人民币汇率变动、邻国汇率效应与双边贸易——基于中国与东南亚五国SVAR模型的经验研究  

Exchange Rate Fluctuations, Neighboring Countries Exchange Rate Effects and Bilateral Trades——Empirical Research Based on SVAR Model of China and Five countries in Southeast Asia

作　　者：曹伟[1,2] 林守武 

机构地区：[1]浙江工商大学金融学院 [2]浙江工商大学应用经济学研究基地

出　　处：《国际贸易问题》2017年第11期150-161,共12页Journal of International Trade

基　　金：国家社科基金青年项目"人民币汇率变动和邻国效应对中国与‘一带一路’沿线国家双边贸易的影响研究"(16CJY078);教育部人文社科规划项目"汇率传递的省际效应和区域特征"(15YJA790002);浙江省自然科学基金一般项目"‘新常态’下人民币汇率传递效应及其影响因素研究:基于省际视角"(LY17G030007)

摘　　要：本文将邻国汇率效应纳入传统的汇率变动影响双边贸易的研究框架,通过构建结构性向量自回归(SVAR)模型,分析了中国同东南亚五国双边汇率和邻国汇率变动(水平变化和波动幅度两个层面)对双边贸易的影响。研究结果表明:中国同东南亚五国双边进口和出口贸易受双边汇率和邻国汇率的水平变化影响较小,但受其波动幅度影响较大;双边汇率的波动(幅度)对中国同东南亚五国的双边贸易具有正向影响。邻国汇率波动对中国与各国双边贸易的影响存在显著不同,其中泰国与中国的双边汇率波动对中国同马来西亚的双边贸易,菲律宾与中国的双边汇率波动对中国同印度尼西亚的双边贸易均具有正向影响,而马来西亚与中国的双边汇率波动对中国同菲律宾、新加坡和泰国的双边贸易均具有负向影响;进一步分行业研究,发现中国同东南亚五国大部分行业的双边贸易同样存在显著的邻国汇率效应,与整体层面的研究结论基本一致。针对以上结论,从中国同东南亚五国之间的汇率联动性、厂商竞争地位、金融市场发育程度等多方面对结论做了解释,并结合"一带一路"倡议背景得到了许多政策启示。This paper introduces the neighboring countries exchange rate effects into the theoretical model of the relationship between exchange rate and bilateral trade, constructs a structural vector autoregressive model（SVAR）, and analyzes the impacts of the bilateral and neighboring exchange rate fluctuations（including level fluctuations and volatilities） on bilateral trades between China and five countries in Southeast Asia. Studies find that bilateral trades between China and five countries in Southeast Asia are slightly affected by the bilateral and neighboring exchange rate level fluctuations, but are greatly influenced by the bilateral and neighboring exchange rate volatilities, and the influences are positive.In addition, different countries＇ neighboring country exchange rate volatility effects are significantly different. The influences of the Thailand exchange rate volatilities on bilateral trades between China and Malaysia and the Philippines exchange rate volatilities on bilateral trades between China and Indonesia are both positive, while the influences of the Malaysia exchange rate volatilities on bilateral trades between China and Philippines, Singapore, Thailand are all negative.Meanwhile, our further studies find that most industries also exist neighboring country exchange rate effects, and the results are similar to the result of overall level. For the above conclusions, this paper finds out some factors to explain the results, including the exchange rate linkage between China and five countries in Southeast Asia, manufacturer＇s competitive position and financial market development degree. At last, we also get a lot of policy implications under the background of the ＂Belt and Road＂ strategy.

关 键 词：SVAR模型 人民币汇率变动 邻国汇率效应 双边贸易 

分 类 号：F822.0[经济管理—财政学]