人民币汇率波动对中美出口贸易影响的实证分析
|
摘要
汇率对国际贸易的影响可以从两个方面进行考虑,即汇率水平变化对国际贸易的影响以及汇率波动对国际贸易的影响。自2005年7月21日起,我国开始实行以市场供求为基础,参考一篮子货币进行调节,有管理的浮动汇率制度。相比过去,人民币汇率有更大的浮动空间,汇率波动程度将逐渐增加,汇率波动对国际贸易的影响也将逐渐加大。在这种情况下,在考虑汇率对我国对外贸易的影响时,不仅应该考虑汇率水平变化对我国对外贸易的影响,更应该考虑汇率波动对我国对外贸易的影响。
本文便是在人民币汇率波动程度不断增加的背景之下,以汇率波动对出口贸易的影响作为切入点,主要从实证角度研究汇率波动对我国出口贸易的影响。考虑到对于不同的出口市场,汇率波动对出口贸易的影响程度可能会有所不同。因此,本文从双边贸易的角度出发,选取中国对美国的出口贸易作为研究对象。
论文从影响汇率波动与出口贸易二者之间关系的因素出发,对国外相关理论研究进行了综述。并且通过综述得知,有关汇率波动对出口贸易的影响这一问题在很大程度上取决于特定出口企业以及特定出口市场自身的特性,出口企业不同、出口市场不同,结果便会不同。因此,得出了这样一个结论——对于汇率波动对出口贸易的影响这一问题的研究,与其说是一个理论问题,不如说是一个实证问题更为确切,进而引出了下文的实证分析。
在实证分析部分,首先介绍了汇率波动对出口贸易的影响的一般研究框架。其主要内容包括确定了实证分析所要采用的研究模型,衡量汇率波动的方法以及所要选取的贸易数据的类型。在此基础之上,从实证角度研究了人民币兑美元实际汇率波动对中美出口贸易的影响。
本文的实证分析分为两个部分,第一部分的实证分析研究了人民币兑美元实际汇率波动对中美出口贸易总额的影响,从总体角度把握了人民币兑美元实际汇率波动对中美出口贸易的影响,研究结果显示人民币兑美元实际汇率波动程度的增加会对我国对美国的出口产生负面影响。第二部分的实证分析是在第一部分的基础之上进行的,为使研究结果更具适用性,将中国对美国所出口的商品进行了分类,以研究人民币兑美元实际汇率波动对不同类别商品出口的影响。研究结果显示人民币兑美元实际汇率波动会对大多类别商品的出口产生负面影响,并且不同类别商品的出口受汇率波动的影响程度是不同的,其中受汇率波动影响程度最大的商品是纺织品及其制成品,其次为动植物产品及加工食品。
论文最后依据实证分析所得出的结论从政府和企业两个角度提出了相关的建议,以使得出口企业能够更好地应对汇率波动问题。
Exchange rate, as the ratio at which one currency can be converted into another currency, is an important factor which determines the competiveness of a country’s products in the international market. As an important macroeconomic variable, exchange rate has a huge impact on international trade. The exchange rate can affect the international trade from two aspects,one is the level of exchange rate and the other is the volatility of exchange rate. Since from July 21,2005,China implemented a regulated, managed floating exchange rate system based on market supply and demand which motivated the study of the impact of exchange rate volatility on China’s exports.
Considering the exchange rate volatility will have different effects on different export market, so this article select China’s exports to the United States as samples from the angle of bilateral trade. This article mainly include the following aspects:
In the first part, the author reviewed foreign literature from the factors which influence the relationship between exchange rate volatility and the exports and drawed a conclusion. The conclusion is that the research between exchange rate volatility and exports is a empirical research rather than a theoretical research.
In the empirical part, the author introduce the general frame which concerns the relationship between exchange rate volatility and exports. The specific content is the model in empirical research, the methods to measure the exchange rate volatility and the type of trade data.
The author study the effects of RMB exchange rate volatility on China’s exports to the United States. The empirical study in this paper can be divided into two parts. In the first part, we select monthly total export data from 2005 to 2009 as samples, to study the effects of RMB exchange rate volatility on China’s total exports to the United States. The result shows that as to the effect of the real exchange rate volatility on the exports, the coefficient is negative which means exchange rate volatility will depress our exports. In order to make the study more effective, in the second part, we divide China’s total exports to the United States into eight plants, to study the effects of RMB exchange rate volatility on different commodities’exports. The results show that as to most commodities, the coefficients are negative which means exchange rate volatility will depress our exports. The commodities which suffer from RMB exchange rate volatility is textiles and animal products. From the results, we can see that exchange rate volatility has different influence on different commodities. So in order to make the research more effective, select the product-specific data is necessary.
Finally, according to the conclusions of empirical study, the author puts forward relevant suggestions from the macro and micro point.
