本文選題：中美匯率 + 進(jìn)出口貿(mào)易�。� 參考：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：2005年7月我國(guó)人民幣從盯住美元的固定匯率制度轉(zhuǎn)變?yōu)橛泄芾淼母?dòng)匯率制度,標(biāo)志著中國(guó)匯率制度改革進(jìn)入了新的階段。然而,隨后在2008年發(fā)生的國(guó)際金融危機(jī),沉重地打擊了美國(guó)經(jīng)濟(jì),進(jìn)而波及到我國(guó)的經(jīng)濟(jì)和對(duì)外貿(mào)易。眾所周知,美國(guó)是我國(guó)進(jìn)出口貿(mào)易的主要伙伴國(guó),中國(guó)和美國(guó)經(jīng)濟(jì)形勢(shì)的變化影響著中美匯率水平和波動(dòng)率,進(jìn)而也會(huì)對(duì)我國(guó)對(duì)美進(jìn)出口貿(mào)易造成一定的沖擊。 本文就中美匯率水平和波動(dòng)率對(duì)我國(guó)進(jìn)出口貿(mào)易的影響進(jìn)行較為系統(tǒng)和深入的研究。本文的主要內(nèi)容包括以下方面： 第一章將對(duì)本文的研究背景、理論意義、現(xiàn)實(shí)意義進(jìn)行介紹,并闡述了文章的創(chuàng)新點(diǎn)、研究方法和結(jié)構(gòu)安排。 第二章是本文的文獻(xiàn)綜述部分,將對(duì)國(guó)內(nèi)外有關(guān)匯率水平、匯率波動(dòng)對(duì)進(jìn)出口貿(mào)易影響的研究現(xiàn)狀進(jìn)行系統(tǒng)的梳理和闡述。 第三章是理論基礎(chǔ)部分,這部分將對(duì)匯率水平和波動(dòng)率對(duì)進(jìn)出口貿(mào)易影響所涉及的國(guó)際金融理論進(jìn)行介紹。 第四章是模型基礎(chǔ)部分,將對(duì)實(shí)證分析中相關(guān)模型理論進(jìn)行介紹。 第五章是實(shí)證分析部分,首先,建立一系列ARCH-M模型或GARCH-M模型,并借助一些計(jì)量指標(biāo)從中選擇最優(yōu)的模型來(lái)對(duì)中美匯率波動(dòng)率進(jìn)行測(cè)度；接著本文借鑒馬君潞、王博、楊新銘(2010)在文章中對(duì)商品的分類方式,將進(jìn)出口商品分為勞動(dòng)密集型商品、資金和技術(shù)密集型商品、食品和資源密集型商品,并就中美匯率對(duì)以上三類商品的進(jìn)出口影響分別進(jìn)行實(shí)證分析,具體而言,利用Johansen多變量協(xié)整關(guān)系來(lái)建立長(zhǎng)期均衡關(guān)系,利用誤差修正模型來(lái)對(duì)其短期動(dòng)態(tài)變化進(jìn)行分析。 第六章,基于理論分析和實(shí)證分析結(jié)果,提出相關(guān)的啟示與政策建議。 本文通過(guò)理論分析和實(shí)證分析,就中美匯率對(duì)我國(guó)對(duì)美進(jìn)出口貿(mào)易的影響效果得出了以下的結(jié)論和啟示： (1)當(dāng)人民幣相對(duì)美元升值時(shí),長(zhǎng)期來(lái)看,我國(guó)對(duì)美勞動(dòng)密集型商品、資金和技術(shù)密集型商品、食品和資源密集型商品的出口額、進(jìn)口額都是上升的；但是勞動(dòng)密集型商品與食品和資源密集型商品的凈出口是上升的,資金和技術(shù)密集型商品的凈出口是下降的。這也證實(shí)了美國(guó)一再施壓要求人民幣升值,希望借此緩解中美貿(mào)易不平衡并不是有效的措施。 (2)短期來(lái)看,當(dāng)人民幣相對(duì)美元升值時(shí),我國(guó)對(duì)美資金和技術(shù)密集型商品的進(jìn)口額上升、凈出口額下降,食品和資源密集型商品的進(jìn)口額下降、凈出口額上升；然而,我國(guó)對(duì)美勞動(dòng)密集型商品、資金和技術(shù)密集型商品、食品和資源密集型商品的出口額,勞動(dòng)密集型商品的進(jìn)口額、凈出口額均不會(huì)發(fā)生變化。 這表明,我國(guó)勞動(dòng)密集型商品的進(jìn)出口貿(mào)易對(duì)中美匯率水平的變動(dòng)不敏感,短期時(shí)不會(huì)發(fā)生貿(mào)易額的變動(dòng)；相比而言,資金和技術(shù)密集型商品的進(jìn)口貿(mào)易與食品和資源密集型商品的進(jìn)口貿(mào)易對(duì)中美匯率水平變動(dòng)引起的相對(duì)價(jià)格變動(dòng)較為敏感。因此,在中美匯率水平發(fā)生變動(dòng)時(shí),政策當(dāng)局應(yīng)當(dāng)有所側(cè)重的對(duì)我國(guó)對(duì)美貿(mào)易進(jìn)行調(diào)節(jié),及時(shí)對(duì)資金和技術(shù)密集型商品的進(jìn)口、食品和資源密集型商品的進(jìn)口進(jìn)行調(diào)整,增強(qiáng)政策措施的針對(duì)性和有效性。 (3)短期來(lái)看,中美匯率波動(dòng)會(huì)對(duì)勞動(dòng)密集型商品的出口、資金和技術(shù)密集型商品的進(jìn)口造成顯著影響,進(jìn)而對(duì)勞動(dòng)密集型商品、資金和技術(shù)密集型的凈出口產(chǎn)生影響：其中,中美匯率波動(dòng)率同勞動(dòng)密集型商品的出口額正向變動(dòng),凈出口額正向變動(dòng),同資金和技術(shù)密集型商品的進(jìn)口額正向變動(dòng),凈出口額負(fù)向變動(dòng)；然而,對(duì)勞動(dòng)密集型商品的進(jìn)口額、資金和技術(shù)密集型商品的出口額、食品和資源密集型商品的進(jìn)口額、出口額、和凈出口額均不會(huì)產(chǎn)生影響。 