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
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摘要
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.
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.
引文
[1]李文军,张巍巍.人民币汇率与中国对外贸易[M].北京:中国社会科学出版社,2012:29-36,42-46.
[2]CHRISTOPH HERRMANN,DON YUAN.China's “selfish” exchange rate policy and international economic law[M]//HLM CHRISTOPH,JP TERHECHTE.European Yearbook of International Economic Law(2010)[DB/OL].[2018-04-09].https://www.springer.com/series/8165.
[3]ERNESTO R GANTMAN,MARCELO P DABS.Does trade openness influence the real effective exchange rate?New evidence from panel time-series[J].SERIEs,2018,9(3):91-113.
[4]王靖茹.我国贸易收支影响因素及对策探讨---基于人民币汇率变动视角[J].国际商贸,2012(3):35-37.
[5]杨娉.人民币汇率变动对我国各行业贸易条件的影响[J].经济评论,2009(5):48-50.
[6]陈宗义.人民币汇率对中国长期贸易顺差的影响性分析---基于TVP-VAR模型的实证检验[J].统计与信息论坛,2012(2):62-66.
[7]刘尧成.国际货币政策溢出效应、人民币汇率与中国贸易差额---基于TVP-VAR-SV模型的动态影响关系分析[J].世界经济研究,2016(6):69-81.
[8]李文军,张巍巍.人民币汇率变动的贸易效应---基于分国别(地区)面板数据的分析[J].数量经济技术经济研究,2010(4):34-47.
[9]曹伟,言方荣,鲍曙明.人民币汇率变动、邻国效应与双边贸易---基于中国与“一带一路”沿线国家空间面板模型的实证研究[J].金融研究,2016(9):50-66.
[10]眭川.新态势下人民币汇率与我国进出口贸易的关联研究---基于VEC模型[J].安徽商贸职业技术学院学报(社会科学版),2018,17(3):46-50.
[2]CHRISTOPH HERRMANN,DON YUAN.China's “selfish” exchange rate policy and international economic law[M]//HLM CHRISTOPH,JP TERHECHTE.European Yearbook of International Economic Law(2010)[DB/OL].[2018-04-09].https://www.springer.com/series/8165.
[3]ERNESTO R GANTMAN,MARCELO P DABS.Does trade openness influence the real effective exchange rate?New evidence from panel time-series[J].SERIEs,2018,9(3):91-113.
[4]王靖茹.我国贸易收支影响因素及对策探讨---基于人民币汇率变动视角[J].国际商贸,2012(3):35-37.
[5]杨娉.人民币汇率变动对我国各行业贸易条件的影响[J].经济评论,2009(5):48-50.
[6]陈宗义.人民币汇率对中国长期贸易顺差的影响性分析---基于TVP-VAR模型的实证检验[J].统计与信息论坛,2012(2):62-66.
[7]刘尧成.国际货币政策溢出效应、人民币汇率与中国贸易差额---基于TVP-VAR-SV模型的动态影响关系分析[J].世界经济研究,2016(6):69-81.
[8]李文军,张巍巍.人民币汇率变动的贸易效应---基于分国别(地区)面板数据的分析[J].数量经济技术经济研究,2010(4):34-47.
[9]曹伟,言方荣,鲍曙明.人民币汇率变动、邻国效应与双边贸易---基于中国与“一带一路”沿线国家空间面板模型的实证研究[J].金融研究,2016(9):50-66.
[10]眭川.新态势下人民币汇率与我国进出口贸易的关联研究---基于VEC模型[J].安徽商贸职业技术学院学报(社会科学版),2018,17(3):46-50.