外汇衍生品市场发展对进口贸易影响的中国证据

On the Influence of the Development of Foreign Exchange Derivatives Market on the Trade of Imports——An Empirical Analysis based in China

本文以我国2006年10月至2013年1月的相关月度数据为实证样本,Johansen协整检验表明进口规模、外汇衍生品交易与人民币汇率之间存在着长期均衡关系;格兰杰因果检验说明外汇衍生品市场是影响进口贸易的一个原因;通过VAR模型发现外汇衍生品市场发展无论在短期还是长期均对进口产生了正向拉动效应。最后,结合我国现状,针对外汇衍生品市场发展提出了相关的政策建议。

The article takes an empirical sample from China's monthly data from October 2006 to January 2013.Johansen co-integration test implies there is a long-run equilibrium relationship among the imports scale,foreign exchange derivatives trade volume and the RMB exchange rate.Granger causality test shows that foreign exchange derivatives market is one reason affecting the trade of imports.The VAR model finds positive effects of the development of foreign exchange derivatives market on the trade of imports both in the short-run and the long-run.The article concludes with policy recommendations concerning China's foreign exchange derivatives market.