汇率波动对中国向日本出口的门限非线性影响研究  

The Research of Threshold Nolinear Effect Between RMB Exchange Rate Volatility and China-Japanese Export Trade

作　　者：杨政[1] 李天皓 YANG Zheng;LI Tian-hao(University of Electronic Science and Technology of China,Chengdu 611731,China)

机构地区：[1]电子科技大学经济与管理学院,成都611731

出　　处：《电子科技大学学报（社科版）》2020年第4期43-49,共7页Journal of University of Electronic Science and Technology of China(Social Sciences Edition)

基　　金：教育部人文社会科学青年基金项目(15YJC790132).

摘　　要：【目的/意义】近年来中国已成为日本第一大进出口贸易伙伴,而人民币汇率改革使得人民币的波动区间不断增加,人民币对日元的汇率波动对中日贸易的影响显得十分重要。【设计/方法】利用门限回归模型将人民币对日元的汇率波动分为高波动和低波动两类,在这两类波动情况下,汇率波动对出口分别有不同的影响。【结论/发现】实证研究结果有:(1)门限效应检验表明汇率波动对出口有非线性影响。(2)门限回归模型的参数估计显示人民币对日元汇率波动较小时,中国对日本的出口贸易受到汇率波动的负向影响;而波动较大时,影响不显著。(3)对样本分不同时间预测,结果显示汇率波动是预测出口变化的一个重要因素,并且门限非线性模型优于线性模型。[Purpose/Significance]In recent years,China has become Japan's largest import and export trading partner,and the reform of the RMB exchange rate has increased the fluctuation range of the RMB.The impact of the exchange rate fluctuation of the RMB against the Japanese yen on Sino-Japanese trade is very important.[Design/Methodology]The threshold-regression model is used to classify the exchange rate fluctuations of the RMB against the Japanese yen into two types:high and low fluctuations.Under these two types of fluctuations,exchange rate fluctuations have different effects on exports.[Findings/Conclusions]The empirical research results are as follows:(1)Threshold effect test shows that exchange rate fluctuations have a nonlinear effect on exports.(2)The parameter estimation of the threshold regression model shows that when the exchange rate fluctuation of the RMB against the Japanese yen is small,China’s export trade to Japan is negatively affected by the exchange rate fluctuation;when the fluctuation is large,the impact is not significant.(3)Using samples to make predictions at different times,the results show that exchange rate fluctuations are an important factor in predicting export changes,and the threshold nonlinear model is better than the linear model.

关 键 词：汇率波动 出口贸易 门限效应 预测 

分 类 号：F740[经济管理—国际贸易] F064[经济管理—产业经济]