An Empirical Analysis Of Impact Of RMB Real Effective Exchange Rate Fluctuations On Industry-specific Imports And Exports

After the collapse of the Bretton Woods system,the international financial market floating exchange rate system set up and the world financial liberalization began,resulting in increased the volatility of the exchange rate of different countries.Since the 21 st century,trade cooperation among countries in the world increased with high-speed growth.Both of domestic and foreign environment require China to speed up the realization of the marketization of exchange rate,what has contributed to increase the RMB appreciation pressure.According to the International Monetary Fund released data showed,during July 2005 to July 2005 the RMB real effective exchange rate index from 85.23 to 134.22,the cumulative increase of up to 55.6%.With a deepening reform of the RMB exchange rate formation mechanism,the RMB exchange rate's floating range gradually widen and adjustment is more elastic,which lead to more various attention to the impact of RMB exchange rate.This paper summarizes literatures of theoretical research and empirical analysis about the influence of RMB real effective exchange rate fluctuations on imports and exports,and finds domestic and foreign scholars couldn't form a consistent conclusion in both theoretical and empirical aspects that due to different empirical analysis technology and different industry divisions.Based on the above factors,it is necessary to pay attention to select appropriate sample data and empirical technology,discuss the relationship of our country industry import and export and RMB exchange rate fluctuation in this paper.This paper sets up an appropriate model which suits for industry classification level data,based on the autoregressive distributed lag model and error correction model.Then,this paper uses the total import and export data with different industry's import and export data of SITC one-digit commodity classification to estimate,and compares estimation results to test whether using data there is aggregation bias when using the aggregation data.Lastly,according to SITC 2 digit commodity code classification of 65 industries import and export data,using a co-integration analysis to investigate the long-term equilibrium relationship and the short-term fluctuation relationship between RMB real effective exchange rate volatility,the RMB real exchange rate level value change,the actual income level and different industries import and export.Empirical analysis results shows: compared to the 10 categories of industry data,using the aggregation data for empirical analysis occurred aggregation bias phenomenon.Some significant trade elasticity coefficients which are estimated from categorical import and export demand model,appear to offset each other.As a results,it is indispensable to use categorical data to empirical analysis.In the long term,China's overall import and export are not significantly influenced by fluctuation of RMB exchange rate,and the impact on imports from currency appreciation is significantly greater than the impact on exports.In the short term,the RMB real effective exchange rate volatility's influence shows more signally,characterized by asymmetric with hysteresis quality.Therefore,in the long run it will not disturb the development trend of foreign trade.At the same time,the actual income at home and abroad is also an important factor affecting China's international trade.Finally,according to the empirical conclusions,combined with the actual environment of the increasingly market-oriented RMB exchange rate formation mechanism,while fully aware of the two-way fluctuation of RMB exchange rate of the new normal,this paper brings forward some policy recommendations.