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Empirical Analysis of RMB Effective Exchange Rate and Chinese Exports

Author: LiuZuoZuo
Tutor: FangZhaoBen
School: University of Science and Technology of China
Course: Financial Engineering
Keywords: Exchange rate Export SITC GARCH GED Cointegration Error correction model
CLC: F832.6;F752.62
Type: Master's thesis
Year: 2011
Downloads: 150
Quote: 2
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Abstract


Increasingly serious in the exchange rate issue , increasing pressure on the appreciation of the renminbi , the increasingly prominent issue of international trade friction , trade exchange rate issue is politicized context , based on monthly data , the quantitative use of Johansen cointegration test and vector error correction model (VEC model ) RMB effective exchange rate and its volatility on exports . RMB effective exchange rate volatility with a combination of GARCH models with GED distribution model to characterize this is a unique place in this article . Taking into account the different departments by the direction and impact of the extent of the impact of the exchange rate may not be the same article also study and compare the impact of exchange rates on exports of different departments . Sectoral Classification the Reference Standard International Trade Classification Act ( SITC ) . The analysis results show that : the food and beverage category , the price of industrial products exports by Chinese food and beverage and industrial products exports by price advantage to win lower bargaining power . The prices of industrial raw materials like low coefficient of industrial raw materials is less affected by the exchange rate and price movements . The empirical results of fluctuations in exchange rates can not be denied appropriate exchange rate fluctuations is conducive to China's exports . In the long run , you can not deny that exchange rate fluctuations can promote the upgrading of the industrial structure , trade patterns adjust . The article is structured as follows : The first chapter is the introduction , describes the research background , the meaning and purpose of the topic , has been summarized difficulty and innovation , as well as articles framework structure . First introduced in the second chapter , some knowledge of the exchange rate , and then summarized the main measure of exchange rate volatility , and finally the analysis of effects of exchange rate effects . The third chapter is a model and knowledge to be used in the paper under review , such as non - stationary time series and stationary test , cointegration test and error correction model . Chapter empirical results and analysis . Using monthly data , we model the various export and found that the long-term and short-term impact of exchange rate volatility on exports . The fifth chapter summary.

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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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