本文選題：進出口貿(mào)易 + VAR模型　； 參考：《廣西師范大學》2014年碩士論文

【摘要】：在過去的三十年中,進出口對中國經(jīng)濟發(fā)展的貢獻舉世矚目。然而最近幾年由于金融危機等事件,外貿(mào)的形勢開始變得復雜多變,風險的增大要求更細致更量化地分析影響進出口額的因素的傳導機制,為企業(yè)和政府提供決策幫助和建議。關于這個課題,國內(nèi)外學者已做了卓有成效的工作。前人主要使用向量自回歸模型、協(xié)整檢驗和誤差修正模型等方法結合理論,得出各影響因素對進出口額長期的均衡和短期的動態(tài)變化。但也存在數(shù)據(jù)陳舊,變量選取偏少,模型的使用單一無法進行比較,短期沖擊反應機制研究不足等問題。本文選取2002年1月至2012年12月的全國進出口額、人民幣實際有效匯率、國際原油價格、外商直接投資、國內(nèi)工業(yè)增加值、流通中貨幣的供應量、國內(nèi)居民物價指數(shù)、美國個人收入水平的月度數(shù)據(jù),運用Eviews6.0、Microfit及ECVaR軟件建立VAR模型,協(xié)整模型,ARDL模型,并用脈沖響應函數(shù),誤差修正,M-TAR模型研究短期變化趨勢,在最后根據(jù)VaR/CVaR值對各模型進行比較。得到各個影響因素與進出口額長期與短期的關系,并建立模型綜合各因素的作用。結果表明,人民幣的升值暫時對進出口額沒有負面的影響；流通中貨幣的供應量在短期內(nèi)可以一定程度上刺激外貿(mào),當在長期來看會抑制進出口額的增長；國際市場需求的變化對進出額的影響較為顯著,我國的產(chǎn)業(yè)轉型升級迫在眉睫。通過研究我國進出口貿(mào)易各影響因素的傳導機制和效應,在人民幣匯率政策、國內(nèi)貨幣政策制定及外貿(mào)產(chǎn)業(yè)升級轉型方面提出了基于研究結果的建議。得出我國應保持穩(wěn)健的匯率政策,并且保持適度的波動性,國內(nèi)貨幣政策應充分調查研究緊跟市場變化。產(chǎn)業(yè)方面逐步提高產(chǎn)品技術含量和附加值。提高對全球性經(jīng)濟危機的抵御能力。
[Abstract]:In the past 30 years, the contribution of import and export to China's economic development has attracted worldwide attention. However, due to the financial crisis and other events in recent years, the situation of foreign trade has become more complex and changeable. The increase of risk requires a more detailed and quantitative analysis of the transmission mechanism of the factors affecting the import and export volume, so as to provide decision assistance and advice for enterprises and governments. Scholars at home and abroad have done fruitful work on this subject. Based on the theory of vector autoregressive model, cointegration test and error correction model, the long-term equilibrium and short-term dynamic change of import and export value are obtained by using the methods of vector autoregressive model, cointegration test and error correction model. However, there are some problems such as outmoded data, lack of variable selection, lack of comparison in the use of the model, and lack of research on the mechanism of short-term shock reaction. This paper selects the national imports and exports from January 2002 to December 2012, the real effective exchange rate of RMB, the international crude oil price, the foreign direct investment, the domestic industrial added value, the money supply in circulation, the domestic resident price index, Monthly data of American personal income level are used to establish VAR model by using Eviews6.0 / Microfit and ECVaR software, cointegration model and ARDL model, pulse response function and error correction M-TAR model are used to study the short term variation trend. Finally, the models are compared according to the VaR/CVaR value. The relationship between each influencing factor and the long-term and short-term of import and export is obtained, and the model is established to synthesize the effect of each factor. The results show that the appreciation of RMB has no negative effect on import and export value temporarily, the supply of currency in circulation can stimulate foreign trade to some extent in the short term, and in the long run it will restrain the growth of import and export volume. The change of international market demand has a significant impact on the import and export volume, and the industrial transformation and upgrading of our country is imminent. By studying the transmission mechanism and effect of the influencing factors of China's import and export trade, this paper puts forward some suggestions based on the research results in the aspects of RMB exchange rate policy, domestic monetary policy formulation and the upgrading and transformation of foreign trade industry. It is concluded that China should maintain stable exchange rate policy and moderate volatility, and domestic monetary policy should be fully investigated and studied to keep up with market changes. Industry has gradually increased the technical content and added value of products. Improving resilience to the global economic crisis.
【學位授予單位】：廣西師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F752.6;F224

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