汇率波动与贸易流量:来自中国的经验数据

Exchange Rate Volatility and Trade Flows: Date from China

以GARCH模型(generalized autoregressive conditional heteroscedasticity model)导出的实际有效汇率指数的条件方差代表汇率变动,尝试用实际有效汇率指数的变化研究汇率波动对我国贸易流量的动态影响,并应用协整理论和向量误差修正模型(VEC),就汇率波动对进出口贸易流量的影响进行实证分析。实证研究结果表明:长期中,持续的汇率波动对中国进口具有积极作用,而对出口则有显著的负面影响,说明汇率风险的加大会影响风险收益的增加,并通过国际贸易商品价格的变动,影响正常的国际贸易;短期内,进出口贸易流量受汇率波动的影响较小,出口主要受国外收入与实际汇率水平影响,进口主要受国内收入影响。

This paper employs the conditional variance of the real effective exchange rate index from generalized autoregressive conditional heteroscedasticity（GARCH） models to proxy the exchange rate variability and represents attempt to use changes in real effective exchange rate index in studying the Impact of RMB exchange rate volatility on trade. It analyzes the stability of the expert, import and exchange rate series by the means of unit root test. The empirical analysis on the impact of the RMB exchange rate volatility on China＇ s export and import is conducted on the basis of the cointegration theory and vector error correction model,