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An Empirical Analysis of China’s Exports Based on JJ Cointegration Test and ECM

Author: ZuoFuJiang
Tutor: FangZhaoBen
School: University of Science and Technology of China
Course: Financial Engineering
Keywords: Export Foreign real income China 's relative export prices RMB exchange rate volatility Financial crisis Johansen cointegration test Error correction model
CLC: F752.62
Type: Master's thesis
Year: 2010
Downloads: 309
Quote: 2
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Abstract


Export has a very important role for the development of China's macroeconomic . Johansen cointegration test and error correction model , this paper mainly studies of actual exports and foreign income , relative export prices of Chinese foreign exports , the RMB exchange rate volatility among short-term and long-term relationship . Innovation of this paper , the following three points : first , the use of the monthly high frequency data , and unlike most of the existing research literature as quarterly data , which makes the conclusions drawn in this article robustness than big improvement ; paper data update , in particular, contains a full since the outbreak of the U.S. subprime mortgage crisis , the latest data , which allows us to accurately study the impact of U.S. subprime mortgage crisis and even the global financial crisis on China's export trade ; third , we considered in the modeling of China formally joined the WTO in December 2002 and July 21, 2005 from the impact of China's reform of the RMB exchange rate regime two structural model more in line with such established export China's actual , based on the conclusion of this model is more accurate . In this paper, draw four conclusions : first , Johansen cointegration test showed China 's actual exports and foreign actual income , there is a long-term stable equilibrium relationship between relative export prices of Chinese foreign exports . Second , China's export income high price elasticity . This shows that China's economic development to promote excessive dependence on external demand , economic growth endogenous underpowered . Third, the price elasticity of Chinese exports is also very high . This fully shows that China's export enterprises rely mainly on price advantage in the international market to compete . ECM model estimation results show that the RMB exchange rate volatility can lead to a reduction in the exports of China's actual foreign trade . Fifth , compared with using quarterly data , the use of the monthly high frequency data concluded from the whole more prominent reflects the deep-seated problems facing China's economic and export industries . Finally, given the seven targeted policy recommendations .

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CLC: > Economic > Trade and Economic > States foreign trade > China's foreign trade > Import and Export Trade Overview > Export trade
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