中美汇率对我国对美进出口贸易的影响

发布时间：2018-05-12 14:40

本文选题：中美汇率 + 进出口贸易　；参考：《西南财经大学》2012年硕士论文

【摘要】：2005年7月我国人民币从盯住美元的固定汇率制度转变为有管理的浮动汇率制度,标志着中国汇率制度改革进入了新的阶段。然而,随后在2008年发生的国际金融危机,沉重地打击了美国经济,进而波及到我国的经济和对外贸易。众所周知,美国是我国进出口贸易的主要伙伴国,中国和美国经济形势的变化影响着中美汇率水平和波动率,进而也会对我国对美进出口贸易造成一定的冲击。本文就中美汇率水平和波动率对我国进出口贸易的影响进行较为系统和深入的研究。本文的主要内容包括以下方面：第一章将对本文的研究背景、理论意义、现实意义进行介绍,并阐述了文章的创新点、研究方法和结构安排。第二章是本文的文献综述部分,将对国内外有关汇率水平、汇率波动对进出口贸易影响的研究现状进行系统的梳理和阐述。第三章是理论基础部分,这部分将对汇率水平和波动率对进出口贸易影响所涉及的国际金融理论进行介绍。第四章是模型基础部分,将对实证分析中相关模型理论进行介绍。第五章是实证分析部分,首先,建立一系列ARCH-M模型或GARCH-M模型,并借助一些计量指标从中选择最优的模型来对中美汇率波动率进行测度；接着本文借鉴马君潞、王博、杨新铭(2010)在文章中对商品的分类方式,将进出口商品分为劳动密集型商品、资金和技术密集型商品、食品和资源密集型商品,并就中美汇率对以上三类商品的进出口影响分别进行实证分析,具体而言,利用Johansen多变量协整关系来建立长期均衡关系,利用误差修正模型来对其短期动态变化进行分析。第六章,基于理论分析和实证分析结果,提出相关的启示与政策建议。本文通过理论分析和实证分析,就中美汇率对我国对美进出口贸易的影响效果得出了以下的结论和启示： (1)当人民币相对美元升值时,长期来看,我国对美劳动密集型商品、资金和技术密集型商品、食品和资源密集型商品的出口额、进口额都是上升的；但是劳动密集型商品与食品和资源密集型商品的净出口是上升的,资金和技术密集型商品的净出口是下降的。这也证实了美国一再施压要求人民币升值,希望借此缓解中美贸易不平衡并不是有效的措施。 (2)短期来看,当人民币相对美元升值时,我国对美资金和技术密集型商品的进口额上升、净出口额下降,食品和资源密集型商品的进口额下降、净出口额上升；然而,我国对美劳动密集型商品、资金和技术密集型商品、食品和资源密集型商品的出口额,劳动密集型商品的进口额、净出口额均不会发生变化。这表明,我国劳动密集型商品的进出口贸易对中美汇率水平的变动不敏感,短期时不会发生贸易额的变动；相比而言,资金和技术密集型商品的进口贸易与食品和资源密集型商品的进口贸易对中美汇率水平变动引起的相对价格变动较为敏感。因此,在中美汇率水平发生变动时,政策当局应当有所侧重的对我国对美贸易进行调节,及时对资金和技术密集型商品的进口、食品和资源密集型商品的进口进行调整,增强政策措施的针对性和有效性。 (3)短期来看,中美汇率波动会对劳动密集型商品的出口、资金和技术密集型商品的进口造成显著影响,进而对劳动密集型商品、资金和技术密集型的净出口产生影响：其中,中美汇率波动率同劳动密集型商品的出口额正向变动,净出口额正向变动,同资金和技术密集型商品的进口额正向变动,净出口额负向变动；然而,对劳动密集型商品的进口额、资金和技术密集型商品的出口额、食品和资源密集型商品的进口额、出口额、和净出口额均不会产生影响。这表明,中美汇率波动率对不同类商品的影响是不同的,主要是集中在劳动密集型商品的出口与资金和技术密集型商品的进口贸易上,这也为我国进出口企业在面对汇率波动时能够积极的采取措施进行应对,为我国政策当局有针对性的制定相关措施进行调节提供了依据。本文的研究方法主要有： (1)定性分析与定量分析相结合。本文中,定性分析主要体现在理论分析部分,定量分析主要体现在实证分析部分；(2)规范分析与实证分析相结合。本文以规范分析为依据,以实证分析为工具,分析中美汇率对我国对美进出口贸易的影响；(3)为了较准确的对相关变量进行选择和衡量,本文将借鉴现有的中外文献资料和研究成果；(4)在本文的实证分析过程中,数据的处理和结果的得出主要借助于EWIEWS等软件完成；(5)为了更形象的展示研究结果,本文通过表格、图像等对结果进行显示。本文理论基础和模型建立都是在已有相关文献的基础上并进行了一定程度的创新得到的。与现有的文献相比,创新点主要体现在以下几个方面： (1)现有文献所使用的数据频率多为年度或是季度数据,这会掩盖一些信息,本文选用的数据频率为月度,包含了更多的信息,使分析的现实意义更加明显。 (2)在应用GARCH模型对汇率波动率进行测度方面,现有的相关文献中,大多是用求得的条件方差作为汇率波动率的替代量,而本文使用的是对条件方差进行开方得到的标准差,这更加符合波动率的定义。 (3)马君潞、王博、杨新铭在文章(2010)中指出对商品进行分类是很有必要的,使得分析更加有意义,但是他们的分析仅仅限于汇率对出口贸易的影响；本文则在借鉴其对商品分类的基础上,分析了汇率水平和汇率波动率对进、出口贸易的影响,这更加系统,而且更有利于了解我国的进出口贸易结构状况。本文研究具有重要的理论意义和现实意义：一方面,通过对2005年汇率改革后中美汇率的波动率进行测度,同时就中美汇率水平和波动率对我国进出口贸易的影响进行系统的分析和研究,本文将完善中美汇率对我国进出口贸易影响的理论研究。另一方面,通过对中美汇率波动率的测度,可以使我们对中美的汇率波动水平和中美汇率发展趋势有较为清晰的了解；通过中美汇率波动率对我国进出口影响的实证分析,使得我们对我国进、出口受中美汇率水平和汇率波动的影响程度和方向有深入的认识,从中发现中美汇率水平和汇率波动对国际贸易产生影响的规律；同时,可以反映出我国经济内外需求状况及贸易结构。
[Abstract]:In July 2005, the change of RMB from fixed exchange rate to the dollar was transformed into a managed floating exchange rate system, which marked the new stage of the reform of the Chinese exchange rate system. However, the international financial crisis, which occurred in 2008, was a heavy blow to the American economy and then to the economy and foreign trade of our country. The United States is the main partner of China's import and export trade. The changes in the economic situation of China and the United States affect the exchange rate and volatility of China and the United States, and will also have a certain impact on our import and export trade to the United States.
