中国对外贸易存在J曲线效应吗?——基于NARDL模型分析

Is there the J-curve Effects in China?——Analysis based on NARDL Model

本文通过构建NARDL模型,对人民币汇率如何影响我国进出口贸易进行了实证分析,研究结果显示:从长期来看,人民币汇率与中美、中欧和中日贸易之间存在着非对称效应,而在短期,人民币汇率变动仅与中欧贸易存在着非对称效应,而中美和中日无此现象,总体来看,人民币汇率与中国对外贸易之间没有存在显著的J曲线效应。分时间段来看,人民币对贸易的非线性主要表现在2005年8月到2014年7月这一时期,且人民币汇率与中美贸易之间存在着反J曲线效应,而对欧元区和日本则无此效应。

In this paper,the relationship between RMB exchange rate and China’s import and export trade were analyzed by NARDL model.The results showed that:in the long run,there is an asymmetric effect between the RMB exchange rate as well as Sino-US,Sino-European,and Sino-Japanese trade.In the short term,changes in the RMB exchange rate only have an asymmetric influence on Sino-European trade,but there is no such phenomenon reflected from Sino-US and Sino-Japanese trade.In general,there is no significant J curve effect produced between RMB exchange rate and China’s foreign trade.In terms of time periods,the non-linearity of RMB to trade was mainly manifested from August 2005 to July 2014 when there was an inverse J-curve effect between the RMB exchange rate and Sino-US trade.However,there was no such effect in European and Japanese area.