汇率变动的贸易溢出效应:时变性与异质性分析

The Trade Spillover Effect of Exchange Rate Movements:an Analysis on Time-Variability and Heterogeneity

从中国加总贸易和双边贸易层面分别构建时变参数与面板数据模型,实证分析了汇率变动的进出口贸易溢出效应。研究发现,中外经济增长、汇率水平变动及波动性等经济变量对中国加总层面的进出口贸易具有时变效应,随着时间的推移影响程度发生变化,汇率制度改革和次贷危机对中国贸易产生了显著的结构性影响。截面模型的分析结果表明,中国双边进出口贸易具有国别(地区)异质性,汇率变动对不同贸易伙伴的进出口贸易影响差别较大,低收入国家(地区)贸易对汇率波动风险相对更为敏感。

We constructed time-varying parameters and panel data model to empirically analyze the trade mechanism of exchange rate movements from the total and bilateral trade levels. We find that economic growth, the changes in the level and volatility of exchange rates have time-varying effects on China＇s total trade, and the effect changes over times. The exchange rate regime reform and the subprime crisis produce a significant structural impact on Chinese trade. The panel data model shows that effects of exchange rate on bilateral trade has heterogeneity, and low-income country trades are relatively more sensitively impacted by exchange rate fluctuations.