统计研究

借鉴Markowitz资产组合理论的思想,本文利用中国制造业企业2000—2012年的出口交易数据,检验了企业在产品和市场组合上的多样化水平对其出口波动的影响,并对三者之间的作用机制进行了探讨。研究发现,首先,中国企业多样化水平在经历了加入WTO的急速上升之后处于相对稳定的水平。但是,企业间的多样化水平在贸易方式、区域和产业等层面呈现出明显的分化特征。其次,出口多样化指数对企业出口波动的影响呈现"倒U型"的动态特征。从平抑出口波动的效果上来看,市场多样化要比产品多样化更为有效。本文还进一步通过分解出口方差、构建中介效应模型揭示了市场多样化策略影响企业出口波动的机制。

Taking stock of Markowitz's thinking on asset portfolio, this paper tests the impacts of export diversification in firms' product mix and market portfolio on its volatility by means of the 2000—2012 export data of Chinese manufacturing firms. It is found that:(1) the level of export diversification experienced a sharp increase after the China's accession to WTO in 2001 and stays at a relatively stable level, but the diversification among the firms shows high heterogeneity in term of trade pattern, region and industry;(2) the impact of export diversification index on export volatility takes on an inverted U shape. In view of the effects of keeping down the export volatility, the diversification in market portfolio plays a bigger role than the product mix does;(3) furthermore, by decomposing the export variance, this paper builds up a model of mesomeric effects to disclose the mechanism of the market portfolio ploys affecting the firms' export volatility.