人民币汇率及美元指数与中国外贸兼论金融危机影响

发布时间：2018-05-10 21:26

本文选题：人民币实际有效汇率 + 美元指数　；参考：《中国科学技术大学》2012年博士论文

【摘要】：中国经济的再次崛起被普遍视为21世纪世界地缘经济格局变迁的重大事件,中国加入WTO以后加速了参与国际分工的步伐,并迅速成为世界制造业的中心。但随之而来的全球国际收支失衡问题加剧,也给中国政府的汇率政策和货币政策的相机抉择造成困难。在以全球账户的再平衡和维护宏观经济和金融稳定发展为汇率政策主要决策目标的大背景下,对汇率水平及其波动率对贸易的真实影响的深入研究就显得尤为重要了。此外,中国国际贸易结算主要以美元为主,人民币的名义汇率也主要盯住美元。美元本身的汇率水平及其波动对于中国对外贸贸易是否有影响,同时美元波动与人民币本身的实际有效汇率水平是否相关都是值得探讨和研究的命题,而由此又会衍生出汇率水平及其波动对不同国家的贸易量影响是否会不同,对于不同行业又会有怎样的影响,全球金融危机对我国进出口的冲击有多大等等一系列问题。我们将在本文尝试对以上问题做出分析,并通过相关数学模型定量分析勾勒出问题答案的轮廓。本文首先研究了人民币实际有效汇率、美元指数及二者波动率和我国进出口贸易总量的关系。对人民币实际有效汇率和美元指数利用广义自回归条件异方差(GARCH)模型进行拟合,计算出人民币有效汇率及美元指数的波动率；进一步分别建立进出口贸易数据和人民币实际有效汇率及其波动率,进出口贸易数据和美元指数的模型,利用向量自回归(VAR)模型,协整关系检验,误差修正模型,GRANGER因果关系检验等一系列实证方法,研究了中国加入WTO以来的人民币实际有效汇率,美元指数及二者的波动率对我国进出口贸易总量的长短期影响；对美元指数和人民币实际有效汇率之间的数量关系进行了Copula建模和GRANGER因果关系检验,结果更进一步确认了我国进出口贸易实际所受影响中的美元汇率因素。基于我国复杂的对外贸易结构背景,为有效评估过去十年的汇率政策对贸易的微观结构影响,以及下一步人民币汇率形成机制改革的路径选择提供决策依据。对我国前20大贸易伙伴按贸易不平衡度分类并采用向量自回归(VAR)模型,协整关系检验,误差修正模型等研究方法分别研究了我国对这20大贸易伙伴贸易与人民币实际有效汇率和美元指数等因素的长短期关系,并对所得结果做了初步的归纳总结。对我国加入WTO到2010年6月整体外贸平衡度进行测算,结果显示加入WTO以来,我国对外贸易总体虽有顺差但仍处于贸易平衡区域。我们还研究比较了同时期几个重要行业进出口贸易和人民币实际有效汇率和美元指数模型,得到了一些有意义的结果,特别是对进出口贸易总额的GRANGER因果关系检验结果显示我国进口是出口的GRANGER原因,反之不是,这与我国经济结构和参与国际分工的产业结构有关。在本文的后半部分,通过对进出口数据进行分段趋势模型拟合,我们从较为直观的角度定量地研究了2008年发生的全球金融危机对我国进出口总量以及我国对20大主要贸易伙伴进出口额度的冲击影响和累积影响,揭示了我国对外贸易所受外在因素影响的一个重要方面。汇率政策是实现我国经济发展内部均衡和外部平衡的基础和核心,汇率政策目标和贸易政策目标也是在我国经济融入世界经济过程中维护好金融稳定的重要指标。本文的研究成果为决策层在金融稳定约束下进行贸易政策和汇率政策的相机抉择提供了依据。
[Abstract]:The re emergence of China's economy is generally regarded as a major event in the change of the geo economic pattern of the world in twenty-first Century. After China's entry into the WTO, China has accelerated the pace of participation in the international division of labor and rapidly became the center of the world's manufacturing industry. However, the consequent global balance of payments imbalance has intensified, and it also gives the Chinese government exchange rate policy and monetary policy. In the context of the rebalance of the global account and the maintenance of the macroeconomic and financial stability as the main target for the policy decision of the exchange rate policy, it is particularly important to study the real impact of the exchange rate and its volatility on trade. In addition, China's international trade settlement is mainly based on US dollars. The nominal exchange rate of the civil currency is also mainly focused on the dollar. The exchange rate level and its fluctuation in the US dollar have an impact on China's foreign trade and trade, and whether the fluctuation of the dollar and the actual effective exchange rate of the RMB itself is a proposition worthy of discussion and study, and thus the exchange rate level and its fluctuation will be derived from different countries. Whether the impact of the trade volume of the family will be different, how the different industries will have the impact, the impact of the global financial crisis on China's import and export, and so on a series of problems. We will try to analyze the above problems in this paper, and through quantitative analysis of relevant mathematical models to outline the outline of the answer.
This paper first studies the real effective exchange rate of RMB, the dollar index and the relationship between the volatility of the two parties and the total amount of China's import and export trade. Do not establish import and export trade data and RMB real effective exchange rate and its volatility, import and export trade data and the model of dollar index, use vector autoregression (VAR) model, cointegration test, error correction model, GRANGER causality test and so on, to study the actual effectiveness of RMB since China's entry into WTO. The impact of the exchange rate, the dollar index and the volatility of the two parties on the total amount of China's import and export trade; the Copula modeling and the GRANGER causality test on the relationship between the dollar index and the real effective exchange rate of the RMB. The results further confirm the dollar exchange rate factors in the actual impact of China's import and export trade. Based on the complex background of China's foreign trade structure, it provides a decision basis for the effective assessment of the impact of the exchange rate policy on trade in the past ten years and the path selection of the RMB exchange rate formation mechanism in the next step. The first 20 trade partners of our country are classified according to the trade imbalances and adopt the vector autoregression (VAR) model and co integration. The relationship test, error correction model and other research methods respectively study the long term relations between the 20 trade partners' trade with the RMB real effective exchange rate and the dollar index, and make a preliminary summary of the results. Since WTO, our foreign trade generally has a surplus but still in a trade balance area. We also compare the import and export trade of several important industries in the same period, the real effective exchange rate of RMB and the dollar index model, and get some meaningful results, especially the result of the GRANGER causality test of the total import and export trade. It shows that China's imports are the cause of GRANGER export, and vice versa, which is related to China's economic structure and participation in international division of labor.
In the second half of this paper, through the piecewise trend model fitting of the import and export data, we quantitatively study the impact of the global financial crisis on China's import and export volume and the impact of China's impact on the import and export of the 20 major trading partners in 2008 from a more intuitive perspective, and reveal the impact of China's impact on the import and export of the 20 major trading partners. An important aspect of external trade is external factors.
Exchange rate policy is the basis and core of realizing the internal and external balance of China's economic development. The target of exchange rate policy and the target of trade policy are also important indicators to maintain financial stability in the process of China's economic integration into the world economy. The research results of this paper are the trade policy and exchange rate policy under the constraints of financial stability. The choice of camera provides a basis.

【学位授予单位】：中国科学技术大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.6;F752;F224

【参考文献】