(School of Finance,Dongbei University of Finance & Economics,Dalian)
Abstract: This paper, by using the stochastic volatility time-varying parameter vector autoregressive model, and including the exchange rate fluctuations, the domestic and foreign economic prosperity and the growth performance of central enterprises into a framework, makes a study of the effects of the dynamic mechanism of the above factors on the growth performance of central enterprises. The findings are, firstly, with the expansion of exchange rate fluctuation range, a gradual increase is seen in the impacts of RMB exchange rate fluctuation on the growth performance of central enterprises. While the domestic economic growth has a significant promotional effect on the growth performance of the central enterprises, the impacts of foreign economic prosperity on them is considerably weak. Secondly, there exists a typical asymmetric feature of the impacts of exchange rate appreciation and depreciation on the growth performance of central enterprises. Compared with the promotional effects of the exchange rate depreciation on the growth performance of central enterprises, the prohibitive impacts of the exchange rate appreciation on their growth performance are more significant.And thirdly, the negative shock brought about by exchange rate appreciation to the growth performance of central enterprises is short in duration, i.e. while the Domestic economic downturn has a long and ‘V’ shape impact on it, the impact of foreign economic downturn on the growth performance of central enterprises is relatively weak and short by contrast.
Key words: exchange rate fluctuation, economic prosperity, growth performance, SV-TVP-VAR Model