這表明,中美匯率波動(dòng)率對(duì)不同類商品的影響是不同的,主要是集中在勞動(dòng)密集型商品的出口與資金和技術(shù)密集型商品的進(jìn)口貿(mào)易上,這也為我國(guó)進(jìn)出口企業(yè)在面對(duì)匯率波動(dòng)時(shí)能夠積極的采取措施進(jìn)行應(yīng)對(duì),為我國(guó)政策當(dāng)局有針對(duì)性的制定相關(guān)措施進(jìn)行調(diào)節(jié)提供了依據(jù)。 本文的研究方法主要有： (1)定性分析與定量分析相結(jié)合。本文中,定性分析主要體現(xiàn)在理論分析部分,定量分析主要體現(xiàn)在實(shí)證分析部分；(2)規(guī)范分析與實(shí)證分析相結(jié)合。本文以規(guī)范分析為依據(jù),以實(shí)證分析為工具,分析中美匯率對(duì)我國(guó)對(duì)美進(jìn)出口貿(mào)易的影響；(3)為了較準(zhǔn)確的對(duì)相關(guān)變量進(jìn)行選擇和衡量,本文將借鑒現(xiàn)有的中外文獻(xiàn)資料和研究成果；(4)在本文的實(shí)證分析過(guò)程中,數(shù)據(jù)的處理和結(jié)果的得出主要借助于EWIEWS等軟件完成；(5)為了更形象的展示研究結(jié)果,本文通過(guò)表格、圖像等對(duì)結(jié)果進(jìn)行顯示。 本文理論基礎(chǔ)和模型建立都是在已有相關(guān)文獻(xiàn)的基礎(chǔ)上并進(jìn)行了一定程度的創(chuàng)新得到的。與現(xiàn)有的文獻(xiàn)相比,創(chuàng)新點(diǎn)主要體現(xiàn)在以下幾個(gè)方面： (1)現(xiàn)有文獻(xiàn)所使用的數(shù)據(jù)頻率多為年度或是季度數(shù)據(jù),這會(huì)掩蓋一些信息,本文選用的數(shù)據(jù)頻率為月度,包含了更多的信息,使分析的現(xiàn)實(shí)意義更加明顯。 (2)在應(yīng)用GARCH模型對(duì)匯率波動(dòng)率進(jìn)行測(cè)度方面,現(xiàn)有的相關(guān)文獻(xiàn)中,大多是用求得的條件方差作為匯率波動(dòng)率的替代量,而本文使用的是對(duì)條件方差進(jìn)行開方得到的標(biāo)準(zhǔn)差,這更加符合波動(dòng)率的定義。 (3)馬君潞、王博、楊新銘在文章(2010)中指出對(duì)商品進(jìn)行分類是很有必要的,使得分析更加有意義,但是他們的分析僅僅限于匯率對(duì)出口貿(mào)易的影響；本文則在借鑒其對(duì)商品分類的基礎(chǔ)上,分析了匯率水平和匯率波動(dòng)率對(duì)進(jìn)、出口貿(mào)易的影響,這更加系統(tǒng),而且更有利于了解我國(guó)的進(jìn)出口貿(mào)易結(jié)構(gòu)狀況。 本文研究具有重要的理論意義和現(xiàn)實(shí)意義：一方面,通過(guò)對(duì)2005年匯率改革后中美匯率的波動(dòng)率進(jìn)行測(cè)度,同時(shí)就中美匯率水平和波動(dòng)率對(duì)我國(guó)進(jìn)出口貿(mào)易的影響進(jìn)行系統(tǒng)的分析和研究,本文將完善中美匯率對(duì)我國(guó)進(jìn)出口貿(mào)易影響的理論研究。另一方面,通過(guò)對(duì)中美匯率波動(dòng)率的測(cè)度,可以使我們對(duì)中美的匯率波動(dòng)水平和中美匯率發(fā)展趨勢(shì)有較為清晰的了解；通過(guò)中美匯率波動(dòng)率對(duì)我國(guó)進(jìn)出口影響的實(shí)證分析,使得我們對(duì)我國(guó)進(jìn)、出口受中美匯率水平和匯率波動(dòng)的影響程度和方向有深入的認(rèn)識(shí),從中發(fā)現(xiàn)中美匯率水平和匯率波動(dòng)對(duì)國(guó)際貿(mào)易產(chǎn)生影響的規(guī)律；同時(shí),可以反映出我國(guó)經(jīng)濟(jì)內(nèi)外需求狀況及貿(mào)易結(jié)構(gòu)。
[Abstract]:In July 2005, the change of RMB from fixed exchange rate to the dollar was transformed into a managed floating exchange rate system, which marked the new stage of the reform of the Chinese exchange rate system. However, the international financial crisis, which occurred in 2008, was a heavy blow to the American economy and then to the economy and foreign trade of our country. The United States is the main partner of China's import and export trade. The changes in the economic situation of China and the United States affect the exchange rate and volatility of China and the United States, and will also have a certain impact on our import and export trade to the United States.
