【作者】 许可；

【导师】 方兆本；

【作者基本信息】 中国科学技术大学 ， 金融工程， 2012， 博士

【摘要】 中国经济的再次崛起被普遍视为21世纪世界地缘经济格局变迁的重大事件,中国加入WTO以后加速了参与国际分工的步伐,并迅速成为世界制造业的中心。但随之而来的全球国际收支失衡问题加剧,也给中国政府的汇率政策和货币政策的相机抉择造成困难。在以全球账户的再平衡和维护宏观经济和金融稳定发展为汇率政策主要决策目标的大背景下,对汇率水平及其波动率对贸易的真实影响的深入研究就显得尤为重要了。此外,中国国际贸易结算主要以美元为主,人民币的名义汇率也主要盯住美元。美元本身的汇率水平及其波动对于中国对外贸贸易是否有影响,同时美元波动与人民币本身的实际有效汇率水平是否相关都是值得探讨和研究的命题,而由此又会衍生出汇率水平及其波动对不同国家的贸易量影响是否会不同,对于不同行业又会有怎样的影响,全球金融危机对我国进出口的冲击有多大等等一系列问题。我们将在本文尝试对以上问题做出分析,并通过相关数学模型定量分析勾勒出问题答案的轮廓。本文首先研究了人民币实际有效汇率、美元指数及二者波动率和我国进出口贸易总量的关系。对人民币实际有效汇率和美元指数利用广义自回归条件异方差(GARCH)模型进行拟合,计算出人民币有效汇率及美元指数的波动率；进一步分别建立进出口贸易数据和人民币实际有效汇率及其波动率,进出口贸易数据和美元指数的模型,利用向量自回归(VAR)模型,协整关系检验,误差修正模型,GRANGER因果关系检验等一系列实证方法,研究了中国加入WTO以来的人民币实际有效汇率,美元指数及二者的波动率对我国进出口贸易总量的长短期影响；对美元指数和人民币实际有效汇率之间的数量关系进行了Copula建模和GRANGER因果关系检验,结果更进一步确认了我国进出口贸易实际所受影响中的美元汇率因素。基于我国复杂的对外贸易结构背景,为有效评估过去十年的汇率政策对贸易的微观结构影响,以及下一步人民币汇率形成机制改革的路径选择提供决策依据。对我国前20大贸易伙伴按贸易不平衡度分类并采用向量自回归(VAR)模型,协整关系检验,误差修正模型等研究方法分别研究了我国对这20大贸易伙伴贸易与人民币实际有效汇率和美元指数等因素的长短期关系,并对所得结果做了初步的归纳总结。对我国加入WTO到2010年6月整体外贸平衡度进行测算,结果显示加入WTO以来,我国对外贸易总体虽有顺差但仍处于贸易平衡区域。我们还研究比较了同时期几个重要行业进出口贸易和人民币实际有效汇率和美元指数模型,得到了一些有意义的结果,特别是对进出口贸易总额的GRANGER因果关系检验结果显示我国进口是出口的GRANGER原因,反之不是,这与我国经济结构和参与国际分工的产业结构有关。在本文的后半部分,通过对进出口数据进行分段趋势模型拟合,我们从较为直观的角度定量地研究了2008年发生的全球金融危机对我国进出口总量以及我国对20大主要贸易伙伴进出口额度的冲击影响和累积影响,揭示了我国对外贸易所受外在因素影响的一个重要方面。汇率政策是实现我国经济发展内部均衡和外部平衡的基础和核心,汇率政策目标和贸易政策目标也是在我国经济融入世界经济过程中维护好金融稳定的重要指标。本文的研究成果为决策层在金融稳定约束下进行贸易政策和汇率政策的相机抉择提供了依据。更多还原

【Abstract】 It is widely regarded as the world’s geo-economic changes in the pattern of major events that China’s economy has raised again. Since joining in WTO China has fasten the pace of participation in the international division of labor, and became the world manufacturing center. However, the accompanying increase of global payments imbalances has made intensified difficulty of discretionary choosing of exchange rate policy and monetary policy to Chinese government. In the context of the rebalancing of global accounts as well as safeguarding macroeconomic and stable financial development as main goal of exchange rate policy, it is important to further study(or to make intensive study) the impact of this change on international trade by exchange rate and its volatility. Moreover, China’s international trade is mainly dominated by the US dollar, no need to mention that the RMB nominal exchange rate is pegged to the dollar. It is also a valuable research topic that whether the US dollar exchange rate and its volatility will influence China’s foreign trade, and whether there is correlation between the volatility of US dollar exchange rate and that of the RMB. All these will derive a series of questions, such as whether the level of exchange rate and its volatility will have different impact on each trade partners, or on different industries, and how big China’s export and import can suffer by global economic crisis. In this paper, we try to answer these questions by employing related mathematical models to do quantitative analysis.This study include the following:first, we investigate the relation between the RMB real effective exchange rate, US dollar index as well as their volatilities and China’total amount of export and import. The RMB real effective exchange rate and US dollar index are fitted by using the model of generalized auto regressive conditional heteroskedasticity (GARCH) model, and then we obtain their volatilities. Second, we establish the export and import trade models taking into account the RMB real effective exchange rate and its volatility, the US dollar index and its volatility. By using vector autoregressive(VAR) model, cointergration test, error correction model, granger causality test and a series of empirical methods, we study the long-term and short-term impact on China’s total export and import by the RMB real effective exchange rate and its volatility, and also the US dollar index and its volatility. By building Copula models and doing a Granger causality test between the numerical quantity of US dollar index and RMB real effective exchange rate, we confirm the factor of US dollar exchange rate in the influence on China’s import and export. Based on the background of complexity of China’s foreign trade struxture, we provide a basis for decision making for estimating effectively the influence on the micro structure of trade by exchange rate policy in the past decade, and the next step of path selection of RMB exchange rate formation mechanism reformation. Third, by using vector auto-regressive (VAR) model, cointergration test, error correction model and a series of empirical methods, we study the long term and short term impact of the RMB real effective exchange rate, US dollar index and their volatility on China’s export and import with the first20trade partners and make preliminary summarize on the results. We calculate the overall trade balance index since China joined the WTO until June2010, the results show that during this period China’s foreign trade is balanced with a little surplus. Though comparing with several other industries models, we conclude some meaningful results, especially the result of GRANGER causality test between the total amout of export and import shows that China’s import can Granger cause China’s export and the contrary is false, which might be related with the role of China’s economic structure played in the industrial structure of the international division of labor. Finally, in the rest of the paper, we provide a brief description of the short-term impact and cumulative influence by2008financial crisis on China’s foreign trade and its trade with the first20trade partners using piecewise exponential model based on an intuitive perspective. The results reveal from another aspect one of the important external factors of China’s foreign trade.China’s exchange rate policy is the foundation and core elements to achieve our internal and external economic balance. Exchange rate and foreign trade goals are also the important indicator of financial stability during the process of integrating our economy into the world. The important findings of this study provide some basis for the decision layer to choose proper foreign trade policy and exchange rate policy under the restriction of financial balance.更多还原