人民币实际汇率变动对中日贸易影响的实证分析(2000～2011)  

An Empirical Study on the Effect of RMB Real Exchange Rate Change on Sino-Japan Trade from 2000 to 2011

作　　者：李富有[1] 孙敏[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《现代日本经济》2013年第2期59-65,共7页Contemporary Economy OF Japan

基　　金：国家软科学研究项目"西部地区民间投资发展趋势及其对经济的影响研究"(2011GXQ4D079)

摘　　要：本文使用GARCH模型度量了人民币对日元实际汇率的波动性,并基于VAR的协整检验和误差修正模型实证分析了人民币实际汇率变动对中日进出口贸易的影响。结果表明,长期内,中国对日进出口存在正向的收入效应和负向的汇率波动效应,出口价格效应为正,进口价格效应为负,且出口价格弹性大于进口价格弹性;中国实际收入是推动中日进出口增长的重要动力。短期内,人民币贬值不能改善中日贸易逆差状况,并且向长期均衡的调整速度较慢;人民币汇率制度改革对中日贸易的长短期影响均不显著。因此,中日贸易问题的根本不在人民币汇率,而在于中国经济结构和出口贸易结构的优化。This paper measured the volatility of RMB against Yen ＇s real exchange rate using GARCH model and analyzed empirically the effect of RMB real exchange rate change on Sino - Japan trade based on the Co -integration Test and Error Correction Models. The result indicates that in the long term there exist positive income effect and negative exchange rate fluctuation effect in Sino - Japan trade, Moreover, the effect of exportprice is positive, the effect of import price is negative and the elasticity of export price is higher than the elasticity of import price ; China＇s real income level is key impetus to improve Sino - Japan trade. In the short run,devaluation of RMB cannot improve the state of Sino - Japan trade deficit, and the transformation to long - run equilibrium of Sino - Japan trade deficit is slower. Whether in long - run or short - run, the effect of reform ofRMB exchange rate system on Sino -Japan trade is not significant. Therefore, the way out for problem lies in the optimization of China＇s economy structure and export structure other than RMB＇s exchange rate.

关 键 词：汇率波动 GARCH模型 协整检验 误差修正模型 中日贸易 

分 类 号：F833.313.9[经济管理—金融学]