人民币汇率对中国长期贸易顺差的影响性分析——基于TVP-VAR模型的实证检验

全球金融危机条件下,中国汇率操纵论甚嚣尘上,然而针对人民币汇率和中国贸易顺差关系的研究观点却存在很大分歧。从技术角度看,基于线性回归模块的标准VAR/SVAR模型并不适合分析中国汇率和贸易顺差之间的非线性关系。文章在国内率先采用时变参数VAR模型(TVP-VAR),并基于2001年6月-2011年3月的数据进行分析后发现人民币汇率对于中国长期贸易顺差的影响微小,即汇率非重要。

The Analysis on the Effect of Exchange Rate of RMB to the Trade Surplus of China during the Long Time:Empirical Test Based on the TVP-VAR Model

Under the global financial crisis,China’s exchange rate manipulation of China is discussed hotly.But the research view ofthe problem between RMB exchange rate and Chinese trade surplus is divergent seriously.The standard VAR / SVAR models based on linear regression model are not suitable to analyse the nonlinear relationship between Chinese exchange rate and trade surplus.This article use time-varying parameter VAR model(TVP-VAR)to analyse the problem based on 2001.06-2011.03 data.The conclusion proves that the exchange rate of RMB has little effect on Chinese long-term trade surplus.That is,the exchange rate is non-critical.