This paper makes a systematic and in-depth study on the impact of China US exchange rate and volatility on China's import and export trade. The main contents of this paper include the following aspects:
The first chapter will introduce the research background, theoretical significance and practical significance of this article, and elaborate the innovation, research methods and structural arrangements of the article.
The second chapter is the literature review of this article. It will systematically comb and elaborate the current research status on the influence of exchange rate and exchange rate fluctuation on import and export trade at home and abroad.
The third chapter is the theoretical foundation. This part will introduce the international financial theory on the impact of exchange rate level and volatility on import and export trade.
The fourth chapter is the basic part of the model, and will introduce the relevant model theory in the empirical analysis.
The fifth chapter is an empirical analysis. First, we establish a series of ARCH-M models or GARCH-M models, and measure the rate of exchange rate volatility by choosing the best model from some measurement indicators. Then, this paper divides import and export commodities into labor density by using Ma Junlu, Wang Bo and Yang Xinming (2010) in the article to classify the goods. The collection of goods, capital and technology intensive commodities, food and resource intensive commodities, and the impact of the Sino US exchange rate on the import and export of the above three categories of commodities, respectively. In particular, the Johansen multivariable cointegration relationship is used to establish a long-term equilibrium relationship, and the error correction model is used to analyze its short-term dynamic changes.
The sixth chapter, based on the results of theoretical analysis and empirical analysis, puts forward relevant enlightenment and policy recommendations.
Through theoretical analysis and empirical analysis, the following conclusions and implications are drawn from the analysis of the impact of Sino US exchange rate on China's import and export trade with the United States.
(1) when the RMB is appreciating relative to the dollar, in the long run, our country's exports to labor intensive goods, capital and technology intensive commodities, food and resource intensive goods are all rising, but the net exports of labor intensive goods and food and resource intensive goods are rising, capital and technology intensive businesses This also confirms that the US has repeatedly pressed for the appreciation of the renminbi, hoping to ease the trade imbalance between China and the United States is not an effective measure.
