汇率波动第三国效应对中国出口的影响

摘要

现有国内研究汇率波动对贸易的影响都没有考虑第三国效应，而中国在全球生产网络中的地位使得中国的出口必然受到汇率波动第三国效应的影响。文章基于中美日三国的东亚三角贸易模式，首先利用三角贸易指数刻画了中美日三国三角贸易的动态演变，并对“日本出口中国”和“中国出口美国”的贸易数据进行格兰杰因果检验，证实了“日本出口中国中间品-中国出口美国消费品”的贸易模式是中美日三角贸易关系的实质内容。然后建立了包含美元和日元兑人民币汇率波动变量的中美出口贸易协整，研究结果表明在长期内中国对美国出口贸易中都存在显著的汇率波动的第三国效应，在长期内日元兑人民币汇率波动对中国对美出口有正向的显著的第三国效应，其效应弹性要小于中美汇率双边波动效应弹性并与之方向相反，最后是研究结论的政策含义。%The existing literature about RMB exchange rate volitility's effect on China's export did not consider the third country effect. Based on the triangular trade pattern in East Asia production networks among China , the United States and Japan,the paper first uses triangular trade index to portray the triangle trade development between China and the United States and Japan,and with trade data of testing Granger causality,it confirms that the trade pattern ,that is,Japan exports intermediate goods to China and then China assembles and exports final goods to the United States,is the essence content of the triangle trade among China ,the United States and Japan.Then it sets up export co-integration model including the variables of US dollar and Japanese Yen against the RMB exchange rate volatility between China and the United States. The results show that China’s export to the United States has significant third countries effect of exchange rate volatility.