人民币实际汇率波动风险对我国各类企业出口的影响

The Impact of Real Effective Exchange Rate Risk on the Export of China's Different Firms

本文旨在分析人民币实际汇率波动风险对我国六大类企业出口可能产生的影响。文章首先对实际汇率波动风险采用GARCH(1,1)过程估计,然后采用协整分析方法和误差修正模型估计各类企业长、短期出口需求方程。结论是:不论是短期还是长期,实际汇率风险对企业出口都存在正面或负面冲击,但负面冲击更具显著性。冲击程度在各企业间存在差异,这种差异与各类企业风险意愿类型、风险规避能力以及出口产品质量等因素有关。

This paper focuses on the possible impact of real effective exchange rate （REER） risk on exports of China＇s six kinds of firms. We estimate the uncertainty of REER based on the GARCH process and use it as the proxy variable for the risk of REER, and then estimate the long-run and short-run export-supply equation of these firms by means of co-integration estimating method and error correction model （ECM） respectively. The conclusion is that there are bi-directional impacts imposed by REER on these kinds of firms either in the long run or short run. However, the negative impact is more significant statistically than the positive impact. There are also significant differences among these firms in terms of the extent of impact, which may be attributed to these firms＇ differential features such as risk willing type, capability of dealing with risk, quality of exported goods etc.