我国外汇衍生品市场发展对出口影响的实证分析

An Empirical Analysis on Foreign Exchange Derivatives Market′s Effect on Export Trade in China

伴随着我国外汇衍生品市场的快速发展,这一市场对我国的国际贸易尤其是出口贸易的影响正日益显现。在已有研究基础上,对我国2006年10月至2012年9月的出口额、外汇衍生品交易量、人民币汇率水平等月度数据通过建立实证模型,发现外汇衍生品市场对出口贸易产生了显著的正效应,同时运用格兰杰因果检验发现,外汇衍生品交易与出口规模之间存在因果关系。最后,根据实证研究的结论,提出进一步发展我国外汇衍生品市场的建议。

Along with the rapid development of foreign exchange derivatives market in China,the influence of this market on international trade,especially the export trade,has become increasingly apparent.Based on the existing literature and monthly data from Oct.2006 to Sep.2012,the paper finds that foreign exchange derivatives market has the positive effect on export trade significantly.Meanwhile it also finds that there is a causal relationship between the foreign exchange derivatives transactions and export trade by Granger causality test.Finally,it puts forward the recommendations on the further development of foreign exchange derivatives market in China.