摘要
应用GARCH模型、自回归分布滞后模型和Johansen协整检验,实证分析汇率风险与中国出口贸易的动态关系。结果显示:中国实际有效汇率变动率存在着异方差;实际有效汇率的变动对出口存在较明显的"J曲线效应;"GARCH模型估计的随时间变动的汇率风险对出口的影响存在着滞后效应;汇率风险在短期内对出口的影响不确定,长期的影响为负。因此,中国在制定出口贸易政策时,应考虑到"J曲线效应"并保持汇率的稳定性。
This paper investigated empirically the dynamic relationship between the exchange rate risk and china's export trade by using Garch model as well as ADL techniques and Johansen Co-integration Test.The result showed that Garch existed in the ROC(rate of change) of China's real effective exchange rate;and the ROC effects on China's export with J-curve effect.GARCH model existed hysteresis effect when estimated the changes with time of exchange rate risk to the influence of export.The estimation result also showed that the direction of the real effective exchange rate risk was uncertain in the short-term while it was negative in the long-term.Therefore,the government should take J-curve effect into consideration and keep the stability of the exchange rate while making trade policy.
出处
《广东金融学院学报》
CSSCI
北大核心
2011年第4期91-98,共8页
Journal of Guangdong University of Finance
基金
中央高校基本科研业务费中国民航大学2010年度专项(2010D004)资助
关键词
汇率风险
J曲线效应
出口贸易
exchange rate risk
J-curve effect
export trade