人民币汇率变动对湖北省进出口贸易影响的实证分析

发布时间：2018-03-24 19:32

本文选题：人民币实际有效汇率　切入点：湖北　出处：《西北农林科技大学》2017年硕士论文

【摘要】：在全球经济一体化,我国经济不断增强的背景下,汇率成为国际经济中关注的焦点之一,人民币在国际经济贸易以及投资活动中发挥着不可替代的作用。汇率作为衡量进出口贸易的基础,其变动对于国家和地区的进出口贸易有着重要影响。自05年我国实行汇改以来,浮动汇率制度引起人民币汇率波动率不断增加,人民币面临巨大的增值压力。湖北省作为带领中部崛起的重要省份,近年来对外贸易不断发展,日前湖北省同时面临“长江经济带建设”、“一带一路”、“创新驱动发展”等国家战略叠加、湖北内陆自由贸易试验区获批设立等政策利好,湖北省进出口贸易正处于大力发展的重要时机,因此研究人民币汇率变动对湖北省进出口贸易的影响是具有现实意义的。本文以贸易收支理论及弹性分析理论为理论基础,采取定性分析结合定量分析,选取1994年至2015年度数据,建立包含人民实际有效汇率,湖北省进出口贸易额,湖北省内及国外实际收入,湖北省外商实际投资,湖北省贸易依存度在内的贸易收支模型。首先使用AR-GARCH模型测算了人民币实际有效汇率的波动率,并对所有数据进行ADF单位根检验。接着利用Johansen协整检验研究长期关系,建立向量自回归模型通过格兰杰因果检验,脉冲响应及方差分解研究短期关系。实证结果表明湖北省地区马歇尔-勒纳条件成立,从长期看,人民币升值能够有效的促进湖北省进口抑制出口,人民币波动率增加对湖北省进出口贸易均呈负向影响;从短期看,人民币汇率变动对于出口的影响大于进口。基于实证结果,在建设长江经济带和发展湖北省自由贸易区的背景下,从如何规避汇率波动性风险,扩大外商投资和增强贸易依存度三个方面来发展湖北省进出口贸易提出了相关政策建议。
[Abstract]:Under the background of the global economic integration and the increasing economy of our country, the exchange rate has become one of the focal points in the international economy. RMB plays an irreplaceable role in international economic, trade and investment activities. Exchange rate is the basis for measuring import and export trade. The changes have an important impact on the import and export trade of countries and regions. Since the implementation of the exchange rate reform in China in 2005, the floating exchange rate system has caused the RMB exchange rate to fluctuate continuously. As an important province leading the rise of central China, Hubei Province has been continuously developing its foreign trade in recent years. A few days ago, Hubei was faced with such policies as "construction of the Yangtze River economic belt", "Belt and Road", "innovation-driven development" and other national strategies, and the approval of the establishment of the Hubei inland free trade experimental area was favorable. The import and export trade in Hubei Province is at an important opportunity to develop vigorously, so it is of practical significance to study the influence of RMB exchange rate change on the import and export trade in Hubei Province. This paper is based on the theory of trade balance and elasticity analysis. Taking qualitative analysis and quantitative analysis, selecting the data from 1994 to 2015 to establish the real effective exchange rate of people, the volume of import and export trade of Hubei Province, the actual income inside and outside Hubei Province, and the actual investment of foreign investors in Hubei Province. The trade balance model of Hubei province, including the degree of trade dependence. Firstly, the volatility of RMB real effective exchange rate is calculated by using AR-GARCH model, and all the data are tested by ADF unit root test, and then the long-term relationship is studied by Johansen cointegration test. Through Granger causality test, impulse response and variance decomposition, a vector autoregressive model is established to study the short-term relationship. The empirical results show that the Marshall-Lerner condition is valid in Hubei Province, and in the long run, RMB appreciation can effectively promote the import of Hubei Province to restrain exports, and the increase of RMB volatility has a negative impact on the import and export trade of Hubei Province. In the short term, the impact of RMB exchange rate changes on exports is greater than that on imports. Under the background of the construction of Yangtze River economic belt and the development of Hubei Free Trade area, this paper puts forward some relevant policy suggestions on how to avoid the risk of exchange rate volatility, expand foreign investment and enhance the dependence of trade on the import and export trade of Hubei Province.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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