人民币汇率与贸易盈余:基于SVAR模型的分析  

RMB Exchange Rate and Trade Surplus: An Analysis Based on SVAR Model

作　　者：曹强[1] 虞文美[1] 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《国际经贸探索》2015年第9期81-94,共14页International Economics and Trade Research

基　　金：国家社科基金青年项目(15CJY085);上海财经大学研究生科研创新基金资助(CXJJ-2012-347)

摘　　要：文章基于结构向量自回归（SVAR）模型。研究了在供给冲击与需求冲击情况下人民币汇率与贸易盈余之间的关系，使用中国1996～2013年的月度数据，并且在模型中加入三大外生变量以保证平稳性。研究结论表明贸易盈余的主要决定因素不是实际汇率，而是其自身的特征。即经济结构和金融结构；人民币实际汇率的主要决定因素也不是贸易盈余，而是外汇市场特征；在中国进行汇改前．实际汇率上升并没有导致通胀率显著下降，但是在汇改之后，发现短期内二者之间的负相关关系非常显著。This paper adopts structural vector autoregression （SVAR） model to study the relationship between RMB exchange rate and trade surplus in the case of the supply shocks and demand shocks by using the 1996-2013 monthly data of China and adding three exogenous variables in the model to ensure its smoothness. The conclusions indicate that： the main determinant of trade surplus is not the actual exchange rate, but its own characteristics, namely economic structure and financial structure; the main determinant of the real exchange rate of RMB is not the trade surplus, but the feature of foreign exchange market; before the reform of exchange rate, the real exchange rate does not lead to a significant decline in the inflation rate, but after the reform, the short-term negative correlation between the two is very significant.

关 键 词：贸易盈余 实际有效汇率 结构向量自回归 宏观经济冲击 

分 类 号：C812[社会学—统计学]