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通过构建汇率和出口的二元GARCH-M-BEKK模型,研究人民币汇率波动对中国出口的影响关系.假设误差向量服从二元t分布,应用极大似然方法估计模型参数,检验了双边实际汇率波动对美国、英国和日本等六个国家或地区的出口在升值和贬值期的非对称效应.实证结果表明除韩国和泰国之外,汇率波动对出口变化有负效应.进而,非对称效应表现在汇率升值时汇率波动抑制出口变化的影响比汇率贬值时更大.实证结果还发现除韩国和泰国外,美国、英国、欧元区17国和日本的收入水平对出口变化有显著的正效应;人民币贬值对出口变化有显著的正效应;出口变化的波动对汇率波动有溢出效应.
By constructing a binary GARCH-M-BEKK model of exchange rate and export, this paper studies the impact of RMB exchange rate fluctuations on China’s exports.It is assumed that the error vector obeys the binary t-distribution and the maximum likelihood method is used to estimate the model parameters to test the bilateral real exchange rate Fluctuations Asymmetric Effects of Exports on Six Countries in the United States, the United Kingdom, and Japan during Appreciation and Depreciation Periods The empirical results show that, with the exception of South Korea and Thailand, fluctuations in exchange rates have a negative effect on export changes. Furthermore, asymmetric effects When the exchange rate fluctuates, the impact of the fluctuation of exchange rate on the export growth is greater than that of the devaluation of the exchange rate.The empirical results also show that except South Korea and Thailand, the income levels of the United States, the United Kingdom, the 17 countries of the Euro area and Japan have a significant positive effect on export changes; RMB devaluation has a significant positive effect on export changes; fluctuations in export changes have an overflow effect on exchange rate fluctuations.