人民币汇率变动紧缩性效应研究——基于辽宁经验分析.PDF

数量经济研究 The Journal of Quantitative Economics 第３卷 第1 辑 VoL.３. No.1 2012 年3 月 March 2012 人民币汇率变动的紧缩性效应研究 ——基于辽宁省经验的分析* 孙 刚 1 谷 宇 2 韩国高 3 (1 东北财经大学金融学院;2 大连理工大学经济系;3 东北财经大学数学与数量经济学院，辽宁，大连，116025) 摘要：本文首先建立了辽宁省的进口和出口的局部均衡模型，运用Engle-Granger 协整模型判断了人民币汇 率变动对辽宁省进口和出口的长期影响和短期冲击效应，结果表明，人民币汇率升值在长期内将导致辽宁 省出口下降、进口增长，恶化辽宁省贸易收支。进一步，本文构建了包含辽宁省经济总量、工资水平、价 格水平、财政收入、居民消费、人民币汇率的向量自回归模型，基于 Granger 因果检验和脉冲响应函数判 断了向量间的动态关系，结果表明人民币升值将对辽宁经济产生紧缩性效应，并在较长阶段对辽宁省经济 总量、财政收入和居民消费产生负向冲击效应。 关键字：辽宁省进出口；人民币汇率，协整模型；Granger 因果检验 ＪＥＬ分类号：Ｆ３ Study on the Effects of the Austerity of RMB Exchange Rate ——Based on the Experience of Liaoning Province Abstract:: This article firstly established the partial equilibrium model in the import and export of Liaoning Province, then using Engle-Granger cointegration model to determine the long-term effects and short-term knock-on effects which caused by the changing of RMB exchange rate on import and export of Liaoning Province. The results show that, in the long term appreciation of the RMB exchange rate will make a decline in exports and ascent in import of Liaoning Province, deteriorated the trade balance of Liaoning Province. Furthermore, we established the VAR model with parameters as economic output 、salary level、price level 、financial income、 consumption and RMB exchange rate. We determined the dynamic relationship between the variables by using the Granger causality test and impulse response function. The results show that, the appreciation of the RMB exchange rate will produce the effects of the austerity on the economy of Liaoning Province, and have negative effects on the economic output、financial income and consumption. * ［基金项目］:本文是国家