本文便是在人民币汇率波动程度不断增加的背景之下,以汇率波动对出口贸易的影响作为切入点,主要从实证角度研究汇率波动对我国出口贸易的影响。考虑到对于不同的出口市场,汇率波动对出口贸易的影响程度可能会有所不同。因此,本文从双边贸易的角度出发,选取中国对美国的出口贸易作为研究对象。
论文从影响汇率波动与出口贸易二者之间关系的因素出发,对国外相关理论研究进行了综述。并且通过综述得知,有关汇率波动对出口贸易的影响这一问题在很大程度上取决于特定出口企业以及特定出口市场自身的特性,出口企业不同、出口市场不同,结果便会不同。因此,得出了这样一个结论——对于汇率波动对出口贸易的影响这一问题的研究,与其说是一个理论问题,不如说是一个实证问题更为确切,进而引出了下文的实证分析。
在实证分析部分,首先介绍了汇率波动对出口贸易的影响的一般研究框架。其主要内容包括确定了实证分析所要采用的研究模型,衡量汇率波动的方法以及所要选取的贸易数据的类型。在此基础之上,从实证角度研究了人民币兑美元实际汇率波动对中美出口贸易的影响。
本文的实证分析分为两个部分,第一部分的实证分析研究了人民币兑美元实际汇率波动对中美出口贸易总额的影响,从总体角度把握了人民币兑美元实际汇率波动对中美出口贸易的影响,研究结果显示人民币兑美元实际汇率波动程度的增加会对我国对美国的出口产生负面影响。第二部分的实证分析是在第一部分的基础之上进行的,为使研究结果更具适用性,将中国对美国所出口的商品进行了分类,以研究人民币兑美元实际汇率波动对不同类别商品出口的影响。研究结果显示人民币兑美元实际汇率波动会对大多类别商品的出口产生负面影响,并且不同类别商品的出口受汇率波动的影响程度是不同的,其中受汇率波动影响程度最大的商品是纺织品及其制成品,其次为动植物产品及加工食品。
论文最后依据实证分析所得出的结论从政府和企业两个角度提出了相关的建议,以使得出口企业能够更好地应对汇率波动问题。
Exchange rate, as the ratio at which one currency can be converted into another currency, is an important factor which determines the competiveness of a country’s products in the international market. As an important macroeconomic variable, exchange rate has a huge impact on international trade. The exchange rate can affect the international trade from two aspects,one is the level of exchange rate and the other is the volatility of exchange rate. Since from July 21,2005,China implemented a regulated, managed floating exchange rate system based on market supply and demand which motivated the study of the impact of exchange rate volatility on China’s exports.
Considering the exchange rate volatility will have different effects on different export market, so this article select China’s exports to the United States as samples from the angle of bilateral trade. This article mainly include the following aspects:
In the first part, the author reviewed foreign literature from the factors which influence the relationship between exchange rate volatility and the exports and drawed a conclusion. The conclusion is that the research between exchange rate volatility and exports is a empirical research rather than a theoretical research.
In the empirical part, the author introduce the general frame which concerns the relationship between exchange rate volatility and exports. The specific content is the model in empirical research, the methods to measure the exchange rate volatility and the type of trade data.
The author study the effects of RMB exchange rate volatility on China’s exports to the United States. The empirical study in this paper can be divided into two parts. In the first part, we select monthly total export data from 2005 to 2009 as samples, to study the effects of RMB exchange rate volatility on China’s total exports to the United States. The result shows that as to the effect of the real exchange rate volatility on the exports, the coefficient is negative which means exchange rate volatility will depress our exports. In order to make the study more effective, in the second part, we divide China’s total exports to the United States into eight plants, to study the effects of RMB exchange rate volatility on different commodities’exports. The results show that as to most commodities, the coefficients are negative which means exchange rate volatility will depress our exports. The commodities which suffer from RMB exchange rate volatility is textiles and animal products. From the results, we can see that exchange rate volatility has different influence on different commodities. So in order to make the research more effective, select the product-specific data is necessary.
Finally, according to the conclusions of empirical study, the author puts forward relevant suggestions from the macro and micro point.
引文
①Clark,P.Uncertainty,exchange risk and the level of international trade[J].Western Economic Journal,1973,(11):302–313.
②Baron,David P.Flexible Exchange Rates,Forward Market,and the Level of Trade[J].American Economic Review,1977,(66):253-266.
③Hooper,P.& Kohlhagen,S.The effect of exchange rate uncertainty on the prices and volume of international trade[J].Journal of International Economics,1978,(8):483–511.
①De Grauwe,P.Exchange rate variability and the slowdown in growth of international trade[J].IMF Staff Papers,1988,(35):63–84.
②Caballero,R.J.and IV.Corbo.The Effect of Real Exchange Rate Uncertainty on Exports:Empirical Evidence[J].The World Bank Economic Review 1989,(3):263-278.
①Demers,Fanny,Demers,Michel.Increases in Risk and the Optimal Deductible[J].Journal of Risk and Insurance,1991,9(4):670-699.
②George Hondrogiannis,P.A.V.B.Swamy,George Tavlas and Michael Ulan.Some Further Evidence on Exchange-Rate Volatility and Exports[J].Review of World Economics,2008,144(1):151-180.
①Udo Broll and Bernhard Eckwert.Exchange Rate Volatility and International Trade[J].Southern Economic Journal,1999,66(c):178-185.
②Franke,G.Exchange rate volatility and international trading strategy[J].Journal of International Money and Finance,1991,(10):292–307.
③De Grauwe,Paul,ed.Exchange Rate Economics: Where Do We Stand?[C].Cambridge and London:MIT Press,2005,347.
①张美侠.汇率波动对贸易流量的影响[J].对外经济贸易大学学报,2003(6):27-31.
①Thursby,J.&Thursby,M.Bilateral trade flows,the Linder hypothesis and exchange risk[J].The Review of Economics and Statistics,1987,(69):488–495.
②Caballero,R.J.and IV.Corbo.The Effect of Real Exchange Rate Uncertainty on Exports:Empirical Evidence[J].The World Bank Economic Review,1989,(3):263-278.
③Hooper, P.&Kohlhagen,S.The effect of exchange rate uncertainty on the prices and volume of international trade[J].Journal of International Economics,1978,(8):483–511.
④International Monetary Fund.Exchange Rate Volatility and World Trade[R].Occasional Paper, IMF,Washington DC,July 1984.
