人民币实际汇率及波动对进出口贸易的影响——以江苏省与美国进出口贸易为例

本文基于进出口需求方程,通过建立AR-GARCH模型及协整模型来研究影响江苏省与美国进出口贸易的主要因素。研究发现,江苏省和美国两个各自的国内收入(生产总值)、人民币实际有效汇率水平对进出口贸易都有较大的正向显著影响,而人民币汇率波动没有显著影响,在分析这一结果背后原因的同时,提出密切关注美国经济走势,及时指导外贸企业规避风险,树立企业外汇风险意识,增强企业外汇风险管理能力,进一步增强经济实力,优化贸易结构等政策建议。     

基于资产价值链的股票定价模型实证研究

从股票价格的形成过程入手提出可交易价值的概念,指出名义股价、流动性和波动性是其可能的影响因素。接着运用面板数据分析法对我国股市的周交易数据进行实证,发现可交易价值对股票的定价行为具有解释能力,且在不同市场环境下的表现形式不同:上涨行情中投资者偏好低价格、高流动和高波动的股票组合,下跌行情中则相反;走势平稳的市场中名义股价因子影响力最强,而流动性因子和波动性因子则在急涨急跌背景下更具影响力。     

重庆市产业结构对经济增长的影响——基于面板模型分析

利用重庆市各区县1999-2010年的经济数据,从个体及时间两方面,分析重庆市产业结构对经济增长的整体影响,从而解释产业结构带动经济的增长方式,进而对产业结构布局提出一些建议:集中资金技术、人力发展第二产业;同时加大发展第三产业。     

汇改对我国中小企业出口的影响测度与预测——基于汇改后月度数据的实证分析

当前我国中小企业出口经营困境凸显,进一步汇改是否会加剧其困境成为关注的焦点。本文基于汇改后的月度数据,采用GARCH模型分析各次汇改对汇率弹性的影响特征,构建向量误差修正模型测度和预测汇改对中小企业出口的影响。结果表明:汇改促使人民币每升值1%,其出口减少3.874%;汇率弹性增强1%,其出口减少0.034%。预测的中小企业出口总额较为平稳。进一步汇改以增强汇率弹性为核心不会对中小企业出口总量造成大的冲击。     

Investigating first‐stage exchange rate pass‐through: Sectoral and macro evidence from euro area countries

In this paper, we evaluate the first‐stage pass‐through, namely the responsiveness of import prices to the exchange rate changes, for a sample of euro area (EA) countries. Our study aimed to shed further light on the role of microeconomic factors versus macroeconomic factors in influencing the extent of the exchange rate pass‐through (ERPT). As a first step, we conduct a sectoral analysis using disaggregated import prices data. We find a much higher degree of pass‐through for more homogeneous goods and commodities, such as oil and raw materials, than for highly differentiated manufactured products, such as machinery and transport equipment. Our results confirm that cross‐country differences in pass‐through rates may be due to divergences in the product composition of imports. The higher share of imports from sectors with lower degrees of pass‐through, the lower ERPT for an economy will be. In a next step, we investigate for the impact of some macroeconomics factors or common events experienced by EA members on the extent of pass‐through. Using the system generalised method of moments within a dynamic panel‐data model, our estimates indicate that decline of import‐price sensitivity to the exchange rate is not significant since the introduction of the single currency. Our findings suggest instead that the weakness of the euro during the first 3 years of the monetary union significantly raised the extent of the ERPT. This outcome could explain why the sensitivity of import prices has not fallen since 1999. We also point out a significant role played by the inflation in the Eurozone, as the responsiveness of import prices to exchange rate fluctuations tends to decline in a low and more stable inflation environment. Overall, our findings support the view that the extent of pass‐through is comprised of both macro‐ and microeconomic aspects that policymakers should take into account.     

进出口视角下汇率对失业影响的效应研究

选取1992年～2009年G20国家中15个国家的进出口、汇率和失业率等数据,运用面板协整方法研究汇率对失业的直接影响,以及进口和出口两个渠道对失业产生的间接影响,结果表明,汇率对失业率的直接影响效应不显著,通过出口和进口渠道对失业率产生的间接影响也较小,但出口和失业率存在反向关系,扩大出口能降低失业率;进口和失业率也存在反向关系,进口贸易额的扩大能使失业率降低.     

Exchange rate effects: A case study of the export performance of the Swiss agriculture and food sector

The Swiss franc appreciated strongly against the currencies of Switzerland's most important trading partners after the global financial crisis in 2008. This has raised the question of how sensitive Swiss exports are with respect to exchange rate movements. We analyse this question for exports of the Swiss agriculture and food sector, using both time series and dynamic panel data models based on data from 1999 to 2012. We find that in the long run a one per cent appreciation of the Swiss franc leads on average to a decrease in exports of agricultural and food products between 0.8 and 0.9 per cent. Our results suggest that on average, producers in the Swiss agriculture and food sector are able to successfully avoid price competition by differentiating their products, producing high‐quality products for niche markets.     

汇率波动对就业水平影响的研究综述

作为重要的宏观经济景气指标,汇率水平的波动直接影响到经济的整体发展水平.文章从一般均衡的角度出发,对汇率波动对就业影响的研究进行了综述.以期为后续研究的开展奠定基础.     

Exchange rate jumps and exports: Evidence from China

We apply the autoregressive conditional jump intensity (ARJI ) model to monthly exchange rate returns of China against 81 countries and investigate the impact of exchange rate volatility on exports over the period of 1995–2004. We decompose bilateral exchange rate volatility into continuous and discrete components and find that only the discrete part of exchange rate volatility, that is, the exchange rate jumps, has a significantly negative effect on exports, which to some extent reconciles the old yet unsettled debate in previous literature on the role of exchange rate volatility in international trade. There is also some evidence suggesting that the development of domestic financial market will boost international trade, but it does not help attenuate the negative effect of bilateral exchange rate jump risk on exports.     

The impact of parallel market exchange rate volatility and oil exports on real GDP in Syria: Evidence from the ARDL approach

This paper investigates the impact of parallel market exchange rate volatility and trade on real GDP and real GDP growth in the Syrian economy over the period of 1990Q1–2010Q4. To this end, we first construct a parallel market exchange rate volatility indicator. Second, we estimate an autoregressive distributed lag (ARDL) model where we include our indicator of volatility among the main determinants of real GDP. Our findings imply that real GDP can be explained by three main variables: parallel market exchange rate, money supply, and oil exports. The long-run equilibrium reveals that parallel market exchange rate volatility has a negative impact on real GDP compared to the positive impact of money supply and oil exports. In contrast, the short-run impact of parallel market exchange rate volatility on real GDP growth is positive and very small counter to the long-run impact. Furthermore, the coefficient of the error correction term of the estimated ARDL model indicates that real GDP deviation from the equilibrium level will be corrected by about 10% after each quarter.     

Export Performance of Brazilian States to Mercosul and Non-Mercosul Partners

ABSTRACT

We investigate the role of the trade-weighted real exchange rate and foreign income on the export performance of Brazilian states, differentiating between Mercosur and non-Mercosur partners. The results indicate that state exports are price and income inelastic. There are differences in the influence of the different trade factors between the two groups of partners. One crucial difference is the relevance of the real exchange rate effect for non-Mercosur partners. This might be associated with the existence of specific rules for Mercosur that can overcome the usual effect of relative competitiveness associated with movements in the real exchange rate.