中国进口和出口的相依性:时变相关系数方法  

The Association between Exports and Imports in China: Time-varying Correlation Approach

作　　者：吴武清[1] 毛志杰[2,3] 李楠[3] 潘松[4] 陈敏[3] 

机构地区：[1]中国人民大学商学院,北京100872 [2]中国人民银行征信中心,北京100800 [3]中科院数学与系统科学研究院,北京100190 [4]中国人民银行支付结算司,北京100800

出　　处：《管理工程学报》2014年第1期81-88,共8页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目(71003100);中国人民大学科学研究基金(中央高校基本科研业务费专项资金)资助项目(11XNK027;10XNF020)

摘　　要：进口和出口的协变性研究对于宏观政策分析和金融决策具有非常重要的意义。本文通过VAR（Vector autoregression）和DCC（Dynamic conditional correlation）建模研究了我国进口和出口之间的静态和时变相依性。主要研究结论如下：13个经济体中，有5个经济体对我国的进口和出口之间的相依性表现出长期的稳定性，其余8个经济体的时变相依性显著，时变路径也趋一致；在汇率变动等外部经济事件的冲击下，影响程度的非对称性和共同影响因素的改变，导致相依结构发生变化；VAR建模显示国际贸易平衡依赖于进口和出口增长率的协调发展。此外，有8个经济体的进口和出口能为彼此提供20％-55％的解释能力。The co-movement Behavior of imports and exports contributes to the development of international payment. Moreover, structural change analysis of co-movement plays an important role in evaluating the effect of the exchange rate or some domestic important financial events on the international competitiveness of a country＇s domestic goods （services）. The correlation between imports and exports is a key factor for determining the bilateral trade flows between China, major developed countries and emerging economies. This study may partly explain China＇s import-induced export characteristics in the early stage of economic development. China has been trying to develop long-term import/export relationships with Chinese Taiwan, Chinese Hong Kong, Japan, Korea, the United States and other developed countries. The traditional import-induced export strategy poses many problems, such as the weak capability of independent innovation and the limited space of sustainable growth. The Dynamic Conditional Correlation （DCC） model proposed by Engle is an important and effective method to study bilateral relations between variables. Whereas both domestic and foreign literatures have not introduced the DCC model to study import and export activities, this paper attempts to examine whether there are time-varying correlations between imports and exports （the imports from China to each economy or the exports from each economy to China） of 13 economies including the United States. The time span of the sample data is from January 1993 to April 2010. Data is recorded monthly, and the data has a total of 208 sample points in each sequence. This paper modeled the static and dynamic co-variation between imports and exports and analyzed the features and evolution path of the dynamic co-movement. The driving impact of external events on the structural changes of correlations is studied. The second section compares the advantages and disadvantages of different methods used to model the correlation. The often-used measurement tool

关 键 词：出口 相依性 动态条件相关系数 

分 类 号：F114[经济管理—国际贸易] F125[经济管理—世界经济]