人民币实际汇率错位、汇率波动对中美出口贸易影响的实证分析

Empirical Study on the Effects of Mismatch of RMB Real Exchange Rate and Exchange Rate Fluctuations on Sino-US Export Trade

本文采用1994-2008年的季度数据,利用GARCH模型测算出人民币汇率波动率,并利用VAR模型建立人民币汇率的行为均衡模型,从而测算出实际汇率错位水平,进而研究人民币实际汇率错位以及汇率波动对中美出口贸易的影响。研究表明:人民币汇率波动对中美出口贸易产生了正向影响,主要是因为汇率波动所带来的不确定性对出口厂商预期利润的正向效应超过了来源于与汇率波动相关的不确定性所带来的负面效应;而实际汇率错位水平对中美出口贸易则产生了显著的负向影响。

Based on the quarterly data from 1994 to 2008, this paper estimates RMB exchange rate volatility using GARCH model, establishes behavior equilibrium model using VAR model so as to estimate mismatch degree of RMB real exchange rate to further studying that mismatch and the effects of exchange rate fluctuations on Sino-US export trade. The study shows that the fluctuation of RMB exchange rate produces a positive influence to Sino-US export trade, it is mainly because that the positive effect of the uncertainty bought by that fluctuations on expected profit of exporters outweighs the negative effect of the uncertainty. While the mismatch level of RMB real exchange rate brings dramatic negative effect on Sino-US export trade.