中美贸易与人民币实际汇率关系的实证研究

Empirical Analysis about the Relationship between Sino-US Trade and the RMB Exchange Rate

运用基于VAR模型的Johansen协整分析和基于ECM的Granger因果关系检验,分析了中美贸易与人民币实际汇率的长期和短期关系。变量间长期均衡关系分析的结果表明,中美实际汇率对中国进口的影响要远大于对中国出口的影响。变量间短期动态关系分析的结果表明,人民币实际汇率是中对美出口的Granger原因,却不是中对美进口的Granger原因。脉冲响应和方差分解的结果也证实了这一结论。此外,对人民币实际汇率外生性的分析也表明,人民币实际汇率不存在人为操纵。

Johansen＇s co integration test based on VAR model and Granger causality test based on ECM are applied to analysis the long-run equilibrium and short-run dynamic relationship between Sino-US trade balance and the RMB exchange rate. China＇s import from US is found to be more sensitive to the RMB exchange rate against dollars than export from the result of Johansen＇s co integration analysis. And the ECM provides evidence of unidirectional Granger causality running from the RMB exchange rate to China＇s export to US and China＇s import from US to the RMB exchange rate. Impulse response and variance decomposition analysis verified our findings. Further analysis about the erogeneity of the RMB exchange rate is inconsistent with the viewpoint that China is a manipulator on its currency.