⑤Qian,Y.and P.Varangis.Does Exchange Rate Volatility Hinder Export Growth: Additional Evidence[J]. Empirical Economics,1994,(19):371–396.
⑥Sauer,Christine and Alok K.Bohara.Exchange rate volatility and exports:regional differences between developing and industrialized countries[J].Review of International Economics,2001,(9): 133–152.
①Wang Kai-Li, Barrett,Christopher B.A New Look at the Trade Volume Effects of Real Exchange Rate Risk. Cornell University[R].Department of Applied Economics and Management,2003,Working Papers:14751.
②宿玉海,黄鑫.人民币名义汇率与中国对欧元区国家出口的关系[J].金融论坛,2006,(4):16-22.
③传统的出口贸易方程是指从需求角度考虑影响一国出口贸易的因素,即主要考虑贸易伙伴国的收入水平、相对价格水平等因素对一国出口贸易的影响。
④陈云,何秀红.人民币汇率波动对我国HS分类商品出口的影响[J].数量经济技术经济研究,2008,(3):43-54.
①安辉,黄万阳.人民币汇率波动与中日贸易[J].广东金融学院学报,2009,(2):66-72.
①Goldstein,Morris and Mohsin S.Khan.The Supply and Demand for exports: A Simultaneous Approach[J].Review of Economics,1989,(9):637-654.
①Tinbergen,J.Shaping the World Economy: Suggestions for an International Economic Policy[C].New York: The Twentieth Century Fund,1962.
②陈平,熊欣.进口国汇率波动影响中国出口的实证分析[J].国际金融研究,2002,(5):5-9.
③余珊萍,韩剑.基于引力模型的汇率波动对中国出口影响的实证研究[J].新金融,2005,(1):23-27.
④Bergstrand, J.H.The Gravity Equation in International Trade:Some Microeconomic Foundations and Empirical Evidence[J].Review of Economics and Statistics,1985,67(3):474-481.
①Clark,P.Uncertainty,exchange risk and the level of international trade[J].Western Economic Journal,1973,(11):302–313.
②McKenzie,M.D.ARCH modeling of Australian bilateral exchange rate data[J].Applied Financial Economics,1997,(7):147-164.
[1]高铁梅.计量经济分析方法与建模:Eviews应用与实例[M].清华大学出版社,2006.
[2]王艳.人民币汇率波动对中国出口贸易的影响[D].山东,山东大学,2007.
[3]曹阳,李剑武.人民币实际汇率水平与波动对进出口贸易的影响———基于1980—2004年的实证研究[J].世界经济研究,2006,(8):56-59.
[4]贺刚.汇率波动与贸易流量:来自中国的经验数据[J].国民经济管理,2006,(28):61-66.
[5]周才云.人民币汇率波动的贸易效应实证研究综述[J].上海商学院学报,2007,(8):27-29.
[6]陈云,何秀红.人民币汇率波动对我国HS分类商品出口的影响[J].数量经济技术经济研究,2008,(3):43-54.
[7]刘海月.人民币汇率波动对我国进出口的影响———基于具体行业的分析[J].国际经济合作,2000,(11):91-94.
[8]周忠英.人民币汇率波动对我国进出口的影响分析[J].经济纵横,2009,(9):95-97.
[9]张毓卿.人民币汇率波动对我国进出口贸易影响实证研究[J].现代商贸工业,2009,(22):89-90.
[10]金瑞庭.人民币汇率波动对中国出口贸易的影响----基于中美时间序列数据的实证研究(2002～2009)[J].吉林工商学院学报,2009,(25):45-49.
[11]池启水,刘晓雪.人民币汇率波动特征实证研究[J].经济纵横,2007,(23):120-122.
[12]刘伟,朱军林.人民币汇率波动与中美贸易失衡的关系研究[J].南方金融,2007,(1):32-35.
[13]宿玉海,黄鑫.人民币名义汇率与中国对欧元区国家出口的关系[J].金融论坛,2006,(4):16-22.
[14]王宇雯.人民币实际有效汇率及其波动对我国出口结构的影响——基于ARDL-ECM模型的实证研究[J].数量经济技术经济研究,2009,(6):53-63.
[15]邹吉华.人民币汇率波动及其对我国出口的影响[J].东北财经大学学报,2000,(11):22-31.
[16]陈平,熊欣.进口国汇率波动影响中国出口的实证分析[J].国际金融研究,2002,(5):5-9.
[17]余珊萍,韩剑.基于引力模型的汇率波动对中国出口影响的实证研究[J].新金融,2005,(1):23-27.
[18]潘红宇.汇率波动率与中国对主要贸易伙伴的出口[J].数量经济技术经济研究,2007,(2):73-81.
[19]安辉,黄万阳.人民币汇率波动与中日贸易[J].广东金融学院学报,2009,(2):66-72.
[20]张美侠.汇率波动对贸易流量的影响[J].对外经济贸易大学学报,2003,(6):27-31.
[21]徐立平,赵静怡.人民币汇率波动对我国出口贸易影响的实证分析[J].北京工商大学学报,2010,(2):18-25.
[22]张宜浩.现行人民币汇率有利于引进外商直接投资[J].财经科学,2003,(6):55-59.
[23] Arize,A.C.The effects of exchange rate volatility on U.S. exports:an empirical investigation[J].Southern Economic Journal,1995,(62):34–43.
[24] Arize,A.C. Conditional exchange rate volatility and the volume of foreign trade: evidence from seven industrialized countries[J].Southern Economic Journal,1997,(64): 235–254.
[25] Asseery, A. and Peel,D.A.The effects of exchange rate volatility on exports[J]. Economics Letters,1991,(37):173-177.
