论新形势下人民币汇率与我国进出口贸易的关联度——基于VAR模型的实证研究  

Research on Interaction between RMB Exchange Rate and China's Import and Export Trade:Based on VAR Model

作　　者：眭川 SUI Chuan(Department of Foreign Languages and Trade, Xiamen Institute of Software Technology, Xiamen 361001, Fujian, China)

机构地区：[1]厦门软件职业技术学院外语外贸系,福建厦门361001

出　　处：《江苏经贸职业技术学院学报》2019年第1期5-8,共4页Journal of Jiangsu Institute of Commerce

基　　金：福建省教育厅中青年教师教育科研项目"新形势下人民币汇率波动对中国国际贸易的影响研究--基于VAR模型实证分析"(JAS171252)

摘　　要：在人民币汇率改革和加入特别提款权货币篮子的背景下,通过建立向量自回归(VAR)模型,研究2006—2017年的人民币实际有效汇率与进出口贸易的关联度,以及进出口总额对人民币实际有效汇率的负向影响。结果表明:在5%的显著性水平下,人民币实际有效汇率不是出口额的Granger原因,而是进口额的Granger原因;出口额是人民币实际有效汇率变动的Granger原因,进口额却不是。Based on the RMB exchange rate reform and the accession to the special drawing right, it studies the causal interaction between RMB exchange rate and import and export trade during the 12 years from 2006 to 2017, especially the adverse effect of the total import and export on the RMB effective exchange rate. The VAR model is used to empirically test the correlation of causality. The results show that under the 5% significance level, the effective RMB exchange rate is not the Granger cause of export but of import. The export is Granger cause of RMB effective exchange rate while the import not. This draws several enlightenments.

关 键 词：人民币汇改 特别提款权 人民币实际有效汇率 进出口贸易 VAR模型 

分 类 号：F832.6[经济管理—金融学]