汇率、不确定性与贸易增长

Exchange rate, Uncertainty and Trade Growth

文章基于TVP-SV-VAR模型,采用实际有效汇率、中国贸易政策不确定性、美国贸易政策不确定性以及国际地缘政治风险的月度数据,探究了它们对中国贸易增速的动态时变影响特征。此外,文章采用在险增长模型,引入相对熵概念,将实际有效汇率、中国和美国贸易政策不确定性、国际地缘政治风险纳入统一的框架中,分析了其作为贸易增长函数的条件变量,对增长风险的影响特征。结果表明:(1)实际有效汇率对中国贸易增长影响比较平稳,短期内对贸易增长具有较强的负面冲击,长期内影响较小;(2)美国贸易政策不确定性对中国贸易增长冲击力度最大,且以短期冲击为主;(3)外生冲击短期内对贸易增长的抑制作用较强,长期抑制作用较小;(4)中国贸易增长预测密度函数的分布整体右偏,在2008年国际金融危机和2018年中美贸易摩擦时期,分布依然呈现出右偏态,上升风险显著高于下行风险。

Based on TVP-SV-VAR model, this paper uses the monthly data of real effective exchange rate, the uncertainty of China’s trade policy, the uncertainty of trade policy of the United States and international geopolitical risk to explore their dynamic and time-varying impact on China’s trade growth. In addition, the paper adopts the growth at risk model, introduces the concept of relative entropy, incorporates the real effective exchange rate, the uncertainty of China’s trade policy, the uncertainty of trade policy of the United States and international geopolitical risk in a unified framework, and analyzes the characteristics of their impact on the growth risk as the conditional variables of trade growth function. The results show that:(1) the impact of real effective exchange rate on China’s trade growth is relatively stable, with strong negative impact on trade growth in the short term and less impact in the long term;(2) the uncertainty of trade policy of the United States has the greatest impact on China’s trade growth, mainly in the short term;(3) exogenous shocks have great inhibitory effect on trade growth in the short term and small inhibitory effect in the long term;(4) the distribution of China’s trade growth forecast density function shows a right skew in general. In the period of international financial crisis in 2008 and Sino-US trade friction in 2018, the distribution still shows a right skew and the upward risk is significantly higher than the downward risk.