| 汇率风险与中国出口贸易的动态关系 |
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| 引用本文： | 丁勇,应育松.汇率风险与中国出口贸易的动态关系[J].广东金融学院学报,2011,26(4). |
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| 作者姓名： | 丁勇 应育松 |
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| 作者单位： | 1. 中国民航大学 经济与管理学院,天津,300300
2. 天津财经大学 学报编辑部,天津,300222 |
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| 基金项目： | 中央高校基本科研业务费中国民航大学2010年度专项(2010D004)资助 |
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| 摘 要： | 应用GARCH模型、自回归分布滞后模型和Johansen协整检验,实证分析汇率风险与中国出口贸易的动态关系。结果显示:中国实际有效汇率变动率存在着异方差;实际有效汇率的变动对出口存在较明显的J曲线效应;GARCH模型估计的随时间变动的汇率风险对出口的影响存在着滞后效应;汇率风险在短期内对出口的影响不确定,长期的影响为负。因此,中国在制定出口贸易政策时,应考虑到J曲线效应并保持汇率的稳定性。
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| 关 键 词： | 汇率风险 J曲线效应 出口贸易 |
The Dynamic Analysis of Exchange Rate Risk and China's Export Trade |
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| Ding Yong,Ying Yusong.The Dynamic Analysis of Exchange Rate Risk and China's Export Trade[J].Journal of Guangdong University of Finance,2011,26(4). |
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| Authors: | Ding Yong Ying Yusong |
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| Institution: | Ding Yong1 and Ying Yusong2(1.College of Economics and Management,University of China Civil Aviation,Tianjin 300300,China,2.Journal Editorial Department,Tianjin University of Finance,Tianjin,300222,China) |
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| Abstract: | This paper investigated empirically the dynamic relationship between the exchange rate risk and china's export trade by using Garch model as well as ADL techniques and Johansen Co-integration Test.The result showed that Garch existed in the ROC(rate of change) of China's real effective exchange rate;and the ROC effects on China's export with J-curve effect.GARCH model existed hysteresis effect when estimated the changes with time of exchange rate risk to the influence of export.The estimation result also sh... |
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| Keywords: | exchange rate risk J-curve effect export trade |
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