中国进出口额影响因素的传导机制的实证研究

发布时间：2018-04-25 12:44

本文选题：进出口贸易 + VAR模型　；参考：《广西师范大学》2014年硕士论文

【摘要】：在过去的三十年中,进出口对中国经济发展的贡献举世瞩目。然而最近几年由于金融危机等事件,外贸的形势开始变得复杂多变,风险的增大要求更细致更量化地分析影响进出口额的因素的传导机制,为企业和政府提供决策帮助和建议。关于这个课题,国内外学者已做了卓有成效的工作。前人主要使用向量自回归模型、协整检验和误差修正模型等方法结合理论,得出各影响因素对进出口额长期的均衡和短期的动态变化。但也存在数据陈旧,变量选取偏少,模型的使用单一无法进行比较,短期冲击反应机制研究不足等问题。本文选取2002年1月至2012年12月的全国进出口额、人民币实际有效汇率、国际原油价格、外商直接投资、国内工业增加值、流通中货币的供应量、国内居民物价指数、美国个人收入水平的月度数据,运用Eviews6.0、Microfit及ECVaR软件建立VAR模型,协整模型,ARDL模型,并用脉冲响应函数,误差修正,M-TAR模型研究短期变化趋势,在最后根据VaR/CVaR值对各模型进行比较。得到各个影响因素与进出口额长期与短期的关系,并建立模型综合各因素的作用。结果表明,人民币的升值暂时对进出口额没有负面的影响；流通中货币的供应量在短期内可以一定程度上刺激外贸,当在长期来看会抑制进出口额的增长；国际市场需求的变化对进出额的影响较为显著,我国的产业转型升级迫在眉睫。通过研究我国进出口贸易各影响因素的传导机制和效应,在人民币汇率政策、国内货币政策制定及外贸产业升级转型方面提出了基于研究结果的建议。得出我国应保持稳健的汇率政策,并且保持适度的波动性,国内货币政策应充分调查研究紧跟市场变化。产业方面逐步提高产品技术含量和附加值。提高对全球性经济危机的抵御能力。
[Abstract]:In the past 30 years, the contribution of import and export to China's economic development has attracted worldwide attention. However, due to the financial crisis and other events in recent years, the situation of foreign trade has become more complex and changeable. The increase of risk requires a more detailed and quantitative analysis of the transmission mechanism of the factors affecting the import and export volume, so as to provide decision assistance and advice for enterprises and governments. Scholars at home and abroad have done fruitful work on this subject. Based on the theory of vector autoregressive model, cointegration test and error correction model, the long-term equilibrium and short-term dynamic change of import and export value are obtained by using the methods of vector autoregressive model, cointegration test and error correction model. However, there are some problems such as outmoded data, lack of variable selection, lack of comparison in the use of the model, and lack of research on the mechanism of short-term shock reaction. This paper selects the national imports and exports from January 2002 to December 2012, the real effective exchange rate of RMB, the international crude oil price, the foreign direct investment, the domestic industrial added value, the money supply in circulation, the domestic resident price index, Monthly data of American personal income level are used to establish VAR model by using Eviews6.0 / Microfit and ECVaR software, cointegration model and ARDL model, pulse response function and error correction M-TAR model are used to study the short term variation trend. Finally, the models are compared according to the VaR/CVaR value. The relationship between each influencing factor and the long-term and short-term of import and export is obtained, and the model is established to synthesize the effect of each factor. The results show that the appreciation of RMB has no negative effect on import and export value temporarily, the supply of currency in circulation can stimulate foreign trade to some extent in the short term, and in the long run it will restrain the growth of import and export volume. The change of international market demand has a significant impact on the import and export volume, and the industrial transformation and upgrading of our country is imminent. By studying the transmission mechanism and effect of the influencing factors of China's import and export trade, this paper puts forward some suggestions based on the research results in the aspects of RMB exchange rate policy, domestic monetary policy formulation and the upgrading and transformation of foreign trade industry. It is concluded that China should maintain stable exchange rate policy and moderate volatility, and domestic monetary policy should be fully investigated and studied to keep up with market changes. Industry has gradually increased the technical content and added value of products. Improving resilience to the global economic crisis.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F752.6;F224

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