人民币汇率冲击与中国行业经济效益——基于RVAR模型的实证研究

The Shocks of RMB Exchange Rate and Industrial Economic Benefit of China:An Empirical Research based on the RVAR Model

本文通过建立递归型VAR模型,利用我国1999～2008年的月度数据,在脉冲反应函数和方差分解的基础上,对中国行业经济效益的汇率冲击效应进行了实证检验。结论表明,人民币汇率的变动对我国劳动密集型行业及资本密集型行业的经济效益均存在冲击效应,但各关键货币的汇率冲击效应存在非对称性。总体而言,日元汇率对劳动密集型和资本密集型行业经济效益的贡献度最大,港元的汇率作用最小,美元与欧元汇率作用位居中间。为减少汇率对经济效益的负面冲击,本文提出了相应的政策建议。

Based on the RVAR model and the monthly data from 1999 to 2008,the paper analyzes the deep-seated relationship between the exchange rate and the industrial economic benefit by using the impulse response function and variance decomposition.The result shows that the alteration of exchange rate brings impact on labor intensive industry and capital intensive industry,but exchange rate shocks represent unsymmetrical character.As a whole,exchange rate of Japan's currency contributes the most to both labor intensive and capital intensive industries,Hongkong dollar the least,US dollar and EURO in the midway.In order to reduce the disadvantage of exchange rate shocks the paper puts forward a policy advice in the end.