汇改前后实际汇率对中国向欧元区出口影响的比较  

Effects of Real EUR/CNY Exchange Rate on the Exports to Euro Area Pre and Post the Exchange Rate Reform

作　　者：黄飞雪[1] 王云[1] 

机构地区：[1]大连理工大学管理与经济学部

出　　处：《数量经济技术经济研究》2011年第3期90-103,共14页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金(编号:70903011);教育部人文社会科学研究项目基金(编号:09YJC790025);大连理工大学软件+X研究基金(编号:DUT842301)资助

摘　　要：本文采用2002-2010年月度实际汇率数据并以汇改为分界，分别建立线性模型和非线性平滑转换（STR）模型，发现非线性转换以时间为转换变量，发生于次贷危机。对比得出：中国向欧元区出口一直存在价格效应，但收入效应随着次贷危机的发生凸显出来，其影响程度大幅增加；实际汇率波动率对出口的影响在汇改后显现出来，但其影响方向不确定；非线性机制是汇改为内因、次贷危机为外因的双重作用形成，且2005年7月21日的汇改选择是具有择时能力的。考虑到中国的产业结构调整需要时间，汇改应采取渐进的策略并具有择时能力。In this paper, the monthly data are collected from April 2002 to March 2010 and the July 2005 is taken as the cut - off point to investigate how the real EUR/RMB exchange rate and its volatility influence the exports towards euro area before and after the exchange rate reform. After the non - linear test, the linear standard model and the non- linear STR model are separately established. And the STR model takes the variable of time as the transition variable, which happened during the sub- prime crisis. Comparing study concludes.. （1） the price effect always exists, the income effect becomes the highlight after sub- prime crisis; （2） after the exchange rate reform, the real exchange rate volatility plays a role- （3） the nonlinear relationship is /ormed under the external factor of sub - prime crisis and the internal factor of exchange rate reform, and July 21, 2005 of exchange rate reform is to have the ability to choose the time.

关 键 词：汇率改革 欧元区出口 平滑转换回归模型 实际汇率波动率 

分 类 号：F830.9[经济管理—金融学]