摘要
主权ESG是反映经济体可持续发展状况的综合性指标,本文首次分析了其作用于实际汇率的理论机制与经验证据。通过构建实际汇率的随机贴现因子决定模型,本文提出了“类宾大效应”理论假说:经济体主权ESG表现的改善会通过生产率、政府支出、有效投资以及风险缓冲等机制导致实际汇率升值,但其效果与可持续发展因素在经济运行中的重要程度有关,与经济增长影响实际汇率的“宾大效应”相类似又有所区别。本文随后采用81个国家2000—2020年的跨国面板数据,运用全局因子分析的方法构建了主权ESG指数,通过实证研究验证了上述理论假说。
Sovereign ESG is a comprehensive index reflecting the sustainable development of an economy.This paper analyzes the theoretical mechanism and empirical evidence of its effect on the formation process of the real exchange rate,a topic not previously explored in depth.By constructing a real exchange rate determination model based on stochastic discount factor,this paper proposes a theoretical hypothesis of“Quasi-Penn Effect”.The improvement of an economy's sovereign ESG will lead to real exchange rate appreciation through mechanisms such as productivity,government spending,efficient investment and risk buffers,but its effect depends on the importance of sustainable development factors in the economy,which is similar to but different from the“Penn Effect”.Using panel data covering 81 countries from 2000 to 2020,the sovereign ESG index is constructed using a global factor analysis method,and the above theoretical hypothesis is verified through empirical research.Since the significance of sustainable development factors is usually more evident in more developed economies,the“Quasi-Penn Effect”is less pronounced than the“Penn Effect”.The“Quasi-Penn Effect”is more likely to hold in developed countries,in economies with floating exchange rate systems,and after the adoption of the Paris Agreement.This research has significant policy implications.Firstly,it is necessary to understand the impact of sustainable development strategies on economies from a more in-depth and comprehensive perspective,rather than being limited to the level of economic growth itself.Secondly,close attention should be paid to the appreciation momentum that the improvement of sustainable development capabilities may bring to the RMB.Thirdly,practical measures should.Be taken to further improve China's sovereign ESG performance.
作者
杨长江
刘文硕
Yang Changjiang;Liu Wenshuo(School of Economics,Fudan University;Three Gorges Capital Holdings Co.,Ltd)
出处
《国际金融研究》
北大核心
2025年第7期63-74,共12页
Studies of International Finance
关键词
主权ESG
实际汇率
类宾大效应
Sovereign ESG
Real Exchange Rate
Quasi-Penn Effect
