人民币实际有效汇率波动对我国出口贸易的影响——基于1997-2014年季度数据的GARCH模型实证分析

About the Impact of RMB Exchange Rate to China's Export——Based on the GARCH Model Empirical Analysis of the Quarterly Data during 1997-2014

运用金融时间序列分析中的单位根检验、平稳性检验和GARCH模型,以1997-2014年的季度数据为样本,分析人民币实际有效汇率波动与贸易出口之间的线性关系,得出结论:非贸易品-贸易品的相对价格比及净对外资产占GDP的比率与实际有效汇率成正向关系,相对贸易条件和贸易开放度与实际有效汇率成反向关系。贸易伙伴国收入水平的提高、人民币实际有效汇率的贬值会对我国的贸易出口产生正面影响,而人民币实际有效汇率的波动性对出口会产生负面影响,但影响程度较小。根据实证分析结果,建议从扩大内需、培育健全的外汇市场、推行跨境人民币结算、现贸易出口市场的多元化、提高出口产品的附加值等方面着手降低人民币汇率变动对我国的贸易出口所造成的负面影响。

In this thesis, a GARCH model is used to estimate the volatility of real effective exchange rate of RMB, and the linear relationship between RMB real effective exchange rate, RMB real effective exchange rate volatility and trade export is established to draw the following conclusions： First,the important determinants of the RMB real effective exchange rate include Relative terms of trade, the ratio of the relative price of non-trad able to tradable goods, the ratio of net external assets to GDP, trade openness, and China＇s entry to WTO. Among them, the relative price of non-tradable to tradable goods and the ratio of net external assets to GDP have a positive relationship with RMB real effective exchange rate. Whereas,the relative terms of trade and trade openness are inversely related to the real effective exchange rate.Second,The income level of trading partners, the RMB real effective exchange rate and the fluctuation of the RMB exchange rate have an impact on China＇s export trade. The rise of the income level of trading partners and the depreciation of RMB real effective exchange rate will have a positive impact on China＇s exports trade, the fluctuation of RMB real effective exchange rate will have a negative impact on exports, though the impact is not significant. Finally, according to the empirical analysis results and from respective aspect of government and enterprises, some measures and suggestions are put forward to deal with the negative impact of RMB exchange rate changes on China＇s export trade.