人民币汇率失调对我国进出口行业影响的异质性研究

Research on the heterogenous impacts of RMB exchange rate misalignment on China’s import and export industry

汇率波动及失调是影响国际贸易的重要因素。文章运用行为均衡汇率(BEER)模型对1994—2018年的人民币汇率失调进行测度;同时,基于国际贸易标准分类(SITC),选取我国同期的10类进出口行业年度数据,运用自回归分布滞后(ARDL)模型与误差修正(ECM)模型研究人民币汇率失调对不同行业进口额与出口额的影响。研究发现:当前人民币实际有效汇率有轻微失调;人民币汇率失调对进出口行业的影响存在异质性,且具有不同的时滞效应;整体上,汇率失调对进口的影响比对出口的影响大,长期汇率失调对进出口的影响比短期汇率失调对进出口的影响大,且二者对进出口影响的方向在不同时段不同行业间并非全部一致。因此,建议构建和完善人民币汇率管理长效机制和应急机制,开发多元化汇率风险对冲工具,以及实施差异化的进出口行业发展策略和企业汇率风险管理策略。

Exchange rate fluctuation and misalignment are important factors affecting international trade.This paper uses Behavioral Equilibrium Exchange Rate(BEER)model to measure RMB exchange rate misalignment from 1994 to 2018.Meanwhile,based on the Standard Classification of International Trade(SITC),this paper selects the annual data of 10 categories of import and export industries in the same period in China to study the impact of RMB exchange rate misalignment on imports and exports of different industries with Autoregressive Distribution Lag(ARDL)Model and Error Correction Model(ECM).It is found that the real effective exchange rate of RMB slightly misaligned.The impact of RMB exchange rate misalignment on import and export industries is heterogeneous and has different time lag effects.On the whole,the impact of exchange rate misalignment on import is greater than that on export,and the impact of long-term exchange rate misalignment on import and export is greater than that of short-term exchange rate misalignment and the direction of the influence of the two on import and export is not entirely the same among different industries and in different periods of time.Therefore,it is suggested to construct and improve the long-term mechanism and emergency mechanism of RMB exchange rate management,to develop diversified exchange rate risk hedging tools,and to implement differentiated import and export industry development strategies and enterprise exchange rate risk management strategies.