跨境贸易人民币结算量与货币供应量、汇率波动互动关系

Thinking on the Interaction among the Fluctuations in RMB Cross-Border Trade Settlement,Foreign Trade Import and Export Volume,and Exchange Rate Based on VAR Model

通过构建向量自回归模型(VAR)的方法,对我国跨境贸易人民币结算波动、进出口贸易总额波动、汇率波动之间的动态关系进行研究,试图揭示其三者之间存在的相互关系。研究结果显示:货币供应量波动、汇率波动于跨境贸易人民币结算量波动之间存在长期稳定均衡关系。长期内,汇率波动对跨境贸易人民币结算量波动具有正向促进作用;货币供应量波动对其具有反向促进作用。格兰杰因果关系显示跨境贸易人民币结算量波动是汇率波动的单向Granger原因,同时也是货币供应量波动单向Granger原因;汇率波动在是货币供应量波动的单向Granger原因。脉冲响应函数结果显示:跨境贸易人民币结算量波动对来自其自身冲击的响应在三种变量冲击中最为明显;货币供应量对来自其自身及其他变量的脉冲均有较为明显的响应;汇率对来自其自身冲击的响应在三种变量冲击中最为明显。

The RMB cross-dorder trade settlement is an important part in the process of RMB internationaliza-tion development. Since the RMB cross-dorder trade settlement occurs mainly in foreign trade import and export settlements,and the import and export settlement is directly linked with the exchange rate,so the development of RMB settlement of cross-dorder trade,the changes of China’s total foreign trade and the fluctuations of exchange rate are closely related. We will use vector auto regression model（ VAR）method to study the dynamic relationship on the fluctuations of RMB cross-dorder trade settlements,China’s total import and export trade and exchange rate, and try to reveal the relationship among them.