(2) in the short term, when the RMB is appreciating relative to the dollar, China's imports of US capital and technology intensive commodities have risen, net exports have fallen, imports of food and resource intensive commodities have fallen and net exports rise; however, China's labor intensive commercial products, capital and technology intensive commodities, food and resource intensive businesses in our country The volume of exports, the import volume of labour intensive commodities and net exports will not change.
This shows that the import and export trade of labor intensive goods in China is insensitive to the changes in the exchange rate of China and the United States, and will not change the amount of trade in the short term; in comparison, the relative price changes caused by the import trade of capital and technology intensive goods and the import trade of food and resource intensive commodities to the change of the exchange rate level of China and the United States Therefore, when the exchange rate changes in China and the United States, the policy authorities should focus on the adjustment of our country's trade in the United States, the timely import of capital and technology intensive goods, and the import of food and resource intensive commodities to enhance the pertinence and effectiveness of the policies and measures.
(3) in the short term, the volatility of the Sino US exchange rate will have a significant impact on the export of labor intensive commodities, the import of capital and technology intensive goods, and the impact on labor intensive goods, capital and technology intensive net exports: the exchange rate volatility of China and the United States is positively related to the export of labor intensive goods, and the net export is a net export. However, the import amount of labor intensive commodities, the export of capital and technology intensive commodities, the import of food and resource intensive commodities, the export volume, and the net export volume are not affected.
This shows that the impact of the volatility of the exchange rate on different commodities is different, mainly focusing on the export of labor intensive goods and the import of capital and technology intensive goods. This is also a positive response for Chinese import and export enterprises to take measures in the face of exchange rate fluctuations, and is targeted to our country's policy authorities. It provides the basis for the regulation of relevant measures.
The main research methods of this paper are as follows:
(1) qualitative analysis and quantitative analysis. In this paper, qualitative analysis is mainly embodied in the theoretical analysis part, quantitative analysis is mainly embodied in the empirical analysis part; (2) the combination of normative analysis and empirical analysis. This paper, based on normative analysis and empirical analysis as a tool, analyzes the impact of Sino US exchange rate on US import and export trade to the United States. (3) in order to choose and measure the relevant variables more accurately, this paper will draw on the existing literature and research results from China and foreign countries; (4) in the process of empirical analysis, the data processing and results are mainly completed by EWIEWS and other software; (5) in order to show the results of the study more vividly, this article through the form, image and so on The results are displayed.
The theoretical basis and model establishment of this paper are based on the existing literature and have made a certain degree of innovation. Compared with the existing literature, the innovation points are mainly reflected in the following aspects:
(1) the frequency of the data used in the existing literature is more than the annual or quarterly data. This will cover up some information. The frequency of the data used in this article is monthly and contains more information, making the analysis more significant.
(2) in the application of the GARCH model to measure the rate of exchange rate volatility, most of the existing related documents are used as a substitute for the rate of exchange rate volatility, while this paper uses the standard deviation obtained from the conditional variance, which is more consistent with the definition of volatility.
(3) Ma Junlu, Wang Bo, Yang Xinming pointed out in the article (2010) that the classification of goods is necessary and makes the analysis more meaningful, but their analysis is limited to the effect of exchange rate on export trade; in this paper, on the basis of its classification of commodities, the exchange rate and exchange rate volatility are analyzed, and export trade is analyzed. This is more systematic and helpful to understand China's import and export trade structure.
This paper is of great theoretical and practical significance: on the one hand, through the measurement of the volatility of the Sino US exchange rate after the exchange rate reform in 2005, and the systematic analysis and Research on the impact of the exchange rate level and volatility on China's import and export trade, this paper will improve the impact of the Sino US exchange rate on China's import and export trade. On the other hand, through the measurement of the volatility of the exchange rate between China and the United States, we can make a clearer understanding of the exchange rate fluctuation and the development trend of the Sino US exchange rate. The empirical analysis of the impact of China US exchange rate volatility on the import and export of China makes our export to China, China and the United States exchange rate fluctuations and exchange rate fluctuations. There is a deep understanding of the extent and direction of the impact, and the rules of the impact of the exchange rate level and exchange rate fluctuation on international trade are found. At the same time, it can reflect the domestic and foreign economic demand and trade structure.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.6;F752.6;F224

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