This paper makes a systematic and in-depth study on the impact of China US exchange rate and volatility on China's import and export trade. The main contents of this paper include the following aspects:
The first chapter will introduce the research background, theoretical significance and practical significance of this article, and elaborate the innovation, research methods and structural arrangements of the article.
The second chapter is the literature review of this article. It will systematically comb and elaborate the current research status on the influence of exchange rate and exchange rate fluctuation on import and export trade at home and abroad.
The third chapter is the theoretical foundation. This part will introduce the international financial theory on the impact of exchange rate level and volatility on import and export trade.
The fourth chapter is the basic part of the model, and will introduce the relevant model theory in the empirical analysis.
The fifth chapter is an empirical analysis. First, we establish a series of ARCH-M models or GARCH-M models, and measure the rate of exchange rate volatility by choosing the best model from some measurement indicators. Then, this paper divides import and export commodities into labor density by using Ma Junlu, Wang Bo and Yang Xinming (2010) in the article to classify the goods. The collection of goods, capital and technology intensive commodities, food and resource intensive commodities, and the impact of the Sino US exchange rate on the import and export of the above three categories of commodities, respectively. In particular, the Johansen multivariable cointegration relationship is used to establish a long-term equilibrium relationship, and the error correction model is used to analyze its short-term dynamic changes.
The sixth chapter, based on the results of theoretical analysis and empirical analysis, puts forward relevant enlightenment and policy recommendations.
Through theoretical analysis and empirical analysis, the following conclusions and implications are drawn from the analysis of the impact of Sino US exchange rate on China's import and export trade with the United States.
(1) when the RMB is appreciating relative to the dollar, in the long run, our country's exports to labor intensive goods, capital and technology intensive commodities, food and resource intensive goods are all rising, but the net exports of labor intensive goods and food and resource intensive goods are rising, capital and technology intensive businesses This also confirms that the US has repeatedly pressed for the appreciation of the renminbi, hoping to ease the trade imbalance between China and the United States is not an effective measure.