[26] Bailey,M.J,Tavlas,G.S.&Ulan,M.The Impact of Exchange Rate Volatility on Export Growth:Some Theoretical Considerations and Empirical Results[J].Journal of Policy Modeling,1987,9(1):225-243.
[27] Bahmani-Oskooee.Determinants of international trade flows:case of developing countries[J].J Dev Econ,1986,(20):107–123.
[28] Bahmani-Oskooee and Ardalani Z.Exchange rate sensitivity of U.S. trade flows: evidence from industry data[J]. South Econ,2000,(72):542–559.
[29] Bahmani-Oskooee and Gelan A.Black market exchange rate and the productivity bias hypothesis[J].Econ Lett,2006,(91):243–249.
[30] Baron,David P.Flexible Exchange Rates,Forward Market and the Level of Trade[J].American Economic Review,1977,(66):253-266.
[31] Bergstrand,J.H.The Gravity Equation in International Trade:Some Microeconomic Foundations and Empirical Evidence[J].Review of Economics and Statistics,1985,67(3):474-481.
[32] Bini-Smaghi.Exchange Rate Variability and Trade:Why is it so Different to findany Relationship[J].Applied Economics,1991,(23):927-936.
[33] Bollerslev.A conditionally heteroskedastic time series model of security prices and rates of return data[J].Review of Economics and Statistics,1987,(59):542-547.
[34] Caballero,R.J.and Corbo.The Effect of Real Exchange Rate Uncertainty on Exports:Empirical Evidence[J].The World Bank Economic Review,1989,(3):263-278.
[35] Chowdhury,A.R.Does exchange rate volatility depress trade flows? Evidence from errorcorrection models[J].The Review of Economics and Statistics,1993,(75): 700–706.
[36] Clark,P.Uncertainty,exchange risk and the level of international trade[J].Western Economic Journal,1973,(11):302–313.
[37] Cushman,David O.The Effects of Real Exchange Rate Risk on International Trade[J].Journal of International Economics,1983,(8):43-63.
[38] Cushman,David O.Has Exchange Risk Depressed International Trade?The Impact of Third-Country Exchange Risk[J].Journal of International Economics, 1986,(9):361-379.
[39] Caporale,T.and Doroodian,K.Exchange rate variability and the flow of international trade[J].Economics Letters,1994,(46):49-54.
[40] Diebold and Nerlove,M.The dynamics of exchange rate volatility:a multivariate latent factor ARCH model[J].Journal of Applied Econometrics,1989,(4):1-21.
[41] Diebold and Pauly,P.Endogenous risk in a portfolio balance rational expectations model of the deutschemark-dollar rate[R].University of Pennsylvania Econometrics Discussion Paper,1985.
[42] Ding,Z.and Granger,C.W.J.Modeling volatility persistence of speculative returns: a new approach[J].Journal of Econometrics,1996,(73):185-212.
[43] De Grauwe.International trade and economic growth in the European Monetary System[J].European Economic Review,1987,(31):389–398.
[44] De Grauwe.Exchange rate variability and the slowdown in growth of international trade[J].IMF Staff Papers,1988,(35):63–84.
[45] De Grauwe.Exchange Rate Economics:Where Do We Stand?[C].Cambridge and London:MIT Press,2005,347.
[46] Dellas,Harris and Ben-Zion Zilberfarb.Real Exchange Rate Volatility and International Trade:A Reexamination of the Theory[J].Southern Economic Journal,1993,(59):651-657.
[47] De Vries,Casper and Jean Marie Viaene.International Trade and Exchange RateVolatility[C].European Economic Review,1992,(8):1311-1321.
[48] Dickey,D.A.and Fuller,W.A.Distribution of the estimators for autoregressive time series with a unit root[C].Journal of the American Statistical Association,1979, (74):427-437.
[49] Dickey D, Pantula S.Determining the Order of Differencing in Autoregressive Process[J].J Bus EconStat,1987,(5):455–461.
[50] Demers,Fanny and Michel.Increases in Risk and the Optimal Deductible[J]. Journal of Risk and Insurance,1991,(12):670-699.
[51] Dornbusch,R.Exchange Rate and Prices[J].American Economic Review,1987, (77):93-106.
[52] Engle,R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation[J].Econometrica,1982,(50):987-1007.
[53] Franke,G. Exchange rate volatility and international trading strategy[J].Journal of International Money and Finance,1991,(10):292–307.
[54] George Hondrogiannis,P.A.V.B.Swamy,George Tavlas and Michael Ulan.Some Further Evidence on Exchange-Rate Volatility and Exports[J].Review of World Economics, 2008,144(1):151-180.
[55] G.S.Tavlas,Swamy.Connections between GARCH and Stochastic Coefficients (SC) Models[J].Economics Letters,1994, 46 (1):7–10.
[56] G.S.Tavlas,Swamy.Theoretical conditions under which Monetary Policies are effective and Practical Obstacles to their Verification[J].Economic Theory,2005,25 (4): 999–1005.
[57] G.S.Tavlas,Swamy.A Note on Muth’s Rational Expectations Hypothesis:A Time-Varying Coefficient Interpretation[J].Macroeconomic Dynamics,2006,10(3): 415–425.
[58] G.S.Tavlas,Swamy.The New Keynesian Phillips Curve and Inflation Expectations: Re-specification and Interpretation[J].Economic Theory,2007,31(2):293–306.
[59] Goldstein,Morris and Mohsin S.Khan.The Supply and Demand for exports:A Simultaneous Approach[J].Review of Economics,1989,(9):637-654.
[60] Hooper,P.& Kohlhagen,S.The effect of exchange rate uncertainty on the prices and volume of international trade[J].Journal of International Economics,1978,(8): 483–511.
