:1994 2003 ( 200433) :Marshall2Lerer (ML),, ML (coitegratig VAR), 1994 2003,,ML ; J : ML J 1998,, 2002,,,,,,,,,, Marshall2Lerer (ML) ML,, VAR ARDL,, ML, J,, ML,,,ML, (Boyd,2001) Houthakker ad Magee (1969) :, Rose ad Yelle (1989) G 7 1960 ( ) OECD Marquez (1990) (bad spectrum) 31
: :1994 2003,, ML, Marquez,,, ML, Bahmai2Oskooee ( 1998), Bahmai2Oskooee Niroomad(1998) ML, Rose (1991) 1974 1986, ( ),ML Boyd (2001),, 8 5 ML Boyd (2001),,Egle2Grager ( Rose,1991),Johase2Juselius ( D1 Boyd et al,2001 ;Wilso, 2001), Pesara (ARDL) ML ( Kora, 2002) ML, Chua Sharma (1998),,,, Wilso (2001),,,,, (1991) 1970 1983, 016871 010506,, (1992) 1980 1989 : 013007, 017241, 110248,, ML, (1997) 1981 1995, - 110331, IMF - 013, 1, ML (2002) 1994 2000 1993 2000, :1994, 1994, Jeffery Frakel :, : (1), :, (Coakley et al, 1996 ;Boyd ad Smith, 1999),, (2) 8 Jeffery Frakel, 2004 4 32
, ( 15 ),, ; (3) (,1996 ;,2002),,, :,,, (Reihart,1995), 1 ML ( :Bahmai2Oskooee,1998 ;Bahmai2Oskooee ad Niroomad, 1998),,,,, ML ( Rose, 1991 ; Lee ad Chi, 1998, Boyd, 2001 ), ( ),, ML, Y, PM, PD, S ( ) ; Y 3 PX, PX 3,, S ( ) ( Hauthaker ad Magee, 1969 ; Wilso ad Takacs, 1979 ; Reihart, 1995) : M d = M d ( Y, PM, PD, S) (1) X d = X d ( Y 3, PX, PX 3, S) (2), M d, X d, PD = PX = P ( P ), PM = PX 3 = P 3 ( P 3 ),, : E = S P 3 Π P, : M d = M d ( Y, E) (3) X d = X d ( Y 3, E) (4) (Wilso & Takacs, 1979),, ( ) : m t x t = m m y t m e t (5) = x x y 3 t x e t (6) m < 0,, x > 0, ML, (5), m > 0, m < 0 ;, (6), x > 0, x < 0 ( Kara, 2002),, : z t = m t - ( y t e t ) ( ) x 3 t = 33
: :1994 2003 ( m t, e t, y t ), Z t P (VAR) : x 3 t = z t - 1 p i x 3 t - 1 + u t (7), 3 3 1 VECM (structural coitegratig VARDL),,,, (Boyd,2001) VARDL ARDL ARDL : : m t = mi e t - i x t = xi e t - i mi y t - i xi y 3 t - i mi m t - i xi x t - i m z t - 1 + u t (8) x z t - 1 + u t (9) ARDL (7) (8), m, x < 0,, ; ( Greee,2000) m x, 12 1 ( 12 CPI ; CPI (, CPI CPI ) ; GDP, (,2000 ) ;, : (1) ( ) ( 1994 1 ) ; (2),, (2002) 1994 2000,,, (2002),, (Pidyck, 1998) ( Eviews3. 1 ), 34 ex im e y Y 3 d(0) - 2140968-2134545 - 1194834 21486143-2139922 1, t, i 3, t, i 2, t, i 4, t, i 4, t, i d(1) - 1014626 33-9168321 33-6117809 33-6190701 33-2161265 33 1, t, i 2, t, i 1, t, i 4, t, i 3, t, i :d(i) I, 33 1 %, t,t ;i,i, AIC
