本文選題：進(jìn)出口貿(mào)易 + VAR模型　； 參考：《廣西師范大學(xué)》2014年碩士論文

【摘要】：在過去的三十年中,進(jìn)出口對(duì)中國(guó)經(jīng)濟(jì)發(fā)展的貢獻(xiàn)舉世矚目。然而最近幾年由于金融危機(jī)等事件,外貿(mào)的形勢(shì)開始變得復(fù)雜多變,風(fēng)險(xiǎn)的增大要求更細(xì)致更量化地分析影響進(jìn)出口額的因素的傳導(dǎo)機(jī)制,為企業(yè)和政府提供決策幫助和建議。關(guān)于這個(gè)課題,國(guó)內(nèi)外學(xué)者已做了卓有成效的工作。前人主要使用向量自回歸模型、協(xié)整檢驗(yàn)和誤差修正模型等方法結(jié)合理論,得出各影響因素對(duì)進(jìn)出口額長(zhǎng)期的均衡和短期的動(dòng)態(tài)變化。但也存在數(shù)據(jù)陳舊,變量選取偏少,模型的使用單一無法進(jìn)行比較,短期沖擊反應(yīng)機(jī)制研究不足等問題。本文選取2002年1月至2012年12月的全國(guó)進(jìn)出口額、人民幣實(shí)際有效匯率、國(guó)際原油價(jià)格、外商直接投資、國(guó)內(nèi)工業(yè)增加值、流通中貨幣的供應(yīng)量、國(guó)內(nèi)居民物價(jià)指數(shù)、美國(guó)個(gè)人收入水平的月度數(shù)據(jù),運(yùn)用Eviews6.0、Microfit及ECVaR軟件建立VAR模型,協(xié)整模型,ARDL模型,并用脈沖響應(yīng)函數(shù),誤差修正,M-TAR模型研究短期變化趨勢(shì),在最后根據(jù)VaR/CVaR值對(duì)各模型進(jìn)行比較。得到各個(gè)影響因素與進(jìn)出口額長(zhǎng)期與短期的關(guān)系,并建立模型綜合各因素的作用。結(jié)果表明,人民幣的升值暫時(shí)對(duì)進(jìn)出口額沒有負(fù)面的影響；流通中貨幣的供應(yīng)量在短期內(nèi)可以一定程度上刺激外貿(mào),當(dāng)在長(zhǎng)期來看會(huì)抑制進(jìn)出口額的增長(zhǎng)；國(guó)際市場(chǎng)需求的變化對(duì)進(jìn)出額的影響較為顯著,我國(guó)的產(chǎn)業(yè)轉(zhuǎn)型升級(jí)迫在眉睫。通過研究我國(guó)進(jìn)出口貿(mào)易各影響因素的傳導(dǎo)機(jī)制和效應(yīng),在人民幣匯率政策、國(guó)內(nèi)貨幣政策制定及外貿(mào)產(chǎn)業(yè)升級(jí)轉(zhuǎn)型方面提出了基于研究結(jié)果的建議。得出我國(guó)應(yīng)保持穩(wěn)健的匯率政策,并且保持適度的波動(dòng)性,國(guó)內(nèi)貨幣政策應(yīng)充分調(diào)查研究緊跟市場(chǎng)變化。產(chǎn)業(yè)方面逐步提高產(chǎn)品技術(shù)含量和附加值。提高對(duì)全球性經(jīng)濟(jì)危機(jī)的抵御能力。
[Abstract]:In the past 30 years, the contribution of import and export to China's economic development has attracted worldwide attention. However, due to the financial crisis and other events in recent years, the situation of foreign trade has become more complex and changeable. The increase of risk requires a more detailed and quantitative analysis of the transmission mechanism of the factors affecting the import and export volume, so as to provide decision assistance and advice for enterprises and governments. Scholars at home and abroad have done fruitful work on this subject. Based on the theory of vector autoregressive model, cointegration test and error correction model, the long-term equilibrium and short-term dynamic change of import and export value are obtained by using the methods of vector autoregressive model, cointegration test and error correction model. However, there are some problems such as outmoded data, lack of variable selection, lack of comparison in the use of the model, and lack of research on the mechanism of short-term shock reaction. This paper selects the national imports and exports from January 2002 to December 2012, the real effective exchange rate of RMB, the international crude oil price, the foreign direct investment, the domestic industrial added value, the money supply in circulation, the domestic resident price index, Monthly data of American personal income level are used to establish VAR model by using Eviews6.0 / Microfit and ECVaR software, cointegration model and ARDL model, pulse response function and error correction M-TAR model are used to study the short term variation trend. Finally, the models are compared according to the VaR/CVaR value. The relationship between each influencing factor and the long-term and short-term of import and export is obtained, and the model is established to synthesize the effect of each factor. The results show that the appreciation of RMB has no negative effect on import and export value temporarily, the supply of currency in circulation can stimulate foreign trade to some extent in the short term, and in the long run it will restrain the growth of import and export volume. The change of international market demand has a significant impact on the import and export volume, and the industrial transformation and upgrading of our country is imminent. By studying the transmission mechanism and effect of the influencing factors of China's import and export trade, this paper puts forward some suggestions based on the research results in the aspects of RMB exchange rate policy, domestic monetary policy formulation and the upgrading and transformation of foreign trade industry. It is concluded that China should maintain stable exchange rate policy and moderate volatility, and domestic monetary policy should be fully investigated and studied to keep up with market changes. Industry has gradually increased the technical content and added value of products. Improving resilience to the global economic crisis.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F752.6;F224

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本文編號(hào)：1801403