人民币名义汇率与中国对欧元区国家出口的关系

12[]Johansen,19992005,,,[];;:,,,430074,,,250014::2006121242005721,,,,?()(paneldata),,TilakAbeysingheTanLinYeok(2005),(05JA790045)162006/4217©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1](51-55)ChouChao(2001)19681998,[2](19-25)GueDaeChoMinKyoungKimEdwinSun,HyunJinWonW1Koo(2003)1974199910,[3]TaufiqChoudhry(2005)19741998,,,[4](51-71)()DellAricciaGiovanni(1998),,[5]RoseAndrew(2000)19701990186,,[6](7-45)SilvanaTenreyro(2004)19701997,[7](2)Khim-senLiew,Kian-PingLimHuzaimiHussain(2003)519861999,,,[8](),,(1991)19701983,01680105,,,[9](1997)19811995:113,,[10],(2002)19911995,[11],(2005),,,2006/421717©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[12],,,,,,,Johansen,(),:1.1997,,,,,Granger2.,,Khim-senLiew[8]TilakAbeysingheTanLinYeok[1][13],,,:ln(x)=C+1ln(ner)+2ln(p3/p)+3ln(v)+4lny/y3)+(1),x;ner;p3/p;v;y,y3()1.,,,,,garch,,garch2.182006/4217©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2002),[14](83-99)(industrialproduction)31,:rer=nerp3/p(2),rerner,p3/p(2)p3,p,,(PPI)(WPI),(CPI)41199911,19991200510;;(CPI)(industrialproduction)InternationalFinancialStatistics(IMF),1995;(PPI)(industrialproduction)InternationalFinancialStatistics(IMF),1995,,eviews311()(Spuriousregression),,Dickey-fuller(DF)Dickey-fuller(ADF)DF,ADFADF,AICSC12006/421719©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(x)ln(ner)ln(p3/p)ln(v)ln(y/y3)-1107-2141-2137-3170-0199-4108-4108-4108-4108-4108ln(x)ln(ner)ln(p3/p)ln(v)ln(y/y3)-81073-51923-51913-71573-91393-3151-3151-3151-3151-3151:35%,1,()Johansen,JohansenJohansen,,AICSC,,12GDPGDP5%1%301379119012835920116263801130939010754449513059057165324311306341712839461196888871316219942144251321212596158701054810530145161262,,33GDPGDPClnnerln(p3/p)lnvln(y/y3)@TREND3175-0188(-5103)2139(2146)-0121(-3189)-1160(-3173)-0102(-12135)202006/4217©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()Granger,,,,(ECM)(ECM),,4,AICSC14GDPGDPClnx(-1)lnner(-1)lnp3/p(-1)lnv(-1)lny/y3(-1)R2S1E1F0103(0101)-0124(-2137)-0101(-0105)-0186(-0169)-0103(-1106)-0116(-1152)-0143(-4146)015101051311,,,,0143,,,,::200111,,19992000,,PPI,ner,,,2006/421721©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1]TilakAbeysinghe,TanLinYeok.ExchangeRateAppreciationandExportCompetitiveness.ThecaseofSinga2pore[J].JournalofAppliedEconomics,2005,30(1).[2]ChouWin-LinandChi-ChurChao.AreCurrencyDevaluationEffective?APanelunitRootTest[J].Eco2nomicLetters,2001,72(1).[3]GueDaeCho,MinKyoungKim,EdwinSun,HyunJin,WonW.Koo.NominalExchangeRateMisalignmentIsItParticularlyImportanttoAgriculturalTrade[R].Gribusiness&AppliedEconomicsReport,2003,No.516.[4]TaufiqChoudhry.ExchangeRateVolatilityandTheUnitedStatesExports:EvidenceFromCanadaandJapan[J].JournaloftheJapaneseandInternationaleconomies,2005,19(1).[5]DellAriccia,Giovanni.ExchangeRateFluctuationsandTradeFlows-EvidencefromtheEuropeanUnion[R].IMFWorkingPapers1998,No.107.[6]Rose,Andrew.OneMoney,OneMarket:EstimatingtheEffectofCommonCurrenciesonTrade[J].EconomicPolicy,2000,30(4).[7]SilvanaTenreyro.OntheTradeImpactofNominalExchangeRateVolatility[R].FRBofBostonWorkingPa2per,2004,No.03.[8]Khim-senLiew,Kian-PingLim,HuzaimiHussain.ExchangeRateandTradeBalanceRelationship:TheExperienceofASEANCountries[R].InternationalTrade,2003,No.0307003.[9].[M].:,1991.[10].[J].,1997(7).[11],.[J].,2002(6).[12],.[J].,2005(2).[13],.[J].,2005(2).[14]HasanVergil.ExchangeRateVolatilityinTurkeyandItsEffectonTradeFlows[J].JournalofEconomicandSocialReserch,2002,4(1).RelationshipbetweenRMBNominalExchangeRateandChineseExporttoEuroRegionSuYuhai1HuangXin2Abstract:ThispaperinvestigatestheinfluenceofthechangeandthevolatilityofRMBnominalexchangerateontheexportsofChinatoEuroregionduring1999to2005.Theunit-roottest,Johansenco-integra2tiontestanderror-correctmodelareapplied.ResultsindicateneitherthechangenorvolatilityofRMBnominalexchangeratehassignificantshort-runeffectonChineseexporttoEuroregion.Inthelongperiod,RMBnominalexchangerateappreciationcanimproveChineseexporttoEuroregion.ThevolatilityofRMBnominalexchangeratenegativelyaffecttheexporttoEuroregion.Keywords:empiricalanalysis;RMBnominalexchangerate;Chineseexporttoeuroregion[]F125[]A[]1000-8306(2006)04-0016-07222006/4217©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.