[61] International Monetary Fund.Exchange Rate Volatility and World Trade[R]. Occasional Paper,IMF,Washington DC,1984,7.
[62] Johansen,S.Statistical Analysis of Cointegrating Vectors[J].Journal of Economic Dynamics and Control,1998,(12):231-254.
[63] Johansen and Juselius,K.Maximus likelihood Estimation and Inference on Cointegration-with Application to Demand for Demand[C].Oxford Bulletin of Economics and Statistics,1989,69-210.
[64] Klein.Sectorl Effects of Exchange Rate Volatility on United States Exports [J ].Journal of International Money and Finance,1990,(9):299-308.
[65] Kenen PT,Rodrick.Measuring and analyzing the effects of short-term volatility in real exchange rates[J].The Review of Economics and Statistics,1986,(68):311-315.
[66] Koray F,Lastrapes WD.Real exchange rate volatility and U.S. bilateral trade:A VAR Approach[J].The Review of Economics and Statistics,1989,(71):708-712.
[67] McKenzie,M.The impact of exchange rate volatility on Australian trade flows[J]. Journal of International Financial Markets,Institutions and Money,1998,(8):21-38.
[68] McKenzie,M.D.ARCH modeling of Australian bilateral exchange rate data[J].Applied Financial Economics,1997,(7):147-164.
[69] Mark NC.Real and nominal exchange rates in the long run:An empirical investigation[J].Journal of International Economics,1990,(28):115-136.
[70] McKinnon RI.Money in international exchange[M].New York,Oxford University Press,1979.
[71] Medhora R.The effect of exchange rate variability on trade:The case of the west african monetary union's imports[J].World Development,1990,(18):313-324.
[72] Meese RA, Rogoff KS.Empirical exchange rate models of the seventies: Are any fit to survive?[J].Journal of International Economics,1983,(14):3-24.
[73] Meese RA,Rogoff KS,Rose AK.Nonlinear, nonparametric, nonessential exchange rate estimation[J]. American Economic Review,1990,(80):192-196.
[74] Page SAB.The choices of invoicing currency in merchandise trade[J].National Institute Economic Review,1981,(85):60-72.
[75] Pritchett L.Measuring real exchange rate instability in developing countries: Empirical evidence and implications[R].World Bank PRE ,1991,Working Paper 791.
[76] Pesaran,M.H.,Y.Shin and R.J.Smith.Bounds Testing Approaches to the Analysis of Long-Run Relationship[R].Journal of Applied Econometrics,2001,(16):289–326.
[77] Qian,Y.and P.Varangis.Does Exchange Rate Volatility Hinder Export Growth: Additional Evidence[J].Empirical Economics,1994,(19):371–396.
[78] Sauer,Christine and Alok K.Bohara.Exchange rate volatility and exports: regionaldifferences between developing and industrialized countries[J].Review of International Economics,2001,(9):133–152.
[79] Sercu,P.& Vanhulle,C.Exchange rate volatility,exposure and the value of exporting firms[J].Journal of Banking and Finance,1992,(16):155–182.
[80] Smith,C.E.Exchange Rate Variation,Commodity Price Variation and the Implications for International Trade[J].Journal of International Moneyand Finance,1999,(18):471-491.
[81] Stokman,A.Effects of Exchange Rate Risk on Intra-EC Trade[J].DeEconomist 1995,143 (1):41-54.
[82] Tsionas,E.and J.Loizides.A Note of Joint Estimation of Scale Economies and Productivity Growth Parameters[J].International Journal of Production Economics,2001,70 (1):37-43.
[83] Thursby,J.& Thursby,M.Bilateral trade flows,the Linder hypothesis,and exchange risk[J].The Review of Economics and Statistics,1987,(69):488–495.
[84] Tinbergen,J.Shaping the World Economy:Suggestions for an International Economic Policy[C].New York:The Twentieth Century Fund,1962.
[85] Tavlas GS.On the international use of currencies:The case of the Deutche Mark[M].Princeton University,1991.
[86] Tavlas GS,Yuzuri O.The internationalization of currencies:An appraisal of the Japanese yen[R].Occasional Paper 90, International Monetary Fund,1992.
[87] Udo Broll and Bernhard Eckwert.Exchange Rate Volatility and International Trade[J].Southern Economic Journal,1999,(66):178-185.
[88] Wang Kai-Li,Barrett,Christopher B. A New Look at the Trade Volume Effects of Real Exchange Rate Risk[R].Department of Applied Economics and Management,2003,Working Papers:14751.
②Baron,David P.Flexible Exchange Rates,Forward Market,and the Level of Trade[J].American Economic Review,1977,(66):253-266.
③Hooper,P.& Kohlhagen,S.The effect of exchange rate uncertainty on the prices and volume of international trade[J].Journal of International Economics,1978,(8):483–511.
①De Grauwe,P.Exchange rate variability and the slowdown in growth of international trade[J].IMF Staff Papers,1988,(35):63–84.
②Caballero,R.J.and IV.Corbo.The Effect of Real Exchange Rate Uncertainty on Exports:Empirical Evidence[J].The World Bank Economic Review 1989,(3):263-278.
①Demers,Fanny,Demers,Michel.Increases in Risk and the Optimal Deductible[J].Journal of Risk and Insurance,1991,9(4):670-699.
②George Hondrogiannis,P.A.V.B.Swamy,George Tavlas and Michael Ulan.Some Further Evidence on Exchange-Rate Volatility and Exports[J].Review of World Economics,2008,144(1):151-180.
①Udo Broll and Bernhard Eckwert.Exchange Rate Volatility and International Trade[J].Southern Economic Journal,1999,66(c):178-185.