;,, IMF, 1, ADF AIC SBC( ), 10 %,,,, 1 %,, I(1) Johase ad Juselius (1990) (coitegratig VAR), Pesara (1996) (ARDL) ( ) ML : coitegratig VAR (coitegratig VAR),, (8) (9), (,2000 ; Pesara MH,Shi Y1995) Pesara ad Smith (1998), (coitegratig VAR),,,, AIC SBC, Pesara, (Pesara MH,Smith RP,1998) (M - r) M X 3, M = 3 r = 0, 1,,M - 1 (M), (M - 1),, (1) (M), Johase, (M),, (M - 1) (M - 1), ; (M - 1), (M - 2), (M - r) 2, ex (M - 0) > 2 281436 ( 10 % ), ex (M - 1) < 151583 ( 10 %,Joahso &Juselius,1990), ex (M - 0) ex (M - 1) im (M - 0) im (M - 1) ex e y 3 10 % 28190128 13131242 37138405 41450686 im (M - 0) > 371291 ( 1 % ), im (M - :M = 3 1) < 211962 ( 1 % ), im e,y 1 %, 3 4 (8) (9) 3 4,, ; ARDL, ; 3 4, e 0, e 0, 318 Chua ad Sharma (1998), 0122 2129 0132, ex im Boyd(2001), 10 %, 35
: :1994 2003 3 ARDL ex e y 3 itercept tred 1 11880952 (2119652) - 41273173 ( - 2143097) 61272347 (0198501) log ru coefficiet lag 1 2 3 4 5 6 ex e - 01411373 ( - 4130139) - 01048363 ( - 0107631) - 01110481 ( - 1127945) - 01658584 ( - 1105574) y 3 01505667 ( - 0131112) 41700828 ( - 2188846) ecm( - 1) - 01073548 ( - 1165024) : T,,, AIC 4 ARDL im e y itercept tred 1-11959384 ( - 2178271) 01970525 ( - 1135188) log ru coefficiet lag 1 2 3 4 5 6 im - 0175103 ( - 7121191) - 01365112 ( - 2192986) - 01284468 ( - 2135397) - 01071748 ( - 0180802) e 01402997 (0156293) 01328305 (0145995) - 01812303 ( - 1111195) - 01447212 ( - 0161040) y - 0101398 ( - 0104252) - 01138264 ( - 0149694) 01431865 ( - 1161455) 01098289 (0139930) ecm( - 1) - 01006277 ( - 012699) : T,,, SBC ML,,, : (1),,, (2), ( J ), (3), 1994,, 36
(4) (1997) 1981-1995 ( ),, 1,, 1981 53 % 2002 90 % 80 80 % 1 1981 2002 J,,, J (Wilso,2001) ( ) 3 4 ECM( - 1),,,, Kara (2002),,, 28 24,, ( ),e 0, e ( ),,,e 0,, e,,, J,J,,,, ( ),,,, J :Wilso (2001), 3 J J (Boyd,2001),, 1994 2003 90 %,2001 98 %, 37
: :1994 2003,,1998 2001 1 %, 10 % (,2002), :,,ML, J,,,,, 1995, 2002,,,,,,,, ( ),,,,,,,,,,, 30, 2004 6 6,,,,, 89 96.,1992 :,,1997 : :1981 1995, 7,2000 :,,1991 :,,2002, 1949 2000, Bahmai2Oskooee,1998,Coitegratio Approach to Estimate the Log2ru Trade Elasticities i LDCs, giteratioal Ecoomic Jouralg 12 : 38
Bahmai2Oskooee, ad Niroomad, 1998, Log2ru Price Elasticities ad the Marshall2Lerer Coditio Revisited, Ecoomics Letters, 61 : 101 109. Boyd D., et al, 2001, Real Exchage Rate Effects o the Balace of Trade, Iteratioal Joural of Fiace ad Ecoomics, 6 : 201 216. Boyd D., ad Smith R., 1999, Testig for Purchasig Power Parity : Ecoometric Issues ad A Applicatio to Developig Coutries. Machester School, 67 : 287 303. Chua, ad Sharma, 1998, A Ivestigatio of the Effects of Price ad Exchage Rates o Trade Flows i East Asia, Asia Ecoomic Joural, 12 : 253 271. Coakley, et al, 1996, Curret Accout Solvecy ad the Feldstei2Horioka Puzzle, Ecoomic Joural, 106 : 620 627. Greee W. H.,Ecoometric Aalysis,2000,Pretice Hall Ic.,4th Editio,2000. Houthakker H, Magee S, 1969, Icome ad Price