人民币J-曲线效应的统计分析

Statistical Analysis of J-Curve Effect of Renminbi

在介绍J-曲线效应和相关研究方法基础上,运用向量自回归模型和脉冲响应函数对1995年以后的人民币汇率是否存在J曲线效应进行了实证研究。研究结果表明:人民币实际汇率贬值对贸易收支改善的效应时滞在1-2个季度,这说明我国目前仍然属于贸易合同均以美元表示的、贸易依赖程度较大的开放经济;从而在进出口价格弹性符号短期内不发生变化的情况下,人民币汇率水平向下方调整(升值)不会显示反J-曲线效应现象。因此在人民币升值压力较大时,应选择基准汇率浮动范围较小的汇率改革。

Based on reviewing the relative researches of J- curve effect, this paper made anempirical analysis to test whether there was J- curve effect of the exchange rate of RMB using Vector Error Correction Model and Impulse Response Function. Our results showed that the time lag of exchange rate of RMB improving trade balance was between one to two quarters. Considering that most of the import and export contracts in China were signed by USD at present, China has relatively large Foreign Trade Dependence. So under the condition that the sign of price elasticity for import and export does not change in the short run,appreciation of RMB will not bring a reversed J - curve. And to limit a relatively narrow fluctuation range for RMB is a better choice for policy- maker.