汇率波动对我国进出口影响的门限效应  

The Threshold Effect of Exchange Rate Fluctuation on Our Import and Export

作　　者：姜昱[1] 邢曙光[1] 杨胜刚[1] 

机构地区：[1]湖南大学金融学院

出　　处：《世界经济研究》2011年第7期36-42,88,共7页World Economy Studies

摘　　要：前人在研究汇率波动对我国进出口的影响时均采用线性模型。然而,在不同汇率区间及不同汇率波动幅度下,汇率波动对进出口的影响可能是非线性的。本文利用Hansen(1999)的门限面板模型,对我国17个主要贸易伙伴1985～2008年年度数据进行了实证研究。结论为:(1)在不同的汇率区间,马歇尔-勒纳条件均不成立,不存在门限效应。(2)在不同的汇率波动幅度下,马歇尔-勒纳条件成立情况不同,存在门限效应。当人民币升值率大于11.78%时,马歇尔-勒纳条件成立,其他情况不成立。Previous reserches about the relationship between exchange rate and trade balance are always based on linear models,but the relatonship maybe nonlinear under different exchange rate ranges and different exchange rate changes.This paper studys the relationship between exchange rate fluctuation and our export&import based on threshold panel model using the yearly data from 1985 to 2008 of China's 17 main trade partners.The results are as follows:(1) Marshall-Lerner condition always holds under all the different exchange rate ranges,and these is no threshold effect.(2 ) Marshall-Lerner condition holds with exchange rate appreciating over 11.78%,however,Marshall-Lerner condition does not hold under other conditions.

关 键 词：汇率 进出口 马歇尔-勒纳条件 门限面板模型 

分 类 号：F832.6[经济管理—金融学] F752.6