人民币实际汇率与我国贸易收支——基于中美双边数据的实证分析

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摘要

2002 年以来，国际社会要求人民币升值的呼声不断高涨，特别是美国为了

扭转其对华的巨额贸易逆差，强烈要求人民币对美元升值。2005 年7月21 日，

中国人民银行宣布，我国将实行以市场供求为基础、参考一篮子货币进行调节，

有管理的浮动汇率制度。同时宣布美元对人民币交易价格调整为 1美元兑 8.11

元人民币，升值约 2个百分点。

在这样的背景下，理论率与我国贸易收支关系的关界对人民币实际汇注开始

升温，很多学者担心人民币汇率升值将会给我国贸易收支带来严重冲击，进而影

响我国国民经济的稳定。

上述判断正确与否，基于我们对以下问题的我国贸回答：人民币实际汇率变

动对我国贸易收支的作用机制；人民币实际汇率变动对易收支影响的方式、方向、

程度以及作纳条件在长期内是否成立；在短期内，是否用发挥的时滞；马歇尔-

勒存在“J”曲线效应。对这些问题的研究对于当前我国汇率政策的制定具有重

要的指导意义。

本文利用 1994—2005 年我国和美国的双边贸易收支数据来研究实际汇率变

化对贸易收支的长期和短期影响。即我们在研究中试存在“J”曲线效应；实际

汇率、实际收入等经济变量对我国进出口及贸易收支的影响程度；以图确定：马

歇尔-勒纳条件在长期内是否成立；短期内双边贸易收支是否及各自作用发挥的

时滞等。

本文使用的方法包括协整分析、向 M）、误冲量模型（VEC 反应分析及方差

分解差纠正脉等。我们通过协整分析来研究实际汇率对贸易收支的长期影响。为

了研究实际汇率、实际收入对贸易收支影响的，我们使用了向量误差纠正模型

（VECM）短调整机期动态制，并在此基础上进行了脉冲反应分析和方差分解。

通过实证分析，我们得出的结论是：

一、实际汇率对进出口及贸易收支的影响还比较小，甚至有些在统计上还不

显著，表明当前我国还不能通过实际汇率的变化来有效地调节贸易收支。反映出

当前我国汇率形成的市场规化贸易收支方程中化程度低、进出口商对汇率变化的

反应不敏感、以及进出口商品的替代性弱的现状。但是，正实际汇率所对应的正

的参数还是表明马歇尔-勒纳条件在长期内成立。

二、脉冲分析显的“J”曲线效应，滞后期大约为一年表明：中美贸易收支

存在非常明左右。

三、方差分解表明：实际汇率冲击对贸易收支变化的影响要远远小于实际收

入冲击对贸易收支变化的支的方差分解，我们发现，无论是在短期还是在长期，

我国与美国贸易收支的变化主要受美国实际收入变化的影响；通过对与美国贸易

收影响，即便考虑到两国经济增长率的差异，结论依然成立。

关键词：人民币实际汇率贸易收支马歇尔-勒纳条件 “J”曲线

效应

ABSTRACT

Since 2002, the call for appreciation of RMB has surged upward unceasingly in

the international society . Specially, US strongly requests China to increase the value

of RMB to US dollar in order to reverse its large trade deficit to China. On July

21,2005, the People's Bank of China announced that, the floating exchange rate

system with the management will be implemented in China on the base of the market

supply and demand. And a basket currency will act as a information referred when

having an adjustment to RMB exchange rate. At the same time, exchange rate of

RMB to US dollar is adjusted to 8.11 Yuan per US dollar, approximately 2 percentage

points added in value.

Under such background, the theorists put the more attention on the relationship

between the real RMB exchange rate and Chinese trade balance. Many scholars

worried that the appreciation of the RMB exchange rate will give Chinese trade

balance a serious impact and will affect the stability of the national economy.

If we want to know whether the above judgment is correct, we must answer the

next questions:

What is the mechanism that real RMB exchange rate affect Chinese trade

balance by ? Does Marshall-Lerner condition hold from a long run ? Does the "J"

curve effect exist in China from a short run ?How does real RMB exchange rate affect

Chinese trade Balance ? On which direction and what degree do real RMB exchange

rate affect Chinese trade Balance? How long will Chinese trade Balance be influenced

after real RMB exchange rate begin to change ? It is very important for China to guide

the current exchange rate policy through researching these questions.

This paper is an empirical examination of long run relationship and short run

relationship between real RMB exchange rate and Chinese bilateral trade Balance to

the United States from 1994 to 2004.Namely, we try to judge whether

Marshall-Lerner condition hold from a long run and whether the "J" curve effect exist

in China from a short run . we try to judge the effect and time lag that the economical

variables such as real RMB exchange rate and real income have an influence on

Chinese import amounts ,export amounts and bilateral trade Balance .

We research the long run effect that the real exchange rate to the import ,export

and trade balance through the Cointegration Analysis influence. In order to study the

dynamic adjustment mechanism that the real exchange rate, the real income influence

trade balance from a short run, we used the vector error correct model(VECM), the

pulse response analysis and the variance decomposition.This paper uses the method

including the Cointegration Analysis , the Vector Error Correct Model (VECM), the

Pulse Response Analysis and the Variance Decomposition and so on. Through the

empirical analysis, we obtain the next results :

Firstly, The effect that the real exchange rate influences the import ,export and

the trade balance is small, even is not remarkable in the statistics. It reflects there is a

low degree of substitute between the imported goods and the exported goods as well.

