Asymmetric impact of the RMB exchange rate on China's exports based on MRSTR model
SHANG Yan1,2, ZHENG Guihuan3, SHAO Yanmin4
1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China; 2. Post-Doctoral Research Center, Industrial and Commercial Bank of China, Beijing 100032, China; 3. Department of Statistics and Analysis, The People's Bank of China, Beijing 100800, China; 4. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
Abstract：The research on impact of the exchange rate on China's export is significantly important both theoretically and practically. Considering the internal imbalance and the export cycle as two conditions, this paper investigated the asymmetric impact of the exchange rate on China's export from a new perspective based on multiple regime smooth transition regression models (MRSTR). The main results show that: 1) There is less impact of the exchange rate on China's export when the degree of internal imbalance is serious, while the power of impact increases with an improvement of internal imbalance; 2) The fluctuation of export cycle does not significantly affect the impact of the exchange rate on China's export if the degree of internal imbalance is serious, but the impact of the exchange rate on China's export is significantly increased in the export boom phase than that in the export bust phase when the degree of internal imbalance is low.
[1] Eckaus R. Should China appreciate the Yuan[R]. MIT Working Paper 04-16, 2004. [2] Marquez J, Schindler J. Exchange rate effects on China's trade[J]. Review of International Economics, 2007, 15(5): 837-853. [3] Thorbecke W, Smith G. How would an appreciation of the Renminbi and other East Asian currencies affect China's exports?[J]. Review of International Economics, 2010, 18(1): 95-108. [4] 卢向前, 戴国强. 人民币实际汇率波动对我国进出口的影响: 1994-2003[J]. 经济研究, 2005, 51(5): 31-39. Lu X Q, Dai G Q. The influence of fluctuation of real RMB exchange rate to Chinese import and export: 1994-2003[J]. Economic Research Journal, 2005, 51(5): 31-39. [5] 叶永刚, 胡利琴, 黄斌. 人民币实际有效汇率和对外贸易收支的关系——中美和中日双边贸易收支的实证研究[J]. 金融研究, 2006, 27(4): 1-11. Ye Y G, Hu L Q, Huang B. The relationship between RMB real exchange and foreign trade balance: Bilateral trade balance of China with US and Japan[J]. Journal of Financial Research, 2006, 27(4): 1-11. [6] 杨建辉,潘虹. 国际原油价格、人民币实际汇率与中国宏观经济研究[J]. 系统工程理论与实践, 2008, 28(1): 1-8. Yang J H, Pan H. Study on world oil price and real exchange rate with China's macro-economics[J]. Systems Engineering-Theory & Practice, 2008, 28(1): 1-8. [7] 董继华. 汇率、贸易弹性和经常账户[J]. 数量经济技术经济研究, 2008, 25(3): 30-42. Dong J H. Exchange rate, trade elasticity and current account[J]. The Journal of Quantitative & Technical Economics, 2008, 25(3): 30-42. [8] 王振全, 田延宾, 汪寿阳. 中国进出口贸易结构变化[J]. 系统工程理论与实践, 2009, 29(2): 10-17. Wang Z Q, Tian Y B, Wang S Y. On structural change in China's import and export[J]. Systems Engineering-Theory & Practice, 2009, 29(2): 10-17. [9] 周杰琦, 汪同三. 人民币实际汇率波动对我国贸易收支的影响——基于非对称协整的实证分析[J]. 经济问题, 2010, 32(1): 4-8. Zhou J Q, Wang T S. The impact of RMB real exchange on China's trade balance: Evidence from asymmetric cointegration test[J]. On Economic Problems, 2010, 32(1): 4-8. [10] 黄飞雪, 王云. 汇改前后实际汇率对中国向欧元区出口影响的比较[J]. 数量经济技术经济研究, 2011, 28(3): 90-103.Huang F X, Wang Y. Effects of real EUR/CNY exchange rate on the exports to Euro Area pre and post the exchange rate reform[J]. The Journal of Quantitative & Technical Economics, 2011, 28(3): 90-103. [11] 杨雪峰. 人民币汇率对我国出口影响的实证研究[J]. 世界经济研究, 2013(6): 40-44.Yang X F. An empirical research on the RMB exchange rate influence on export[J]. World Economy Study, 2013(6): 40-44. [12] 郭树清. 开放经济下的内外均衡与国际收支平衡[J]. 中国外汇, 2007(1): 12.Guo S Q. China's internal and external equilibrium and balance of international payments under open economy[J]. China's Foreign Exchange, 2007(1): 12. [13] 樊纲,魏强,刘鹏. 中国经济内外均衡与财税改革[J]. 经济研究, 2009, 55(8): 18-26. Fan G, Wei Q, Liu P. Internal and external imbalance and China's fiscal and tax policy reform[J]. Economic Research Journal, 2009, 55(8): 18-26. [14] 林桂军, Schramm R. 我国储蓄/投资差额的结构分析与经常项目顺差[J]. 财贸经济, 2008, 29(4): 11-17.Lin G J, Schramm R. China's saving/investment balance and current account surplus[J]. Finance & Trade Economics, 2008, 29(4): 11-17. [15] Teräsvirta T, Anderson H M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models[J]. Journal of Applied Econometrics, 1992, 7(S1): S119-S136. [16] Skalin J, Teräsvirta T. Another look at Swedish business cycles, 1861-1988[J]. Journal of Applied Econometrics, 1999, 14(4): 359-378. [17] Michael P, Nobay A R, Peel D A. Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation[J]. Journal of Political Economy, 1997, 105(4): 862-879. [18] Sarantis N. Modeling non-linearities in real effective exchange rates[J]. Journal of International Money and Finance, 1999, 18(1): 27-45. [19] Dijk D, Franses P H. Modeling multiple regimes in the business cycle[J]. Macroeconomic Dynamics, 1999, 3(3): 311-340. [20] Goldstein M, Khan M S. Income and price effects in foreign trade[J]. Handbook of International Economics, 1985, 2: 1041-1105. [21] 胡毅, 林建浩, 王明喜,等. 面板数据下的EG两步法[J]. 系统工程理论与实践, 2013, 33(12): 3112-3119. Hu Y, Lin J H, Wang M X, et al. Engle-Granger two-step method in panel data[J]. Systems Engineering-Theory & Practice, 2013, 33(12): 3112-3119. [22] Luukkonen R, Saikkonen P, Teräsvirta T. Testing linearity against smooth transition autoregressive models[J]. Biometrika, 1988, 75(3): 491-499. [23] Escribano A, Jordá O. Improved testing and specification of smooth transition regression models[M]. US: Springer, 1999. [24] 陈浪南, 苏海峰. 人民币汇率变动对中国出口的非对称影响研究[J]. 系统工程理论与实践, 2014, 34(9): 2212-2219. Chen L N, Su H F. The asymmetric impacts of RMB exchange rate on China's exports[J]. Systems Engineering-Theory & Practice, 2014, 34(9): 2212-2219.
2016, Vol. 36 
