Rmb Real Exchange Rate,International Balance Of Payments And Economic Growth

Based on the vector auto-regressive model,this paper establishes an analytical framework that includes the real exchange rate of RMB,the balance of payments and economic growth,in which the current and capital items under the balance of payments items are measured by import trade,export trade and foreign direct investment.In this paper,monthly data were used as analysis samples,ranging from August 2005 to May 2016,containing 130 sample data.First of all,this paper uses the literature combing method to sort out the related literatures between the RMB real exchange rate,the balance of payments and the economic growth,and use the theoretical basis to analyze the mutual influence among these variables.Then,in order to eliminate the seasonal factors and the impact of inflation as well as other factors,we use the X-12 seasonal adjustment method,CPI flattening and take the logarithm.This paper takes the five variables of RMB real exchange rate,import trade,export trade,foreign direct investment and GDP as the breakthrough point.Through the time series analysis method,we conduct empirical research to find the dynamic relationship among the real exchange rate of RMB and the current item and capital account under international balance of payments as well as economic growth.Firstly,through the unit root test to investigate the smoothness of the data,we found that the five variables are first order single sequence.Secondly,we use the AIC,SC and other information criteria to determine the optimal lag order,and establish the second-order vector auto-regressive model,VAR(2).The regression model is smooth through AR root test.Thirdly,in view of the variables are first-order single-integer,the cointegration test is used to determine whether there is a cointegration relationship between the variables.The results show that there are four cointegration relations among the five variables.Fourthly,we adopt Granger causality test to analyze whether there is a causal relationship between variables,and one-way or two-way relationship.The results show that:the real exchange rate depreciation is the export trade's Granger reason;China's import trade has an obvious effect on export,as the strong Granger reason of the export trade;economic growth is the strong Granger reason of the export trade;export trade is not the import trade's Granger reason,which has a small impact on import trade;there is a two-way relationship between import trade and economic growth;foreign direct investment has a positive impact on import trade.Fifthly,by using the impulse function analysis method to study the variation path of each variable subject to standard deviation,we find that:export trade and foreign direct investment have positive effects on economic growth,and the real exchange rate is different,the contribution of import trade to economic growth is small;the effect of foreign direct investment on import trade is more significant in the short term and more stable in the long term;economic growth has a positive impact on foreign direct investment,and the effect of foreign direct investment on import trade is very serious;the depreciation of real exchange rate has a positive effect on foreign direct investment in the short term,but there is a certain lag.In the long run,the depreciation of exchange rate has a negative impact on foreign direct investment.Economic growth has caused the appreciation of local currency,and the effect of import trade on real exchange rate is negative.Sixth,the variance decomposition analysis was used to study the contribution of different structural impacts to endogenous variables.The results were consistent with those of impulse response analysis.