②Franke,G.Exchange rate volatility and international trading strategy[J].Journal of International Money and Finance,1991,(10):292–307.
③De Grauwe,Paul,ed.Exchange Rate Economics: Where Do We Stand?[C].Cambridge and London:MIT Press,2005,347.
①张美侠.汇率波动对贸易流量的影响[J].对外经济贸易大学学报,2003(6):27-31.
①Thursby,J.&Thursby,M.Bilateral trade flows,the Linder hypothesis and exchange risk[J].The Review of Economics and Statistics,1987,(69):488–495.
②Caballero,R.J.and IV.Corbo.The Effect of Real Exchange Rate Uncertainty on Exports:Empirical Evidence[J].The World Bank Economic Review,1989,(3):263-278.
③Hooper, P.&Kohlhagen,S.The effect of exchange rate uncertainty on the prices and volume of international trade[J].Journal of International Economics,1978,(8):483–511.
④International Monetary Fund.Exchange Rate Volatility and World Trade[R].Occasional Paper, IMF,Washington DC,July 1984.
⑤Qian,Y.and P.Varangis.Does Exchange Rate Volatility Hinder Export Growth: Additional Evidence[J]. Empirical Economics,1994,(19):371–396.
⑥Sauer,Christine and Alok K.Bohara.Exchange rate volatility and exports:regional differences between developing and industrialized countries[J].Review of International Economics,2001,(9): 133–152.
①Wang Kai-Li, Barrett,Christopher B.A New Look at the Trade Volume Effects of Real Exchange Rate Risk. Cornell University[R].Department of Applied Economics and Management,2003,Working Papers:14751.
②宿玉海,黄鑫.人民币名义汇率与中国对欧元区国家出口的关系[J].金融论坛,2006,(4):16-22.
③传统的出口贸易方程是指从需求角度考虑影响一国出口贸易的因素,即主要考虑贸易伙伴国的收入水平、相对价格水平等因素对一国出口贸易的影响。
④陈云,何秀红.人民币汇率波动对我国HS分类商品出口的影响[J].数量经济技术经济研究,2008,(3):43-54.
①安辉,黄万阳.人民币汇率波动与中日贸易[J].广东金融学院学报,2009,(2):66-72.
①Goldstein,Morris and Mohsin S.Khan.The Supply and Demand for exports: A Simultaneous Approach[J].Review of Economics,1989,(9):637-654.
①Tinbergen,J.Shaping the World Economy: Suggestions for an International Economic Policy[C].New York: The Twentieth Century Fund,1962.
②陈平,熊欣.进口国汇率波动影响中国出口的实证分析[J].国际金融研究,2002,(5):5-9.
③余珊萍,韩剑.基于引力模型的汇率波动对中国出口影响的实证研究[J].新金融,2005,(1):23-27.
④Bergstrand, J.H.The Gravity Equation in International Trade:Some Microeconomic Foundations and Empirical Evidence[J].Review of Economics and Statistics,1985,67(3):474-481.
①Clark,P.Uncertainty,exchange risk and the level of international trade[J].Western Economic Journal,1973,(11):302–313.
②McKenzie,M.D.ARCH modeling of Australian bilateral exchange rate data[J].Applied Financial Economics,1997,(7):147-164.
[1]高铁梅.计量经济分析方法与建模:Eviews应用与实例[M].清华大学出版社,2006.
[2]王艳.人民币汇率波动对中国出口贸易的影响[D].山东,山东大学,2007.
[3]曹阳,李剑武.人民币实际汇率水平与波动对进出口贸易的影响———基于1980—2004年的实证研究[J].世界经济研究,2006,(8):56-59.
[4]贺刚.汇率波动与贸易流量:来自中国的经验数据[J].国民经济管理,2006,(28):61-66.
[5]周才云.人民币汇率波动的贸易效应实证研究综述[J].上海商学院学报,2007,(8):27-29.
[6]陈云,何秀红.人民币汇率波动对我国HS分类商品出口的影响[J].数量经济技术经济研究,2008,(3):43-54.
[7]刘海月.人民币汇率波动对我国进出口的影响———基于具体行业的分析[J].国际经济合作,2000,(11):91-94.
[8]周忠英.人民币汇率波动对我国进出口的影响分析[J].经济纵横,2009,(9):95-97.
[9]张毓卿.人民币汇率波动对我国进出口贸易影响实证研究[J].现代商贸工业,2009,(22):89-90.
[10]金瑞庭.人民币汇率波动对中国出口贸易的影响----基于中美时间序列数据的实证研究(2002～2009)[J].吉林工商学院学报,2009,(25):45-49.
[11]池启水,刘晓雪.人民币汇率波动特征实证研究[J].经济纵横,2007,(23):120-122.
[12]刘伟,朱军林.人民币汇率波动与中美贸易失衡的关系研究[J].南方金融,2007,(1):32-35.
[13]宿玉海,黄鑫.人民币名义汇率与中国对欧元区国家出口的关系[J].金融论坛,2006,(4):16-22.
[14]王宇雯.人民币实际有效汇率及其波动对我国出口结构的影响——基于ARDL-ECM模型的实证研究[J].数量经济技术经济研究,2009,(6):53-63.
[15]邹吉华.人民币汇率波动及其对我国出口的影响[J].东北财经大学学报,2000,(11):22-31.
[16]陈平,熊欣.进口国汇率波动影响中国出口的实证分析[J].国际金融研究,2002,(5):5-9.
[17]余珊萍,韩剑.基于引力模型的汇率波动对中国出口影响的实证研究[J].新金融,2005,(1):23-27.
