人民币汇率波动对上海市进出口影响实证研究

毕业设计（论文）共29页第1页┊┊┊┊┊┊┊┊┊┊┊┊┊装┊┊┊┊┊订┊┊┊┊┊线┊┊┊┊┊┊┊┊┊┊┊┊┊人民币汇率波动对上海市进出口影响实证研究金融学安金池指导老师郭英【摘要】随着1973年布雷顿森林体系的崩溃，世界各国纷纷放弃固定汇率制度，转而采取浮动汇率制度。这一举措也使得发达国家与发展中国家法定货币的汇率显示出比采用固定汇率制度时期更大的波动特性，各国的贸易增长速度也因此明显放缓，世界主要货币汇率的大幅度波动给国际贸易带来了一定的影响。此后，国际理论界开始察觉到汇率波动与国际贸易也有着十分重要的联系，兴起了对于汇率波动理论和经验的研究分析。观之中国，2005年汇率体制改革之前人民币汇率长期盯住美元，波动幅度很小；然而，在2005年汇改以及2008年国际金融危机的背景下，人民币逐渐呈现出波动性，汇率风险问题渐渐呈现在大家面前，国内也开始注重汇率波动对国际贸易的影响。中国是典型的出口导向型国家，并且上海市是中国的贸易大市，因此本文拟通过研究上海市的具体情况以更清楚地了解汇率波动对于区域出口贸易的作用影响，并根据上海市的经验提出符合我国以及上海市实际情况的参考意见。本文主要研究汇率波动对地区出口贸易的影响。以上海市的最大贸易伙伴国美国为样本国家，根据相关理论提出本文测量汇率风险的方法并取得相应的人民币汇率波动率，然后引入国际理论界关于此方面研究通用的出口模型，考察出口贸易量与进口国收入、人民币双边实际汇率以及相应汇率波动率的长短期关系，经过实证分析得出以下结论：上海市对美国的出口额在长期内会受到汇率波动的显著正面冲击，但是短期内汇率波动对出口的影响较微弱，且不具统计意义上的显著性。最后，本文指出随着汇率体质改革的深入，人民币汇率浮动弹性加大是一种长期趋势，因此汇率调整应在稳健、适当幅度的前提下进行，以有效控制汇率风险，从而避免我国、我市出口贸易受到汇率大幅度波动的剧烈影响，这对于我国经济保持平稳健康发展具有积极的意义。【关键词】汇率波动；双边实际汇率；出口贸易；协整检验毕业设计（论文）共29页第2页┊┊┊┊┊┊┊┊┊┊┊┊┊装┊┊┊┊┊订┊┊┊┊┊线┊┊┊┊┊┊┊┊┊┊┊┊┊AnempiricalstudyoftheimpactofRMBexchangeratefluctuationsontheimportandexportofShanghai【Abstract】WiththecollapseoftheBrettonWoodssystemin1973,thecountriesintheworldgaveupthefixedexchangerateregimeoneafteranotherinfavorofthefloatingexchangerateregime,whichmadetheexchangerateofthedevelopedanddevelopingcountries'legalcurrenciestakeonlagervolatilitythanthatintheperiodofthefixedexchangerateregime.Thegrowthspeedoftheworldtradealsosloweddownobviously.Thefluctuationoftheworld'smajorcurrencies'exchangeratehadaninfluenceontheinternationaltradetoacertainextent.Sincethen,theinternationaltheoryfieldwasbeginningtorealizetheimportantrelationbetweentheexchangeratevolatilityandinternationaltrade,whichmotivatedthetheoryandempiricalstudyonthisaspect.InviewofChina,theexchangerateofRMBhadbeingpeggingtotheU.S.dollarforalongtimebeforetheexchangeratereformin2005,whichshowslittlevolatility.However,onthebackgroundoftheexchangeratereformin2005andtheinternationalcrisisin2008,theexchangerateofRMBgraduallytakesonanincreasingvolatilety.Theexchangerateriskisbeginningtoemerge.Chinaalsostartstopayattentiontotheeffectoftheexchangeratevolatilityoninternationaltrade.Chinaisatypicalexport-orientedcountry,andShanghaiplaysanimportantroleinChina'sexport,sothispaperistostudythespecificcircumstanceofShanghaiinordertolearnmoreclearlythemechanismthattheexchangeratevolatilityaffectstheregionalexport,andtogivesomesuggestionsconsistentwiththeactualsituationofChinaandShanghaiaccordingtotheexperienceofShanghai.Thispapermainlywantstoexploretheeffectoftheexchangeratevolatilityonexport.ChoosingShanghai'smostlargesttradingpartners－U.S.asthesamplecountries,thepaperpointsoutthemeasurementmethodoftheexchangeriskaccordingtosomerelatedtheoryandabstractstherelativeexchangeratevolatility.Thenthepapermakesuseofthegeneralexportmodelonthisaspectinthetheoryfiledtoexploretheshortandlongtermrelationshipofthebilateraltrade,theimportingcountry'income,theRMBbilateralrealexchangerateandthecorrespondingexchangeratevolatility.Aftertheanalysis,thepaperconcludesasfollows:theexchangeratehasasignificantpositiveimpactontheexportofShanghaitotheU.S.inthelongterm,buttheimpactoftheexchangerateontheexportisveryweakintheshorttermwhichisnotstatisticallysignificant.Finally,thepaperpointsoutthatwiththedeepeningoftheRMBexchangeratereform,anincreasingexchangeratevolatilitywillbecomealongtermtrend.Becauseofthis,theexchangerateshouldbeadjustedunderthepremiseofthestabilityandtheappropriaterangeinordertocontroltheexchangerateriskeffectively,avoidingthelagerimpactoftheexchangeratevolatilityonChina'sandShanghai’sexport,whichhasapositivesignificanceonremainingChina'seconomystableandhealthy.【Keywords】VolatilityofExchangeRate;BilateralRealExchangeRate;Export;Cointegrationtest毕业设计（论文）共29页第3页┊┊┊┊┊┊┊┊┊┊┊┊┊装┊┊┊┊┊订┊┊┊┊┊线┊┊┊┊┊┊┊┊┊┊┊┊┊目录一、绪论......................................................................4(一)选题背景..................................................................4(二)本文框架..................................................................4(三)研究思路及研究方法........................................................51.研究思路..............................................................52.研究方法..............................................................5二、文献综述..................................................................7(一)马歇尔-勒纳条件与J曲线效应...............................................71.国外主要实证文献......................................................72.国内主要实证文献......................................................8(二)汇率波动性研究............................................................81.国外主要实证文献......................................................92.国内主要实证文献......................................................9(三)文献述评..................................................................9三、人民币汇率波动的计量.....................................................11(一)人民币汇率制度现状.......................................................11(二)人民币汇率变化的统计分析.................................................111.人民币兑美元汇率走势.................................................112.人民币实际有效汇率走势...............................................11(三)汇率波动的测量..