中美双边贸易与人民币汇率波动相关性研究
发布时间：2018-07-16 13:02
【摘要】：人民币对美元汇率从升值通道转变为贬值预期,引起对中国外贸发展变化的关注,该文总结了基于总量贸易数据实证研究汇率贸易效应的不足,考虑到宏观经济变量之间存在非对称性调整机制,利用中美双边贸易数据构建两种自回归分布滞后模型(ARDL),分别回归分析汇率变动的对称性和非对称性贸易效应,并在此基础上选择主要行业进行细分行业实证检验。对称性模型检验结果显示:人民币汇率变动的J曲线效应不存在,而且汇率变动对中美贸易的长期影响效应不显著,非对称性模型提供了比对称性模型更多的证据来支持实际汇率的短期效应,人民币实际汇率升值对中美贸易长期影响效应得到验证,而且非对称性模型检验结果证实了贸易平衡的短期非对称性调整效应,主要贸易行业检验结果反映了人民币汇率变动贸易效应的行业差异以及影响时效差异,证实了行业差异对制定人民币汇率变动下行业贸易调整策略的指导意义;最后提出人民币贬值新预期下制定审慎的贸易政策建议。
[Abstract]:The RMB / US dollar exchange rate has changed from a channel of appreciation to an expectation of depreciation, which has aroused the concern of the development and change of China's foreign trade. This paper summarizes the deficiency of empirical research on the effect of exchange rate trade based on the aggregate trade data. Considering the asymmetric adjustment mechanism between macroeconomic variables, two autoregressive distributed lag models (ARDL) are constructed by using bilateral trade data of China and the United States, and the symmetry and asymmetric trade effects of exchange rate changes are regressed respectively. On the basis of this, we choose the main industries to carry out empirical test of subdivision industries. The results of symmetry model test show that the J curve effect of RMB exchange rate change does not exist, and the long-term effect of exchange rate change on Sino-US trade is not significant. The asymmetric model provides more evidence than the symmetry model to support the short-term effect of the real exchange rate. Moreover, the results of asymmetric model test confirm the short-term asymmetric adjustment effect of trade balance, and the main trade industry test results reflect the industry difference of the trade effect of RMB exchange rate change and the difference of influence time. The paper confirms the guiding significance of industry differences in formulating industrial trade adjustment strategies under the change of RMB exchange rate, and finally puts forward some prudent trade policy suggestions under the new expectation of RMB depreciation.
【作者单位】： 上海立信会计金融学院金融学院;上海立信会计金融学院国际经贸学院;上海立信会计金融学院财务处;
【基金】：国家社科基金一般项目“中国在全球生产网络中的角色变迁与对外经济发展方式转变”(编号:14BJL053) 上海市教育发展基金会和上海市教育委员会“曙光计划”(编号:16PJC065) 上海市浦江人才计划资助(编号:16SG51) 中国博士后科学基金资助项目(编号:2017M611424)的资助
【分类号】：F752.7;F757.12;F832.6
[Abstract]:The RMB / US dollar exchange rate has changed from a channel of appreciation to an expectation of depreciation, which has aroused the concern of the development and change of China's foreign trade. This paper summarizes the deficiency of empirical research on the effect of exchange rate trade based on the aggregate trade data. Considering the asymmetric adjustment mechanism between macroeconomic variables, two autoregressive distributed lag models (ARDL) are constructed by using bilateral trade data of China and the United States, and the symmetry and asymmetric trade effects of exchange rate changes are regressed respectively. On the basis of this, we choose the main industries to carry out empirical test of subdivision industries. The results of symmetry model test show that the J curve effect of RMB exchange rate change does not exist, and the long-term effect of exchange rate change on Sino-US trade is not significant. The asymmetric model provides more evidence than the symmetry model to support the short-term effect of the real exchange rate. Moreover, the results of asymmetric model test confirm the short-term asymmetric adjustment effect of trade balance, and the main trade industry test results reflect the industry difference of the trade effect of RMB exchange rate change and the difference of influence time. The paper confirms the guiding significance of industry differences in formulating industrial trade adjustment strategies under the change of RMB exchange rate, and finally puts forward some prudent trade policy suggestions under the new expectation of RMB depreciation.
【作者单位】： 上海立信会计金融学院金融学院;上海立信会计金融学院国际经贸学院;上海立信会计金融学院财务处;
【基金】：国家社科基金一般项目“中国在全球生产网络中的角色变迁与对外经济发展方式转变”(编号:14BJL053) 上海市教育发展基金会和上海市教育委员会“曙光计划”(编号:16PJC065) 上海市浦江人才计划资助(编号:16SG51) 中国博士后科学基金资助项目(编号:2017M611424)的资助
【分类号】：F752.7;F757.12;F832.6
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