论新形势下人民币汇率与我国进出口贸易的关联度——基于VAR模型的实证研究

Research on Interaction between RMB Exchange Rate and China's Import and Export Trade:Based on VAR Model

在人民币汇率改革和加入特别提款权货币篮子的背景下,通过建立向量自回归(VAR)模型,研究2006—2017年的人民币实际有效汇率与进出口贸易的关联度,以及进出口总额对人民币实际有效汇率的负向影响。结果表明:在5%的显著性水平下,人民币实际有效汇率不是出口额的Granger原因,而是进口额的Granger原因;出口额是人民币实际有效汇率变动的Granger原因,进口额却不是。

Based on the RMB exchange rate reform and the accession to the special drawing right, it studies the causal interaction between RMB exchange rate and import and export trade during the 12 years from 2006 to 2017, especially the adverse effect of the total import and export on the RMB effective exchange rate. The VAR model is used to empirically test the correlation of causality. The results show that under the 5% significance level, the effective RMB exchange rate is not the Granger cause of export but of import. The export is Granger cause of RMB effective exchange rate while the import not. This draws several enlightenments.