The Application of VAR Model in Economic Interaction: The Case of China E-Commerce and Trade

摘要

Vector auto regression model (VAR) is widely used in the researches of variables interactions. China’s cross-border e-commerce and trade volume has grown rapidly in recent years. But it is uncertain that there is interaction between the common growth and the VAR model can be used to explain that. Based on these issues, this paper collected data on China’s cross-border e-commerce and trade growth from 2001 to 2015 so as to establish the VAR model of cross-border e-commerce and trade growth by using Augmented Dickey–Fuller test, Granger causality test and co-integration test. From the results, VAR model has great explanation for the interactive relationship between e-commerce and trade growth. There is a long-term equilibrium between both. On the other hand, the pulse response analysis found the stability for this long-term equilibrium.