[18]潘红宇.汇率波动率与中国对主要贸易伙伴的出口[J].数量经济技术经济研究,2007,(2):73-81.
[19]安辉,黄万阳.人民币汇率波动与中日贸易[J].广东金融学院学报,2009,(2):66-72.
[20]张美侠.汇率波动对贸易流量的影响[J].对外经济贸易大学学报,2003,(6):27-31.
[21]徐立平,赵静怡.人民币汇率波动对我国出口贸易影响的实证分析[J].北京工商大学学报,2010,(2):18-25.
[22]张宜浩.现行人民币汇率有利于引进外商直接投资[J].财经科学,2003,(6):55-59.
[23] Arize,A.C.The effects of exchange rate volatility on U.S. exports:an empirical investigation[J].Southern Economic Journal,1995,(62):34–43.
[24] Arize,A.C. Conditional exchange rate volatility and the volume of foreign trade: evidence from seven industrialized countries[J].Southern Economic Journal,1997,(64): 235–254.
[25] Asseery, A. and Peel,D.A.The effects of exchange rate volatility on exports[J]. Economics Letters,1991,(37):173-177.
[26] Bailey,M.J,Tavlas,G.S.&Ulan,M.The Impact of Exchange Rate Volatility on Export Growth:Some Theoretical Considerations and Empirical Results[J].Journal of Policy Modeling,1987,9(1):225-243.
[27] Bahmani-Oskooee.Determinants of international trade flows:case of developing countries[J].J Dev Econ,1986,(20):107–123.
[28] Bahmani-Oskooee and Ardalani Z.Exchange rate sensitivity of U.S. trade flows: evidence from industry data[J]. South Econ,2000,(72):542–559.
[29] Bahmani-Oskooee and Gelan A.Black market exchange rate and the productivity bias hypothesis[J].Econ Lett,2006,(91):243–249.
[30] Baron,David P.Flexible Exchange Rates,Forward Market and the Level of Trade[J].American Economic Review,1977,(66):253-266.
[31] Bergstrand,J.H.The Gravity Equation in International Trade:Some Microeconomic Foundations and Empirical Evidence[J].Review of Economics and Statistics,1985,67(3):474-481.
[32] Bini-Smaghi.Exchange Rate Variability and Trade:Why is it so Different to findany Relationship[J].Applied Economics,1991,(23):927-936.
[33] Bollerslev.A conditionally heteroskedastic time series model of security prices and rates of return data[J].Review of Economics and Statistics,1987,(59):542-547.
[34] Caballero,R.J.and Corbo.The Effect of Real Exchange Rate Uncertainty on Exports:Empirical Evidence[J].The World Bank Economic Review,1989,(3):263-278.
[35] Chowdhury,A.R.Does exchange rate volatility depress trade flows? Evidence from errorcorrection models[J].The Review of Economics and Statistics,1993,(75): 700–706.
[36] Clark,P.Uncertainty,exchange risk and the level of international trade[J].Western Economic Journal,1973,(11):302–313.
[37] Cushman,David O.The Effects of Real Exchange Rate Risk on International Trade[J].Journal of International Economics,1983,(8):43-63.
[38] Cushman,David O.Has Exchange Risk Depressed International Trade?The Impact of Third-Country Exchange Risk[J].Journal of International Economics, 1986,(9):361-379.
[39] Caporale,T.and Doroodian,K.Exchange rate variability and the flow of international trade[J].Economics Letters,1994,(46):49-54.
[40] Diebold and Nerlove,M.The dynamics of exchange rate volatility:a multivariate latent factor ARCH model[J].Journal of Applied Econometrics,1989,(4):1-21.
[41] Diebold and Pauly,P.Endogenous risk in a portfolio balance rational expectations model of the deutschemark-dollar rate[R].University of Pennsylvania Econometrics Discussion Paper,1985.
[42] Ding,Z.and Granger,C.W.J.Modeling volatility persistence of speculative returns: a new approach[J].Journal of Econometrics,1996,(73):185-212.
[43] De Grauwe.International trade and economic growth in the European Monetary System[J].European Economic Review,1987,(31):389–398.
[44] De Grauwe.Exchange rate variability and the slowdown in growth of international trade[J].IMF Staff Papers,1988,(35):63–84.
[45] De Grauwe.Exchange Rate Economics:Where Do We Stand?[C].Cambridge and London:MIT Press,2005,347.
[46] Dellas,Harris and Ben-Zion Zilberfarb.Real Exchange Rate Volatility and International Trade:A Reexamination of the Theory[J].Southern Economic Journal,1993,(59):651-657.
[47] De Vries,Casper and Jean Marie Viaene.International Trade and Exchange RateVolatility[C].European Economic Review,1992,(8):1311-1321.
[48] Dickey,D.A.and Fuller,W.A.Distribution of the estimators for autoregressive time series with a unit root[C].Journal of the American Statistical Association,1979, (74):427-437.
[49] Dickey D, Pantula S.Determining the Order of Differencing in Autoregressive Process[J].J Bus EconStat,1987,(5):455–461.
[50] Demers,Fanny and Michel.Increases in Risk and the Optimal Deductible[J]. Journal of Risk and Insurance,1991,(12):670-699.
[51] Dornbusch,R.Exchange Rate and Prices[J].American Economic Review,1987, (77):93-106.
[52] Engle,R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation[J].Econometrica,1982,(50):987-1007.
[53] Franke,G. Exchange rate volatility and international trading strategy[J].Journal of International Money and Finance,1991,(10):292–307.
[54] George Hondrogiannis,P.A.V.B.Swamy,George Tavlas and Michael Ulan.Some Further Evidence on Exchange-Rate Volatility and Exports[J].Review of World Economics, 2008,144(1):151-180.
