摘要
本文利用AR-GARCH模型,协整检验和误差修正模型,对海关总署提供的2001年1月至2010年6月中国对东盟、日本、美国、欧盟、韩国、中国香港六个主要贸易伙伴的月度进出口数据进行实证研究。从人民币实际汇率变化,汇率波动率对我国和各贸易伙伴进出口贸易的长期和短期影响进行分析,比较了汇率因素对各个贸易伙伴影响。研究结果表明,长期看来人民币实际有效汇率和多数贸易伙伴的出口显著负相关,没有与其正相关的贸易数据;其波动率可能有多种长期效果。短期看人民币实际有效汇率对与欧盟,东盟,香港出口有反向冲击作用,对韩国进口有正向冲击作用,其波动率对部分贸易伙伴的进出口贸易存在正向冲击。
By using A R-GARCH model, cointergration test and error correction model, we studied China＇ s monthly data provided by the China Customs Bureau of export and import with the Association of Southeast Asian Nations（ASEAN） , Japan, USA, European Union（EU） , Korea and Hong Kong from Jan. 2001 to Jun. 2010. We investigated both the long-term and short-term impact on China＇ s export and import trade amount with these six main trade partners which might be caused by RMB real effective exchange rate and its volatility, and compared these effects between different partners. It is shown that the RMB real effective exchange rate has long-term negative relation with export data with most main trade partners, while no evidence of positive relations are found, which means that the export and import trade with these trade partners will decrease as the RMB real effective exchange rate goes up. The RMB real effective exchange rate volatility can make different long-term effects. View from short-term the RMB real effective exchange rate can launch a negative impact on the export trade with EU, Hong Kong and ASEAN and a positive impact on import with Korea, while the RMB real effective exchange rate volatility may cause a positive impact on part of these main trade partners.
出处
《预测》
CSSCI
北大核心
2012年第3期8-12,共5页
Forecasting
