汇率波动对中国出口有非对称影响吗?

Does exchange rate volatility affect China's exports asymmetrically?

通过构建汇率和出口的二元GARCH-M-BEKK模型,研究人民币汇率波动对中国出口的影响关系.假设误差向量服从二元t分布,应用极大似然方法估计模型参数,检验了双边实际汇率波动对美国、英国和日本等六个国家或地区的出口在升值和贬值期的非对称效应.实证结果表明除韩国和泰国之外,汇率波动对出口变化有负效应.进而,非对称效应表现在汇率升值时汇率波动抑制出口变化的影响比汇率贬值时更大.实证结果还发现除韩国和泰国外,美国、英国、欧元区17国和日本的收入水平对出口变化有显著的正效应;人民币贬值对出口变化有显著的正效应;出口变化的波动对汇率波动有溢出效应.

This article studies the effect of Renminbi（RMB） exchange rate volatility on Chinese exports.The bivariate GARCH-M-BEKK model with exchange rate and export is established,and the parameters of the model with the error assuming Student-t distribution are estimated via maximum likelihood estimation.We investigate the asymmetrical effects of bilateral real exchange rate volatility on the exports from China to US,UK,Euro zone,Japan,Korea and Thailand.The results show that the real exchange rate volatility negatively affects exports for all countries except Korea and Thailand.And the results significantly support the asymmetric effect,which the exchange rate volatility affects exports more largely during appreciations than during depreciations.Additionally,the marginal effect of foreign income on exports provides significantly positive influence for all countries except Korea and Tainland.The RMB depreciation exhibits the expected significantly positive effect on exports for all countries.Finally,there are significant volatility spillovers from the exports to exchange rates.