人民币实际汇率弹性的非对称性研究:基于中国与G-7各国双边贸易数据的实证分析

本文旨在检验人民币实际汇率弹性在国别间的不对称性.文章以中国与G-7各国1990--2005年季度贸易数据为样本,采用自回归分布滞后模型(ARDL)和Pesaran等(2001)边限检验(the bound test)方法,对中国与G-7各国双边贸易方程进行了协整估计.结果显示,对应于不同的贸易对象国,人民币实际汇率弹性存在明显的不对称性,这种不对称性既取决于国别间进出口需求的差异,也取决于国别间人民币相对价值的不对称性变化.得出的结论是,仅靠汇率干预非但不能纠正我国总体外部失衡,还有可能导致外部失衡的结构性或总体性恶化.

Research on Asymmetric Elasticity of RMB Effective Exchange Rate: An Empirical Analysis Based on Chinese Trade Data with G-7 Members

This paper aims at analyzing the asymmetric elasticity of RMB effective exchange rate. Taking as sample the seasonal bilateral trade between China and G-7 members, we estimate the bilateral co-integration trade equations between them by means of autoregressive distributed lag model and the bound test proposed by Pesaran et al. in 2001. The result is that, due to the difference of import-export demand and the asymmetric movement of relative value of RMB between different pair country, the elasticity of RMB effective exchange rate is significantly asymmetric. The conclusion is that single exchange rate adjustment can not reduce the total external imbalance, it may lead to its structural deterioration or total deterioration inversely.