But, the positive parameter of the real RMB exchange rate in the standardized trade

balance equation indicate Marshall-Lerner condition hold. It indicates we cannot

effectively adjust the trade balance through the real exchange rate now. It reflects a

low market degree in pricing foreign exchange, and the importer and exporter is

insensitive to the change of the exchange rate.

Secondly, the pulse analysis indicates that, the "J" curve effect displays

extremely obviously, the period lagged is about a year. we discovered, regardless of in

the short-term or in long-term, Chinese trade balance to the United States is mainly

influenced by real American income, even if the difference in economic growth rate

of both countries considered.

Thirdly, the variance decomposition indicated that the real RMB exchange rate

has much smaller influence on Chinese trade balance than the real income .

Key Words: Real RMB Exchange Rate, Trade Balance,

Marshall-Lerner Condition, "J" Curve Effect

中文摘要

ABSTRACT

第一章导论 .......................................................... 1

§1.1 问题提出及研究的意义 ........................................... 1

§1.2 研究的思路与方法 ............................................... 2

§1.2.1 研究的基本思路 ............................................... 2

§1.2.2 研究的主要方法 ............................................... 3

§1.3 本文的创新之处 ................................................. 3

§1.3.1 理论创新点 ................................................... 3

§1.3.2 方法创新点 ................................................... 3

第二章实际汇率的含义及测度方法 ...................................... 4

§2.1 导言 ........................................................... 4

§2.2 实际汇率的含义及分类 ........................................... 4

§2.2.1 实际汇率的含义 ............................................... 4

§2.2.2 实际汇率的分类 ............................................... 5

§2.3 实际汇率的测度方法 ............................................. 9

§2.3.1 外部实际汇率测度方法 ......................................... 9

§2.3.2 内部实际汇率测度方法 ........................................ 13

第三章人民币实际汇率、我国贸易收支的历史变迁 ....................... 15

§3.1 80 年代以来人民币实际汇率的变动情况 ...........................15

§3.1.1 人民币实际汇率的测度 ........................................ 15

§3.1.2 人民币实际汇率的历史变迁 .................................... 16

§3.2 80 年代以来中国贸易收支的变动情况 .............................17

§3.2.1 中国进出口和贸易收支的变动情况 .............................. 17

§3.2.2 中国的对外贸易依存度变动情况 ................................ 19

第四章实际汇率与贸易收支关系的理论分析 ............................. 21

§4.1 实际汇率与贸易收支关系文献述评 ................................ 21

§4.2 实际汇率与贸易收支关系的理论框架分析 ......................... 23

§4.2.1 实际汇率与贸易收支关系的理论探析 ............................ 23

§4.2.2 实际汇率与贸易收支关系的实证模型设定 ........................ 25

第五章人民币实际汇率与中美双边贸易收支长期关系研究 ................. 27

§5.1 中美双边贸易收支实证模型及相关数据说明 ........................ 27

§5.1.1 中美双边贸易收支模型 ........................................ 27

§5.1.2 数据的来源及说明 ............................................ 28

§5.1.3 数据的平稳性 ................................................ 28

§5.2 人民币实际汇率与中美双边贸易收支的长期关系 .................... 30

§5.2.1 滞后阶数选择 ................................................ 30

§5.2.2 协整检验结果及分析 .......................................... 31

第六章人民币实际汇率与中美双边贸易收支短期动态调整研究 ............. 36

§6.1 短期动态调整的向量误差纠正模型（VECM）分析 .................... 36

§6.2 脉冲反应及方差分解 ............................................ 38

§6.2.1 脉冲反应分析 ................................................ 38

§6.2.2 方差分解 .................................................... 40

第七章人民币实际汇率未来长期走势探析 ............................... 42

§7.1 导言 .......................................................... 42

§7.2 对人民币实际汇率未来长期走势的预测及依据 ...................... 43

§7.2.1 人民币实际汇率未来长期走势 .................................. 43

§7.2.2 人民币实际汇率未来长期升值趋势的依据 ........................ 43

§7.3 人民币实际汇率未来升值将面对的难题及相关政策建议 .............. 45

附录 ................................................................ 46

参考文献 ............................................................ 48

在读期间公开发表的论文和承担科研项目及取得成果 ...................... 53

致谢 .............................................................. 54

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摘要：

摘要2002年以来，国际社会要求人民币升值的呼声不断高涨，特别是美国为了扭转其对华的巨额贸易逆差，强烈要求人民币对美元升值。2005年7月21日，中国人民银行宣布，我国将实行以市场供求为基础、参考一篮子货币进行调节，有管理的浮动汇率制度。同时宣布美元对人民币交易价格调整为1美元兑8.11元人民币，升值约2个百分点。在这样的背景下，理论率与我国贸易收支关系的关界对人民币实际汇注开始升温，很多学者担心人民币汇率升值将会给我国贸易收支带来严重冲击，进而影响我国国民经济的稳定。上述判断正确与否，基于我们对以下问题的我国贸回答：人民币实际汇率变动对我国贸易收支的作用机制；人民币实际汇率变动对易收支影响的...

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