摘要
依据1995-2011年的季度数据,通过GARCH模型对人民币实际汇率波动进行了测算,并基于行为均衡汇率理论对人民币实际汇率错位程度进行了估计,在此基础上研究了人民币实际汇率波动以及错位对中国制造业各分类产品出口贸易的影响。研究结果表明,无论从长、短期来看,人民币实际汇率波动及汇率错位对不同分类产品的影响均表现出负向影响,但影响效果因产品特性的不同而有较大差异;各分类产品出口短期内均具有自我修正的动态机制。货币当局在关注人民币实际汇率水平值的同时,应进一步减少汇率波动及错位对制造业等实体经济的负面影响。
Based on the quarterly data from 1995 to 2011, this paper firstly estimates RMB real exchange rate volatility by employing the GARCH model. Then based on the behavior equilibrium ex- change rate theory, it measures the degree of RMB real exchange rate misalignment. On the basis of that, it studies the impact of volatility and misalignment of RMB real exchange rate on the manufac- turing export. The results show that whether in the long-term or short-term, the volatility and mis- alignment of RMB real exchange rate have both produced negative influence on the export commodi- ties of different kinds, but the effect varies depending on the different features of the commodities. The different commodities for export all have a dynamic mechanism of self-correction in the short term. The monetary authorities should further reduce the negative impact of the volatility and mis- alignment of exchange rate on the manufacturing industry and other real economy while paying atten- tion to the value level of RMB real exchange rate.
出处
《当代财经》
CSSCI
北大核心
2012年第11期90-100,共11页
Contemporary Finance and Economics
关键词
汇率波动
汇率错位
制造业出口
自回归分布滞后
exchange rate volatility
exchange rate misalignment
manufacturing export
ARDL
