and ranking third globally.By 2022,China’s OFDI flow reached a new high of USD 163.12 billion,ranking second worldwide.Cost is undoubtedly one of the key factors that investors must carefully consider when making overseas direct investments.Exchange rate fluctuations directly affect the currency exchange rate between two countries,thereby influencing the cost of OFDI.As is well known,the RMB exchange rate fluctuates within a certain range of elasticity,which reveals the complexity and uncertainty of the impact of RNB exchange rate changes on China’s OFDI.Therefore,conducting a comprehensive and in-depth study of the specific impact of RMB exchange rate fluctuations on China’s OFDI is not only of great significance at the theoretical level but also has far-reaching guiding significance for practical economic activities.This paper holds important theoretical significance for improving China’s OFDI theory and effectively combining exchange rate fluctuation theory with OFDI theory.Secondly,it has crucial practical significance for optimizing China’s resource allocation and enhancing China’s international competitiveness.Exchange rate fluctuations are a significant factor influencing China’s outward foreign direct investment(OFDI).Therefore,this paper first reviews three major exchange rate system reforms from 1994 to 2015.By clarifying the content and impacts of these reforms,it facilitates a better understanding of the mechanism through which RMB exchange rate fluctuations affect China’s OFDI.Subsequently,the paper elaborates on the theories and pathways through which exchange rate fluctuations impact OFDI.Relevant theories include risk aversion theory,cost comparative advantage theory,wealth effect theory,and real options investment decision-making theory.The process of OFDI is into four stages in this paper:the initial exploration phase,accelerated development phase,adjustment phase,and high-speed growth phase.Then,the paper conducts a deeper analysis from two perspectives:the characteristics of China’s OFDI target countries and the attributes of China’s OFDI entities.This paper selects 54 countries and regions where China has invested in OFDI as the research objects,primarily located in Asia,Europe,and Latin America.Furthermore,it selects the stock data of China’s OFDI in various countries from 2003 to 2022,a period of rapid growth,for empirical analysis.The logarithmic difference method is used to calculate the annual exchange rate fluctuations between China and the invested countries and regions.Firstly,this paper employs the Hausman test to determine whether a random effects model or a fixed effects model is more appropriate.The final test results indicate that the fixed effects model is the more suitable choice.Secondly,this paper also uses China’s export volume to the invested countries or regions to test its moderating effect on the impact of RMB exchange rate fluctuations on China’s OFDI.Additionally,the paper introduces a panel threshold effect model to investigate the nonlinear relationship caused by cultural distance between China and the invested countries or regions.Heterogeneity analysis is conducted for countries or regions of different natures,before and after the financial crisis,and based on geographical proximity to test the heterogeneity of the impact of RMB exchange rate fluctuations on China’s OFDI.Finally,robustness verification is implemented on the model,confirming its robustness.According to the empirical results of the fixed effects model,fluctuations in the RMB exchange rate have a significant inhibitory effect on China’s outward foreign direct investment(OFDI).Based on the results of the moderation effect model,when exports are introduced as a moderating variable into the model,the result of the interaction term is significantly positive,indicating that exports have a positive effect in mitigating the impact of RMB exchange rate fluctuations on China’s OFDI.The empirical analysis of the panel threshold model shows that the existence of cultural distance leads to a threshold effect in the impact of RMB exchange rate fluctuations on China’s OFDI.After the first threshold value,the inhibitory effect of RMB exchange rate fluctuations on China’s OFDI weakens,and after crossing the second threshold value,the originally significant negative relationship turns into a significant positive relationship.Heterogeneity analysis reveals that fluctuations in the RMB exchange rate have significant impacts on developed countries,post-financial crisis periods,and distant countries,while the impacts on developing countries,pre-financial crisis periods,and nearby countries are not significant.Finally,through endogeneity tests,control variables were added one by one,core explanatory variables were replaced,outliers were removed,and all explanatory variables were lagged by one period to demonstrate the robustness of the model.The primary innovations of this paper are outlined as follows.Firstly,building upon existing research,it is considered whether the impact of RMB exchange rate fluctuations on China’s OFDI is the same in different geographical distances and between developed countries or regions and developing countries and regions.Secondly,the threshold effect of RMB exchange rate fluctuations on China’s OFDI is studied by introducing the threshold variable of cultural distance.更多还原