VAR视域下人民币汇率与我国进出口贸易的关联研究——基于脉冲响应分析
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摘要
采用向量自回归模型VAR的脉冲响应等操作,根据2010年—2017年共8年的月度数据实证分析了中国进出口贸易总额与人民币实际有效汇率的双向关联效应。研究表明:一是进口总额与人民币实际有效汇率的相互影响均不显著;二是出口总额对人民币实际有效汇率的影响显著性较强,人民币实际有效汇率对出口额的影响极为不显著。对此,政府机构应该强化出口政策的应变弹性,构建人民币汇率双向阀域内浮动的新常态,继续深化人民币汇率形成机制改革,同时有效配置外汇储备,加快出口结算人民币化乃至人民币国际化的进程。
Using the impulse response of vector autoregressive model(VAR), the two-way correlation between China's total import and export trade and the real effective exchange rate of RMB is empirically analyzed based on the monthly data of eight years from 2010 to 2017. The research shows that: First, the interaction between the total import volumeand the real effective exchange rate of the RMB is not significant. Second, the total export value has a significant impact on the real effective exchange rate of the RMB. The impact of the real effective exchange rate of the RMB on the export volume is extremely insignificant. In this regard, government agencies should strengthen the flexibility of export policies, establish a new normal of floating within the two-way valve area of the RMB exchange rate, and continue to deepen the reform of the RMB exchange rate formation mechanism, effectively allocate foreign exchange reserves and accelerate the process of export settlement in RMB and even RMB internationalization.
Using the impulse response of vector autoregressive model(VAR), the two-way correlation between China's total import and export trade and the real effective exchange rate of RMB is empirically analyzed based on the monthly data of eight years from 2010 to 2017. The research shows that: First, the interaction between the total import volumeand the real effective exchange rate of the RMB is not significant. Second, the total export value has a significant impact on the real effective exchange rate of the RMB. The impact of the real effective exchange rate of the RMB on the export volume is extremely insignificant. In this regard, government agencies should strengthen the flexibility of export policies, establish a new normal of floating within the two-way valve area of the RMB exchange rate, and continue to deepen the reform of the RMB exchange rate formation mechanism, effectively allocate foreign exchange reserves and accelerate the process of export settlement in RMB and even RMB internationalization.
引文
[1]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(3):46-50.
[2]N.Cherkas.Impact of exchange rate and imports on the export structure dynamics in Ukraine[J].Economy and Forcasting,2013(2):128-139.
[3] Tokuo Iwaisako,Hayato Nakata.Impact of exchange rate shocks on Japanese exports:Quantitative assessment using a structural VAR model[J].Journal of the Japanese and International Economies,2017(46):1-16.
[4]李鑫阳.人民币国际化进程中汇率变动对经济增长的长短期影响研究[D].北京:北京交通大学,2017.
[5]林文凤,王美英.人民币实际汇率变动对中国进出口贸易差额的影响:基于数量与结构的实证分析[J].经济论坛,2011(4):24-28.
[6]何建奎,马红.人民币实际有效汇率变动对我国进出口贸易影响的实证研究:基于1995～2011年数据[J].当代经济科学,2012(2):43-47.
[7] 黄锦明.人民币实际有效汇率变动对中国进出口贸易的影响:基于1995-2009年季度数据的实证研究[J].国际贸易问题,2010(9):117-122.
[8]张云,李秀珍,单青青.中美双边贸易与人民币汇率波动相关性研究[J].上海经济研究,2017(6):90-100.
[9]郑玉.人民币汇率波动与我国对外贸易的关系研究:基于对美进出口贸易的分析[J].价格理论与实践,2014(3):109-111.
[10]眭川.中国进出口贸易对人民币汇率的反向影响研究[J].湖南工业职业技术学院学报,2018(3):32-34.
[2]N.Cherkas.Impact of exchange rate and imports on the export structure dynamics in Ukraine[J].Economy and Forcasting,2013(2):128-139.
[3] Tokuo Iwaisako,Hayato Nakata.Impact of exchange rate shocks on Japanese exports:Quantitative assessment using a structural VAR model[J].Journal of the Japanese and International Economies,2017(46):1-16.
[4]李鑫阳.人民币国际化进程中汇率变动对经济增长的长短期影响研究[D].北京:北京交通大学,2017.
[5]林文凤,王美英.人民币实际汇率变动对中国进出口贸易差额的影响:基于数量与结构的实证分析[J].经济论坛,2011(4):24-28.
[6]何建奎,马红.人民币实际有效汇率变动对我国进出口贸易影响的实证研究:基于1995～2011年数据[J].当代经济科学,2012(2):43-47.
[7] 黄锦明.人民币实际有效汇率变动对中国进出口贸易的影响:基于1995-2009年季度数据的实证研究[J].国际贸易问题,2010(9):117-122.
[8]张云,李秀珍,单青青.中美双边贸易与人民币汇率波动相关性研究[J].上海经济研究,2017(6):90-100.
[9]郑玉.人民币汇率波动与我国对外贸易的关系研究:基于对美进出口贸易的分析[J].价格理论与实践,2014(3):109-111.
[10]眭川.中国进出口贸易对人民币汇率的反向影响研究[J].湖南工业职业技术学院学报,2018(3):32-34.