导　　师： 姜永宏

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 近年来，人民币兑美元名义汇率一直处于升值的态势，与此同时，我国的出口总额和进口总额也一直在增加，贸易顺差逐年扩大，探讨人民币汇率变动对我国进出口贸易量是否产生显著影响以及影响程度如何是本文试图解决的问题。本文以2005年7月至2013年12月的月度数据为样本，运用协整方法及向量误差修正模型来对中美和中日贸易中人民币汇率变动对贸易收支的影响进行实证分析。在实证模型中，通过引入汇率水平以及汇率波动率这两个变量来研究汇率影响贸易收支的两个维度。实证结果表明，中美贸易的两个方程以及中日出口方程各变量间都分别存在长期均衡关系，中日进口方程各变量间不存在长期均衡关系。在中美贸易中，汇率贬值伴随的是出口的减少和进口的增加，只有在中日出口方程中，汇率贬值才带来出口增加，因而对汇率进行调整可以有效改善中国对日本的出口，但无法有效改善中美贸易情况，汇率的短期波动对进出口额的影响不显著。汇率波动率的短期波动对进出口额的影响并不显著，而在长期内其波动对进口和出口起到促进作用，但这一作用并不是很大。 In recent years, the nominal exchange rate of the RMB against the U.S. dollarhas been in an appreciation trend,and China’s exports and imports also have beenincreasing at the same time with the trade surplus expanding each year.To explorewhether the RMB exchange rate movement has a significant impact on China's importand export and how it works are what this paper try to find out. In this paper, The dataof Sino-US and Sino-Japanese billingo trade from July2005to December2013ischose to be the sample,cointegration method and vector error correction model areused in the empirical analysis. The exchange rate level and its volatility are used inthe empirical model. The empirical results show that both equations of Sino-US tradehave long-term equilibrium relationship.The export equation of Sino-Japanese tradealso has a long-term equilibrium relationship,but the import equation does not. InSino-US trade, exchange rate depreciation decrease exports and increaseimports,while in the Sino-Japanese trade, exchange rate depreciation increase exports,thus the exchange rate adjustment can effectively improve China's exports to Japan,but can not improve the situation of Sino-US trade. The impact of short-termfluctuations of the exchange rate is not significant in all three models.The effect ofshort-term fluctuations of the exchange rates volatility on import and export volume isnot significant, but in the long term it promotes them although the impact in not sogreat.

关 键 词： 汇率效应 双边贸易 向量误差修正模型

领　　域： [经济管理] [经济管理] [经济管理] [经济管理]