人民币实际有效汇率和美元指数对中国进出口贸易的影响

在分析当前人民币实际有效汇率与美元指数对中国进出口贸易研究现状的基础上,借鉴Johansen协整模型和误差修正模型,利用GARCH模型计算月度波动率,对2001年1月至2010年6月我国进出口总量月度数据进行实证研究.从人民币实际有效汇率及其波动以及美元指数及其波动对进出口贸易的影响进行分析.研究结果表明:人民币实际有效汇率对中国的出口影响较大,而对进口影响较小;美元指数的波动对中国进出口贸易的影响幅度较大.同时,研究表明美元指数是人民币实际有效汇率的Granger原因,反之不是.研究证明,自加入WTO以来,中国的贸易失衡状况不仅与人民币实际有效汇率水平有关,也和美元本身汇率水平及其波动有关.研究结果为人民币实际有效汇率政策和贸易政策的制定提供了一定的参考.

Influence on China import and export by RMB real effective exchange rate and US dollar index

The monthly volatility of RMB real effective exchange rate and US dollar index was figured out using AR-GARCH model.The empirial reseach on the monthly export and import data from Jan.2001 to Jun.2010 based on the research results of influence on foreign trade by RMB real effective exchange rate and US dollar index was conducted,using Johansen cointegrate model and error correction model.The influence on foreign trade by RMB real effective exchange rate and its volatility,US dollar index and its volatility was considered.The results show that the RMB real effective exchange rate has a great effect on China export,while has little effect on import;the volatility of US dollar index also has a great effect on China’s export and import.The US dollar index is the Granger cause of RMB real effective exchange rate,but not contrarily.It is shown that the trade misalignment of China is related with US dollar index and its volatility besides RMB real effective exchange rate and its volatility since China joined the WTO.These research results may offer some reference for drawing RMB exchange rate policy and trade policy.