中國經濟成長之外溢效果-以東亞地區國家為例

Abstract

本文分析中國與其東亞鄰國，包括日本、南韓、香港、臺灣、新加坡、馬來西亞、泰國、菲律賓、印尼等9個經濟體實質國內生產毛額及實質經濟成長率之關係，並著重探討中國成長之外溢效果，研究期間涵蓋1993年第1季至2011年第4季。首先以單根檢定及共整合檢定，得出變數之時間序列間具有長期均衡之共整合關係，接著以向量誤差修正模型，搭配因果關係檢定、衝擊反應函數及預測誤差變異數分解，探討變數長期均衡下之短期動態調整關係。實證結果如下: 一、依據因果關係檢定結果，發現近10年中國實質國內生產毛額對香港、印尼實質國內生產毛額；中國實質經濟成長率對日本、新加坡、馬來西亞實質經濟成長率之預測能力均大幅增加，且變為顯著。 二、再依衝擊反應函數圖形判斷，在整個研究期間，平均而言，除日本外，大致是經濟發展程度較高之亞洲四小龍，受到中國成長之負向衝擊期間較長；其餘東南亞國家則是正向衝擊反應期間較長，暗示中國經濟成長對亞洲四小龍可能帶來較大之威脅，而對開發中之東南亞國家則可能有互補效果。但自中國加入WTO後，以實質國內生產毛額實證分析結果，則發現中國對其他9個東亞經濟體造成之衝擊反應，約自第2期起持續朝向負向波動，且似無收斂之趨勢，顯示近10年來中國的強勢成長不只對已開發國家，甚至連東南亞發展中國家之成長都可能遭受到負面衝擊。 三、另觀察預測誤差變異數分解結果，中國實質國內生產毛額在整個研究期間對其他東亞經濟體成長變異之解釋能力，除日本、香港和印尼外，對其他國家尚不顯著，但自中國加入WTO後，則除了日本和印尼外，中國成長對其他7個東亞經濟體之外溢效果均大幅提升。且平均來說，中國對東北亞經濟體之影響，又比對東南亞國家之影響來得大，對東北亞經濟體實質國內生產毛額發生變異之解釋力最高可達50％以上。而且中國實質國內生產毛額除對菲律賓實質國內生產毛額解釋變異之能力在第1期最大外，對其他東亞經濟體實質國內生產毛額發生變異之解釋力均係呈現逐期增加之趨勢，顯示自中國加入WTO後，其實質國內生產毛額相較於其他東亞經濟體實質國內生產毛額的外生性大幅增加。

In this study, we examine the interrelationships among China and it’s East Asia neighbors’ real Gross Domestic Production (GDP) and real GDP Growth from the first quarter of 1993 to fourth quarter of 2011, and especially focus on the spillover effects of China’s growth on growth of the other East Asia entities, including Japan, Korea, Hong Kong, Taiwan, Singapore, Malaysia, Thailand, Philippines, and Indonesia. First, Using Unit Root Test and Cointegration Test suggest there are groups of long-term equilibrium relationship among all variables. Then we utilize Vector Error Correction Model (VECM), along with Granger Causality Test, Impulse Response Function and Forecast Error Variance Decomposition techniques to estimate the short-term effects. The major empirical results are shown as follows: 1. Granger Causality Test In the recent decade, Not only Hong Kong’s real GDP and Indonesia’s real GDP Granger cause China’s real GDP, but China’s real GDP also Granger causes the formers’. Besides, China’s real GDP Growth Granger causes the one of Japan, Singapore, and Malaysia. The predictability of China’s growth becomes significant to growth of those entities as mentioned. 2. Impulse Response Function According to the Impulse Response Function graph, for the whole period observed, on the average, the East Asian Tigers have more negative reaction in face of China’s growth impulse, but the other Southeast Asian countries, on the opposite, respond more positively, which implies china’s growth probably bring threat to the East Asian Tigers, but be complementary for the other developing Southeast Asian countries. However, after China joined WTO, the impulse occured from the innovation of China’s real GDP, from the second period, seems influence all its East Asian neighbors negatively, and there’s no convergence sign, which suggests china’s rapid growth in the recent decade has been posing threat to most East Asian entities. 3. Forecast Error Variance Decomposition Except for Japan and Hong Kong, it is not significant for the explainability from the variance of China’s real GDP to the forecast error variance of the other East Asian Countries’ real GDP in the whole period observed. However, when we focus on the recent decade, since China joined WTO, excluding Japan and Indonesia, China’s growth spillovers have significantly increased, especially for North East Asian entities, more than half of the real GDP forecast error variance of which can be explained by the variance of China’s real GDP, which features China’s growth exogeneity compared to the other East Asian entities’ in the recent decade. And the explainability enhances increasingly in the subsequent periods, except for Philippines which is influenced by China most obviously in the first period.