Abstract: By using the quarterly data from 1999 to 2013, this paper empirically analyzes the regime states, transition probability and the regime correlation between the foreign direct investment(FDI)and domestic investment by applying MS-VECM model. The results show that foreign direct investment has a crowding-out effect on domestic investment during the whole sample period, but from the view of the dynamic time path, the effect of foreign direct investment on domestic investment is inconsistent in different economic development stages, which presents the switching appearance of the regime, the performance during the first quarter of 1999 to the third quarter of 2005 presents the crowding-out effect on domestic investment, while in the fourth quarter of 2005 to the fourth quarter of 2013 presents the crowding-in effect.

Key words: foreign direct investment, domestic investment, crowding-in effect, crowding-out effect, MS-VECM model

摘要： 本文以1999年到2013年的外商直接投资和国内投资的季度数据为基础,采用MS-VECM模型对我国外商直接投资与国内投资的区制状态、区制相关性以及转移概率进行了实证分析。结果表明,在整个样本期内,外商直接投资对我国的国内投资总体上存在挤入效应,但从动态时间路径上看,在经济运行的不同时期,外商直接投资对我国国内投资的影响并不一致,在1999年一季度至2005年三季度期间表现为对国内投资的挤出效应,而在2005年四季度至2013年四季度期间则表现为挤入效应

关键词: 外商直接投资, 国内投资, 挤入效应, 挤出效应, 马尔科夫区制转移模型