有效汇率及中国分类出口GARCH-GED及VEC模型的实证.PDF

有效汇率与中国分类出口：GARCH-GED 和VEC 模型的实证分析 刘瑾婧 中国科学技术大学，安徽合肥，230026 摘 要：基于月度数据，运用 Johansen 协整检验和向量误差修正模型（VEC 模 型）定量研究了人民币有效汇率水平及其波动率对各类出口额及总出口额的影 响。其中，分类按照国际贸易标准分类法(SITC) 。人民币有效汇率的波动率运用 GARCH-GED 模型（扰动项服从广义误差分布的广义自回归条件异方差模型）的 条件方差来衡量。分析结果显示：食品饮料类、工业制品类出口额受价格的影响 较大，说明中国食品饮料和工业制品的出口主要是靠价格优势取胜，议价能力低。 汇率波动的实证结果不能否认适当的汇率波动有利于中国出口。从长期来看，汇 率波动可以促进中国产业结构升级、贸易方式调整。 关键词：出口 SITC Johansen 协整 VEC 人民币实际有效汇率 GARCH-GED Effective Exchange Rate and Chinese Classified Export: An Empirical Analysis based on GARCH-GED and VEC Model Abstract ：Based on monthly data, Johansen multivariate cointegration method and vector correction model (VEC) are applied to measure the impact of RMB effective exchange rate and its variability on total export and classified exports, where exports are classified according to Standard International Trade Classification (SITC). RMB effective exchange rate variability is estimated by the conditional variance from GARCH-GED model, i.e., a generalized autoregressive conditional heteroscedastic model where the random error comes from generalized error distribution. The results show that price elasticity of foodstuffs, beverages and manufactured goods is rather big, suggesting that Chinese export of foodstuffs, beverages and manufactured goods succeeds in the low price. The empirical Analysis can’t deny that appropriate exchange rate variability is helpful to the export. In the long run, exchange rate variability improves Chinese industrial structure and the method of commercial trade. Key Words ：export SITC Johansen multivariate cointegration VEC RMB effective exchange rate GARCH-GED 引言 人民币汇率在中国出口中的作用一直受到关注。国际上普遍认为过度贬值的 人民币汇率是造成中国巨额贸易顺差的主要因素。美国一些国会议员、经济学家、 制造业行会甚至要求财务部把中国列为“汇率操纵国”。2010 年9 月 16 日，美 国财务部长盖特纳在国会众议院筹款委员会举行的人民币汇率听证会上公开表 示人民币