Effective Exchange Rate and Chinese Exports: An Empirical Analysis Based on GARCH-GED and VEC Models
Based on monthly data, Johansen multivariate cointegration methods and vector correction models (VEC) are applied to measure the impact of RMB effective exchange rate and its variability on total exports and exports classified by Standard International Trade Classification (SITC). RMB effective exchange rate variability is estimated by the conditional variance of GARCHGED model, i.e., a generalized autoregressive conditional heteroscedastic (GARCH) model where the error term comes from generalized error distribution (GED). The results show that price elasticity of foodstuffs & beverages and manufactured goods is rather high. The empirical analysis can’t deny that appropriate exchange rate variability is helpful to exports. In the long run, exchange rate variability upgrades Chinese industrial structure and improves the method of commercial trade.
Exports Johansenmultivariatecointegration VEC Exchange rate volatility GARCH-GED
Jinjing Liu Zhaoben Fang
Department of Statistics and FinanceUniversity of Science and Technology of ChinaHefei, Anhui, China Department of Statistics and Finance University of Science and Technology of China Hefei, Anhui, Chi
国际会议
广州
英文
1-4
2011-05-13（万方平台首次上网日期，不代表论文的发表时间）