摘要
基于1978-2006年数据,运用协整检验、因果检验和向量误差修正模型,考察了人民币实际有效汇率、实际汇率和名义汇率与贸易条件之间的长期、短期关系:从长期看,贸易条件是人民币实际有效汇率和实际汇率的原因,贸易条件的恶化(改善)会使人民币实际有效汇率和实际汇率贬值和(升值),贸易条件与名义汇率之间不存在因果关系;从短期看,贸易条件与实际有效汇率的关系更密切。没有证据标明人民币升值会改善贸易条件。
The relation between the trade of terms and RMB exchange rate is of general interest in resent years. This paper applies cointegration analysis, Granger causality test and vector error correction model to studying the long run as well as the short run linkage between terms of trade and RMB real effective exchange rate, real exchange rate and nominal exchange rate over the period 1978-2006. In the long run, terms of trade Granger causes real effective exchange rate and real exchange rate but not the nominal exchange rate. In other words, the deterioration （improvement） of Chinag terms of trade can cause the RMB to appreciate （depreciate）. There is no causality between terms of trade and nominal exchange rate. In the short run, terms of trade bears a closer correlation with RMB real effective exchange rate with a greater self - error - correcting capacity. There is no evidence that the appreciation of RMB can improve China＇ s terms of trade.
出处
《山东大学学报（哲学社会科学版）》
CSSCI
北大核心
2010年第3期75-79,共5页
Journal of Shandong University(Philosophy and Social Sciences)
关键词
贸易条件
人民币汇率
协整检验
因果检验
terms of trade
RMB exchange rate
cointegration model
causality test
