人民币汇率与中国股票价格的联动性研究

发布时间：2018-02-08 13:16

本文关键词： 人民币汇率股票价格联动性传导机制　出处：《广东商学院》2013年硕士论文　论文类型：学位论文

【摘要】：2005年的股权分置改革和人民币汇率形成机制改革打通了之前分割中国外汇市场和股票市场的壁垒，使得人民币汇率与中国股票价格之间的传导成为可能。而后各项改革措施的陆续出台及国际金融危机发生对汇率与股价两者之间的联动关系也造成了一定程度的影响。在此背景之下，本文展开对人民币汇率和中国股票价格联动性的研究。本文首先以汇率和股价的联动性基础理论及两者传导机制的理论入手，从经常项目和资本与金融项目两个角度定性地探讨汇率和股价的传导问题。在得出理论框架后，本文运用计量经济学的研究方法，构建一系列模型，定量地分析了汇率和股价的相关性和传导机制问题，对前文的理论结果进行了检验和补充。该部分的研究分为人民币汇率和中国股票价格联动性研究和传导机制研究两个部分，并从次货危机前中后三个阶段进行了考察。在联动性研究部分，本文主要考察了人民币汇率与中国股票价格之间的协整关系、因果关系以及两者之间的波动溢出效应；在传导机制研究部分，则侧重于对经常项目和资本与金融项目各传导渠道变量的考察。本文的最后部分为结论和政策建议，研究的结果表明股价与汇率在次贷危机前中后体现出了不同的相关关系。在得出结论之后，结合理论研究和国际国内经济形势，，本文对实证研究的结果进行了解释，该部分着重解释了次货危机前中后人民币汇率和中国股票价格的相关性以及传导机制产生差异的原因，即不同的传导机制在此阶段占主导作用从而使相关关系出现不一致。在此之后，本文提出了最终的结论和政策建议。
[Abstract]:In 2005, the split share structure reform and the reform of the RMB exchange rate formation mechanism broke through the barriers that had previously separated China's foreign exchange market from the stock market. The transmission between RMB exchange rate and Chinese stock price is possible. The successive introduction of various reform measures and the occurrence of international financial crisis have also resulted in a certain degree of linkage between exchange rate and stock price. Impact... in this context, This paper studies the linkage between RMB exchange rate and Chinese stock price. This paper begins with the basic theory of the linkage of exchange rate and stock price and the theory of transmission mechanism between them, and discusses the transmission problem of exchange rate and stock price qualitatively from the angles of current account and capital and financial account. In this paper, a series of models are constructed to quantitatively analyze the correlation and transmission mechanism between exchange rate and stock price. The research is divided into two parts: RMB exchange rate, Chinese stock price linkage and transmission mechanism. In the part of linkage research, this paper mainly studies the cointegration relationship, causality and volatility spillover effect between RMB exchange rate and Chinese stock price. In the part of conduction mechanism, it focuses on the current account and capital and financial project transmission channel variables. The final part of this paper is conclusions and policy recommendations. The results of the study show that the relationship between stock price and exchange rate is different before and after the subprime mortgage crisis. This paper explains the results of the empirical research. This part mainly explains the correlation between RMB exchange rate and Chinese stock price before and after the sub-commodity crisis, as well as the reason why the transmission mechanism is different. That is, different transmission mechanisms play a dominant role at this stage, resulting in inconsistent correlation. After that, this paper puts forward the final conclusions and policy recommendations.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F832.51

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