人民币汇率变动、邻国汇率效应与双边贸易——基于中国与东南亚五国SVAR模型的经验研究

发布时间：2018-01-02 13:15

本文关键词：人民币汇率变动、邻国汇率效应与双边贸易——基于中国与东南亚五国SVAR模型的经验研究　出处：《国际贸易问题》2017年11期 　论文类型：期刊论文

【摘要】：本文将邻国汇率效应纳入传统的汇率变动影响双边贸易的研究框架,通过构建结构性向量自回归(SVAR)模型,分析了中国同东南亚五国双边汇率和邻国汇率变动(水平变化和波动幅度两个层面)对双边贸易的影响。研究结果表明:中国同东南亚五国双边进口和出口贸易受双边汇率和邻国汇率的水平变化影响较小,但受其波动幅度影响较大;双边汇率的波动(幅度)对中国同东南亚五国的双边贸易具有正向影响。邻国汇率波动对中国与各国双边贸易的影响存在显著不同,其中泰国与中国的双边汇率波动对中国同马来西亚的双边贸易,菲律宾与中国的双边汇率波动对中国同印度尼西亚的双边贸易均具有正向影响,而马来西亚与中国的双边汇率波动对中国同菲律宾、新加坡和泰国的双边贸易均具有负向影响;进一步分行业研究,发现中国同东南亚五国大部分行业的双边贸易同样存在显著的邻国汇率效应,与整体层面的研究结论基本一致。针对以上结论,从中国同东南亚五国之间的汇率联动性、厂商竞争地位、金融市场发育程度等多方面对结论做了解释,并结合"一带一路"倡议背景得到了许多政策启示。
[Abstract]:In this paper, the exchange rate effect of neighboring countries is incorporated into the traditional research framework of the influence of exchange rate changes on bilateral trade, and a structural vector autoregressive SVARmodel is constructed. This paper analyzes the changes in the exchange rate between China and the five Southeast Asian countries and the exchange rate of neighboring countries (level change and fluctuation range). The results show that the bilateral import and export trade between China and the five Southeast Asian countries is less affected by the changes of the bilateral exchange rate and the exchange rate of the neighboring countries. But it is influenced greatly by its fluctuation range. The fluctuation (range) of bilateral exchange rate has a positive effect on the bilateral trade between China and the five Southeast Asian countries, while the influence of the exchange rate fluctuation of neighboring countries on the bilateral trade between China and other countries is obviously different. The fluctuation of the bilateral exchange rate between Thailand and China has a positive impact on the bilateral trade between China and Malaysia, and the fluctuation of the bilateral exchange rate between the Philippines and China has a positive impact on the bilateral trade between China and Indonesia. The fluctuation of the exchange rate between Malaysia and China has a negative impact on the bilateral trade between China and the Philippines, Singapore and Thailand. Further sub-industry research found that the bilateral trade between China and the five Southeast Asian countries also has significant exchange rate effect in neighbouring countries, which is basically consistent with the conclusion of the overall level. The conclusion is explained from the exchange rate linkage between China and the five Southeast Asian countries, the competitive position of the firms, the degree of financial market development and so on, and a lot of policy revelations are obtained from the background of the "Belt and Road" initiative.
【作者单位】：浙江工商大学金融学院;浙江工商大学应用经济学研究基地;
【基金】：国家社科基金青年项目“人民币汇率变动和邻国效应对中国与‘一带一路’沿线国家双边贸易的影响研究”(16CJY078) 教育部人文社科规划项目“汇率传递的省际效应和区域特征”(15YJA790002) 浙江省自然科学基金一般项目“‘新常态’下人民币汇率传递效应及其影响因素研究:基于省际视角”(LY17G030007)
【分类号】：F746;F831.6
【正文快照】： 引言汇率变动与国际贸易的关系一直是国际经济学领域十分重要的研究主题。自2005年7月人民币汇率改革以来,有关人民币汇率变动对中国进出口贸易(特别是双边贸易)影响的文献十分丰富。从2014年初开始,人民币兑美元汇率中间价一改长期单边升值预期,进入双向波动“新常态”,特别

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