摘要
本文通过建立GARCH模型量度了人民币对欧元实际汇率的波动性,并运用协整检验模型、误差修正模型、脉冲响应函数和方差分解技术就人民币实际汇率变动对中国与欧元区之间进出口贸易的影响进行分析。分析结果表明,中国对欧元区出口在长期内随汇率波动而增加,而进口却随汇率波动而减少;在短期内汇率波动推动中国进口,抑制中国出口。人民币升值在长期内给双边出口均造成伤害,但对中国出口伤害更大;在短期内人民币贬值将对中国进出口均有推动作用。本文分析还表明,在长期内,中国对欧元区出口收入效应远远大于欧元区对华出口收入效应;在短期内,中国实际收入变动对欧元区出口表现负向冲击,而欧元区实际收入变动对中国出口表现为正向冲击。中国汇率制度改革对中国出口欧元区产生推动作用,对欧元区出口产生抑制作用,且前者大于后者。实际汇率水平及其波动性变化对欧元区对华出口变动的解释力高于中国实际收入水平变化的解释力,而对于中国对欧元区出口的变动,欧元区实际收入水平变动的解释力高于实际汇率水平及其波动性变化的解释力。
This paper measures the volatility of the RMB exchange Rate against the EURO through GARCH Model,and analyses the effect of RMB＇s real exchange rate volatility on Sino-Eu import and Export Trade with the co-integration model,error correction model,and impulse response function and variance decomposition.The result obtained in this paper shows that the export from China to Euro increases with the volatility and the import from Euro decreases in the long run,and that this volatility has positive impulse on import from Euro and negative one on export from China in a short term.The appreciation of the RMB has larger negative effect on China＇s export than on Eu＇s export for a long period,and the depreciation has positive effect on China＇s export and import in a short term.The income effect on export from China to EU is much larger than that from EU to China in a long term.In a short term,there are negative income effect on Eu＇s export and positive one on China＇s export.The reform on RMB＇s exchange rate regime promotes the export from China,and restrains that from EU.This Paper also tells us that both the real exchange rate and its volatility have much more contribution on the change of export from EU than China＇s real income,and that EU＇s real income has more on the change of export from China than the real exchange rate and its volatility.
出处
《上海经济研究》
CSSCI
北大核心
2012年第1期105-116,共12页
Shanghai Journal of Economics
关键词
汇率波动
进出口贸易
协整模型
误差修正模型
脉冲响应函数
方差分解技术
Exchange Rate Volatility
Import and Export Trade
Co-integration Model
Error Correction Model
Impulse Response Function
Variance Decomposition