(2) in the short term, when the RMB is appreciating relative to the dollar, China's imports of US capital and technology intensive commodities have risen, net exports have fallen, imports of food and resource intensive commodities have fallen and net exports rise; however, China's labor intensive commercial products, capital and technology intensive commodities, food and resource intensive businesses in our country The volume of exports, the import volume of labour intensive commodities and net exports will not change.
This shows that the import and export trade of labor intensive goods in China is insensitive to the changes in the exchange rate of China and the United States, and will not change the amount of trade in the short term; in comparison, the relative price changes caused by the import trade of capital and technology intensive goods and the import trade of food and resource intensive commodities to the change of the exchange rate level of China and the United States Therefore, when the exchange rate changes in China and the United States, the policy authorities should focus on the adjustment of our country's trade in the United States, the timely import of capital and technology intensive goods, and the import of food and resource intensive commodities to enhance the pertinence and effectiveness of the policies and measures.
(3) in the short term, the volatility of the Sino US exchange rate will have a significant impact on the export of labor intensive commodities, the import of capital and technology intensive goods, and the impact on labor intensive goods, capital and technology intensive net exports: the exchange rate volatility of China and the United States is positively related to the export of labor intensive goods, and the net export is a net export. However, the import amount of labor intensive commodities, the export of capital and technology intensive commodities, the import of food and resource intensive commodities, the export volume, and the net export volume are not affected.
This shows that the impact of the volatility of the exchange rate on different commodities is different, mainly focusing on the export of labor intensive goods and the import of capital and technology intensive goods. This is also a positive response for Chinese import and export enterprises to take measures in the face of exchange rate fluctuations, and is targeted to our country's policy authorities. It provides the basis for the regulation of relevant measures.
The main research methods of this paper are as follows:
(1) qualitative analysis and quantitative analysis. In this paper, qualitative analysis is mainly embodied in the theoretical analysis part, quantitative analysis is mainly embodied in the empirical analysis part; (2) the combination of normative analysis and empirical analysis. This paper, based on normative analysis and empirical analysis as a tool, analyzes the impact of Sino US exchange rate on US import and export trade to the United States. (3) in order to choose and measure the relevant variables more accurately, this paper will draw on the existing literature and research results from China and foreign countries; (4) in the process of empirical analysis, the data processing and results are mainly completed by EWIEWS and other software; (5) in order to show the results of the study more vividly, this article through the form, image and so on The results are displayed.
The theoretical basis and model establishment of this paper are based on the existing literature and have made a certain degree of innovation. Compared with the existing literature, the innovation points are mainly reflected in the following aspects:
(1) the frequency of the data used in the existing literature is more than the annual or quarterly data. This will cover up some information. The frequency of the data used in this article is monthly and contains more information, making the analysis more significant.
(2) in the application of the GARCH model to measure the rate of exchange rate volatility, most of the existing related documents are used as a substitute for the rate of exchange rate volatility, while this paper uses the standard deviation obtained from the conditional variance, which is more consistent with the definition of volatility.
(3) Ma Junlu, Wang Bo, Yang Xinming pointed out in the article (2010) that the classification of goods is necessary and makes the analysis more meaningful, but their analysis is limited to the effect of exchange rate on export trade; in this paper, on the basis of its classification of commodities, the exchange rate and exchange rate volatility are analyzed, and export trade is analyzed. This is more systematic and helpful to understand China's import and export trade structure.
This paper is of great theoretical and practical significance: on the one hand, through the measurement of the volatility of the Sino US exchange rate after the exchange rate reform in 2005, and the systematic analysis and Research on the impact of the exchange rate level and volatility on China's import and export trade, this paper will improve the impact of the Sino US exchange rate on China's import and export trade. On the other hand, through the measurement of the volatility of the exchange rate between China and the United States, we can make a clearer understanding of the exchange rate fluctuation and the development trend of the Sino US exchange rate. The empirical analysis of the impact of China US exchange rate volatility on the import and export of China makes our export to China, China and the United States exchange rate fluctuations and exchange rate fluctuations. There is a deep understanding of the extent and direction of the impact, and the rules of the impact of the exchange rate level and exchange rate fluctuation on international trade are found. At the same time, it can reflect the domestic and foreign economic demand and trade structure.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F752.6;F224

【参考文献】