환율이 중국의 산업별 FDI에 미치는 효과에 대한 실증분석
An Empirical Analysis of the Effects of Exchange Rates on Sectoral FDI in China
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초록
본고는 중국의 산업별 FDI 결정요인을 MG(Mean Group) 모형, PMG(Pooled Mean Group) 모형 및 DFE(Dynamic Fixed Effect) 모형 등 3가지 패널 ARDL모형을 적용하여 실증분석하였다. 분석기간은 2006년 1월부터 2018년 12월까지이다. 패널 ARDL 모형의 추정결과 장기관계에서 위안화 실질환율 절상, 실질 GDP 및 중⋅미 이자율 차이는 FDI에 양의 유의한 영향을 미치며, 환율 변동성은 음의 유의한 영향을 미쳤다. 산업별로 비교해 보면 실질환율의 계수 값은 비제조⋅비서비스업이 가장 컸고(5.222), 서비스업(3.993), 농림축산업(3.825), 제조업(2.622), 금융업(1.845) 순으로 실질환율에 민감하게 반응하는 것으로 추정되었다. 환율변동성의 계수 값은 산업별로 차이가 없으나 금융업의 경우 다른 산업과 부호가 반대이며 계수 값도 0.080으로 매우 낮았다. 이러한 추정결과는 금융업 FDI는 환율 수준과 변동성의 영향을 상대적으로 덜 받고 있음을 의미한다.
Abstract
This paper empirically analyzes the determinants of FDI by industry in China by applying three panel ARDL models: the Pooled Mean Group model, the Mean Group model, and the Dynamic Fixed Effect model. The sample period is from January 2006 to December 2018. The estimation results show that in the long-run, the CNY real exchange rate, real GDP and the interest rate difference between China and the United States have a positive and significant effects on FDI at the 1% level, while exchange rate volatility has a negative and significant effect. The coefficient value of real exchange rate is estimated to be the largest in non-manufacturing and non-service industries(5.222), followed by services(3.993), agriculture and livestock(3.825), manufacturing(2.622), and finance(1.845). The coefficient value of exchange rate volatility did not differ significantly across industries, but the coefficient value of financial industry was very low at 0.080 with the opposite sign to other industries. These results imply that financial industry is relatively less affected by the exchange rate level and its volatility.
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