人民币实际有效汇率及其波动与我国贸易平衡——基于协整检验与广义脉冲响应函数的实证研究

RMB Real Effective Exchange Rate,Fluctuation and Trade Balance:An Empirical Research Based on Co-integration Test and Generalized Impulse Response Function

运用时序单位根检验和协整技术进行的实证研究表明,我国贸易平衡与实际有效汇率及其波动、国内外经济增长之间存在长期协整关系,人民币实际有效汇率与贸易平衡值呈负相关;汇率的波动、国内外经济增长均扩大了贸易平衡。采用我国地区的面板数据,结合面板单位根检验和协整分析,进一步证实了上述结果。采用广义脉冲响应函数法和方差分解证明,尽管短期内人民币实际有效汇率会对贸易平衡产生负面的冲击,汇率波动对贸易平衡产生正的作用,但长期内实际有效汇率变化对贸易平衡的影响是不确定的,而汇率波动对贸易平衡的冲击作用是负的。

With unit root tests and Co- integration technology, this paper finds that there exists a long term Co- integration relationship among trade balance and RMB real effective exchange rate and its fluctuation, domestic and abroad economic growth. The RMB real effective exchange rate can adversely affect the trade balance by hindering the export and spurring import. However, fluctuation of exchange rate, domestic and abroad economic growth can expand the trade balance. Panel data analysis provides the similar results. Further more the empirical study is implemented with the generalized impulse response function （GIRF）. The results show that although in the short-term, the RMB real effective exchange rate is unfavorable to trade balance and exchange rate fluctuation is beneficial, in the long term, the influence of exchange rate is ambiguous and the effect of the fluctuation of exchange rate effect is unfavorable to trade balance.