人民币汇率波动对中国原木进口的影响研究--基于汇率水平和汇率波动风险的双重视角

The Effects of RMB Exchange Rate Volatility on China’s Logs Import--Based on the Dual Perspective of Exchange Rate Level and Exchange Rate Volatility Risk

中国原木进口的对外依存度很高。在有管理的浮动汇率制度下,人民币汇率波动对中国原木进口的影响成为热点问题。在协整分析框架下,利用2000~2018年的月度时间序列数据,从汇率水平和汇率波动风险两个视角检验了该问题的研究结果。其中,汇率波动风险采用广义自回归条件异方差模型进行测度。实证结果显示,人民币汇率从汇率水平和汇率波动风险两个渠道对中国原木进口施加影响。从数值上看,人民币实际有效汇率水平对原木进口量有正向影响,弹性系数为1.15,汇率波动风险对原木进口量有负面影响,弹性系数为-0.40。这一效应反映汇率对中国原木进口的影响具有两面性。人民币升值有利于原木进口,但其升值带来的波动又会抑制原木进口的增长。其他变量的影响基本符合理论预期。经济产出水平对原木进口量有正向影响,弹性系数为0.55,原木实际进口价格对原木进口量有负面影响,弹性系数为-0.66。向量误差修正模型的估计结果显示,上述变量对中国原木进口的长期影响在短期内也存在。研究结论有助于认知人民币汇率波动对中国原木进口的影响机制,为预判人民币汇率波动背景下中国原木进口的未来走势提供科学依据。

China’s logs import has a high dependence on foreign trade.Under the managed floating exchange rate system,the effects of RMB exchange rate volatility on China’s logs import have become hotspot issues.Using the monthly data from 2000 to 2018,this paper investigates the effects from the perspectives of exchange rate level and exchange rate volatility risk.The exchange rate volatility risk is measured by the generalized autoregressive conditional heteroscedasticity model.The empirical results show that the RMB exchange rate exerts influence on China’s logs import by two channels,the exchange rate level and the exchange rate volatility risk.The real effective exchange rate of RMB has a positive effect on logs import,and the elasticity is 1.15.The exchange rate volatility risk has a negative effect on logs import,and the elasticity is-0.40.The positive and negative effects reflect that the effects of exchange rate volatility on China’s logs import are two-sided.The appreciation of the RMB is propitious to the logs import,but the volatility risk with the appreciation of the RMB will inhibit the growth of logs import.The effects of other variables are basically consistent with theoretical expectations.Economic output has a positive effect on logs import,and the elasticity is 0.55.The actual logs import price has a negative effect on logs import,and the elasticity is-0.66.The estimation results of the vector error correction model show that the long-term effects of the above variables on China’s logs import also exist in the short term.The above research findings help to understand the mechanism of the effect of RMB exchange rate volatility on China’s logs import,and provide a scientific basis to predict the trend of China’s logs import under the background of RMB exchange rate volatility.