摘要
建立了汇率波动经由商品价格变化影响出口贸易量的非均衡计量模型,并使用SV-GED模型测算了人民币汇率的波动性.研究结果表明:人民币汇率的波动率同价格之间存在明显的正相关关系,从而供给过剩时,汇率波动率的增大制约着出口的增加;反之需求旺盛时,汇率波动率的增大会对出口起到促进的作用;汇率的可预期波动率对于出口价格的影响是显著的,非预期波动率偏差对于出口价格的影响是不显著的;同时,进口方的收入水平、出口方的投资水平对出口有促进作用;而世界经济危机的发生,对出口起到明显的阻碍作用。
A non-equilibrium econometric model was established in which the effect of exchange rate volatility on exports is transmitted by the changes of commodity price,and the volatility of RMB/USD was measured by the SV-GED model.The results show that there is a significant positive correlation between exchange rate volatility and price.In the case of over-supply,the increase in exchange rate volatility will restrict the increase of exports,and conversely,in the case of over-demand,exchange rate volatility plays a catalytic role.Furthermore,it was found that expected exchange rate volatility has a significant impact on price,while unexpected volatility deviation does not;that the level of importers＇ income and the size of exporters＇ investment will promote exports;and that the golbal economic crises play a significant impediment role on exports.
基金
安徽省自然科学基金(1208085MG119)
安徽省教育厅人文社会科学基金(SK2012A127)资助
关键词
非均衡计量模型
SV-GED模型
非预期汇率波动率
价格传递
non-equilibrium econometric model
SV-GED model
unanticipated exchange rate volatility
price pass-through effect
