抄録
Since the advent of the flexible exchange rate system in 1973, various papers investigated the effects of exchange rate volatility on international trade flows. However, a basic paradox as to the impact of exchange rate volatility on trade flows remains unsolved at both the theoretical and empirical level. In this paper, we investigate whether real effective exchange rate volatility of renminbi has an effect on the export flows from China to Japan. In analysis, we investigate not only the short-run effect but also the long-run effect of the exchange rate volatility on the export flows. For this purpose, we use ARDL approach for estimation. Furthermore, in estimation of the exchange rate volatility, we use conditional variance estimated by GARCH model to avoid generated regressors problems indicated by Pagan (1984). As a result, we obtain that the exchange rate volatility does not have an effect on export flows in the long-run, while it has a significant negative effect on them in the short-run. These results mean that it is desirable for China to adopt the exchange rate regime reflecting the relation of foreign trade such as currency basket, because it is expected that international trade between China and East Asian countries is enlarged in the near future.