Elasticites i World Trade, Review of Ecoomics ad Statistics 51 :11 125. Johase,S.,ad Juselius K.,1990,Maximum Likelihood Estimatio ad Iferece o Coitegratio,with Applicaito for the Demad for Moey, Oxford Bulleti of Ecoomics ad Statistics,52 :169 210. Kara O.,2002,Determiats of Trade Flows :Speed of Adjust,the Uiversity of Wiscosi2Milwaukee. Lee,Chi 1998, the Curret Accout ad the Real Exchage Rate : A Structural VAR Aalysis of Major Currecies, NB ER Workig Paper No. 6495. Marquez J, 1990, Bilateral Trade Elasticities, greview of Ecoomics ad Statisticsg, 72 : 70 77. Pidyck R. S.,Rubifeld D. L.,1998,Ecoometric Models ad Ecoomic Forecasts,4th,the McGraw2Hill Compaies,Ic. Pesara M. H.,Smith RP,1998,Structural Aalysis of Coitegratig VARs, Joural of Ecoomic Survey 12 (5) :471 505. Pesara M. H.,Shi Y,1996,Coitegratio ad the Speed of Covergece to Equilibrium, Joural of Ecoometrics,71 :117 143. Pesara M. H.,Shi Y,1995,A Autoregressive Distributed Lag Modelig Approach to Coitegratio Aalysis,Preseted at the Symposium at the Ceteial of Ragar Frisch. Reihart,1995,Devaluatio,Relative Price,ad Iteratioal Trade, IMF Staff Paper,42 :290 312. Rose A. K. 1991,The Role of Exchage Rates i A Popular Model of Iteratioal Trade :Does the Marshall2Lerer Coditio Hold? Joural of Iteratioal Ecoomics 30 :301 316. Rose A. k.,yelle,1989,is This a J2curve?, Joural of Moetary Ecoomics,24 :53 56. Wilso P.,2001,Exchage rate ad the Trade Balace for Dyamic Asia Ecoomies2Does the J2curve Exit for Sigapore,Malaysia ad Korea, Ope Ecoomies Reviews,12 :389 413. Wilso J. F.,Takacs W. E.,1979,Differetial Resposes to Price ad Exchage Rate Iflueces i the Foreig Trade of Selected Idustrial Coutries, Reviews of Ecoomics ad Statistics,61 :267 279. The Ifluece of Fluctuatio of Real RMB Exchage Rate to Chiese Import ad Export : 1994 2003 Lu Xiagqia & Dai Guoqiag (Shaghai Uiversity of Fiace ad Ecoomics) Abstract :Marshall2Lerer coditio is oe of importat foudatios of macroecoomic policies. Now, RMB is facig pressure of appreciatio. At this time, it s istructioal to reexamie ML coditio for cetral bak s costitutig exchage rate policy. This paper is a empirical examiatio of log ru relatioship betwee Chiese iteratioal trade flow ad real weighted effective RMB exchage rate to mai currecies of the world from 1994 to 2003. The empirical result is that real RMB exchage rate remarkably iflueced Chiese import ad export,ml coditio held ad there is J curve effect i Chia. Key Words :Real RMB Exchage Rate ; Import ad Export ; ML Coditio ; J Curve Effect JEL Classificatio :F310, C320 ( : ) ( : ) 39