[55] G.S.Tavlas,Swamy.Connections between GARCH and Stochastic Coefficients (SC) Models[J].Economics Letters,1994, 46 (1):7–10.
[56] G.S.Tavlas,Swamy.Theoretical conditions under which Monetary Policies are effective and Practical Obstacles to their Verification[J].Economic Theory,2005,25 (4): 999–1005.
[57] G.S.Tavlas,Swamy.A Note on Muth’s Rational Expectations Hypothesis:A Time-Varying Coefficient Interpretation[J].Macroeconomic Dynamics,2006,10(3): 415–425.
[58] G.S.Tavlas,Swamy.The New Keynesian Phillips Curve and Inflation Expectations: Re-specification and Interpretation[J].Economic Theory,2007,31(2):293–306.
[59] Goldstein,Morris and Mohsin S.Khan.The Supply and Demand for exports:A Simultaneous Approach[J].Review of Economics,1989,(9):637-654.
[60] Hooper,P.& Kohlhagen,S.The effect of exchange rate uncertainty on the prices and volume of international trade[J].Journal of International Economics,1978,(8): 483–511.
[61] International Monetary Fund.Exchange Rate Volatility and World Trade[R]. Occasional Paper,IMF,Washington DC,1984,7.
[62] Johansen,S.Statistical Analysis of Cointegrating Vectors[J].Journal of Economic Dynamics and Control,1998,(12):231-254.
[63] Johansen and Juselius,K.Maximus likelihood Estimation and Inference on Cointegration-with Application to Demand for Demand[C].Oxford Bulletin of Economics and Statistics,1989,69-210.
[64] Klein.Sectorl Effects of Exchange Rate Volatility on United States Exports [J ].Journal of International Money and Finance,1990,(9):299-308.
[65] Kenen PT,Rodrick.Measuring and analyzing the effects of short-term volatility in real exchange rates[J].The Review of Economics and Statistics,1986,(68):311-315.
[66] Koray F,Lastrapes WD.Real exchange rate volatility and U.S. bilateral trade:A VAR Approach[J].The Review of Economics and Statistics,1989,(71):708-712.
[67] McKenzie,M.The impact of exchange rate volatility on Australian trade flows[J]. Journal of International Financial Markets,Institutions and Money,1998,(8):21-38.
[68] McKenzie,M.D.ARCH modeling of Australian bilateral exchange rate data[J].Applied Financial Economics,1997,(7):147-164.
[69] Mark NC.Real and nominal exchange rates in the long run:An empirical investigation[J].Journal of International Economics,1990,(28):115-136.
[70] McKinnon RI.Money in international exchange[M].New York,Oxford University Press,1979.
[71] Medhora R.The effect of exchange rate variability on trade:The case of the west african monetary union's imports[J].World Development,1990,(18):313-324.
[72] Meese RA, Rogoff KS.Empirical exchange rate models of the seventies: Are any fit to survive?[J].Journal of International Economics,1983,(14):3-24.
[73] Meese RA,Rogoff KS,Rose AK.Nonlinear, nonparametric, nonessential exchange rate estimation[J]. American Economic Review,1990,(80):192-196.
[74] Page SAB.The choices of invoicing currency in merchandise trade[J].National Institute Economic Review,1981,(85):60-72.
[75] Pritchett L.Measuring real exchange rate instability in developing countries: Empirical evidence and implications[R].World Bank PRE ,1991,Working Paper 791.
[76] Pesaran,M.H.,Y.Shin and R.J.Smith.Bounds Testing Approaches to the Analysis of Long-Run Relationship[R].Journal of Applied Econometrics,2001,(16):289–326.
[77] Qian,Y.and P.Varangis.Does Exchange Rate Volatility Hinder Export Growth: Additional Evidence[J].Empirical Economics,1994,(19):371–396.
[78] Sauer,Christine and Alok K.Bohara.Exchange rate volatility and exports: regionaldifferences between developing and industrialized countries[J].Review of International Economics,2001,(9):133–152.
[79] Sercu,P.& Vanhulle,C.Exchange rate volatility,exposure and the value of exporting firms[J].Journal of Banking and Finance,1992,(16):155–182.
[80] Smith,C.E.Exchange Rate Variation,Commodity Price Variation and the Implications for International Trade[J].Journal of International Moneyand Finance,1999,(18):471-491.
[81] Stokman,A.Effects of Exchange Rate Risk on Intra-EC Trade[J].DeEconomist 1995,143 (1):41-54.
[82] Tsionas,E.and J.Loizides.A Note of Joint Estimation of Scale Economies and Productivity Growth Parameters[J].International Journal of Production Economics,2001,70 (1):37-43.
[83] Thursby,J.& Thursby,M.Bilateral trade flows,the Linder hypothesis,and exchange risk[J].The Review of Economics and Statistics,1987,(69):488–495.
[84] Tinbergen,J.Shaping the World Economy:Suggestions for an International Economic Policy[C].New York:The Twentieth Century Fund,1962.
[85] Tavlas GS.On the international use of currencies:The case of the Deutche Mark[M].Princeton University,1991.
[86] Tavlas GS,Yuzuri O.The internationalization of currencies:An appraisal of the Japanese yen[R].Occasional Paper 90, International Monetary Fund,1992.
[87] Udo Broll and Bernhard Eckwert.Exchange Rate Volatility and International Trade[J].Southern Economic Journal,1999,(66):178-185.
[88] Wang Kai-Li,Barrett,Christopher B. A New Look at the Trade Volume Effects of Real Exchange Rate Risk[R].Department of Applied Economics and Management,2003,Working Papers:14751.