我国股市与汇市之间关系的再检验——基于滚动时间窗口技术和阈值误差修正模型的证据
发布时间：2018-08-03 07:41
【摘要】：本文采用滚动时间窗口的技术,基于协整检验和Granger因果检验的方法,检验我国股票市场和人民币兑美元汇率之间的联动关系。实证结果表明,股价与汇率之间长期均衡关系是随时间变化的。2008年之前,股价与汇率之间总体上不存在长期均衡关系,而且仅存在汇率到股价的单向引导关系。2008年之后,二者之间总体上存在显著的长期均衡关系,而且股价与汇率互为对方变动的Granger原因。运用阈值误差修正模型,我们发现股价与汇率之间的短期均衡存在显著的非对称效应。汇率对股价的短期影响要远远大于股价对汇率的影响。
[Abstract]:Based on cointegration test and Granger causality test, this paper uses the technology of rolling time window to test the linkage between the stock market and RMB / US dollar exchange rate. The empirical results show that the long-term equilibrium relationship between stock price and exchange rate changes with time. Before 2008, there was no long-term equilibrium relationship between stock price and exchange rate, and there was only a one-way guide relationship between exchange rate and stock price. There is a significant long-term equilibrium relationship between the two, and the stock price and the exchange rate are the Granger reasons for each other's movements. Using the threshold error correction model, we find that there is a significant asymmetric effect in the short-term equilibrium between stock price and exchange rate. The short-term effect of exchange rate on stock price is far greater than that of stock price on exchange rate.
【作者单位】： 苏州大学商学院;苏州大学;
【分类号】：F832.51;F832.52
[Abstract]:Based on cointegration test and Granger causality test, this paper uses the technology of rolling time window to test the linkage between the stock market and RMB / US dollar exchange rate. The empirical results show that the long-term equilibrium relationship between stock price and exchange rate changes with time. Before 2008, there was no long-term equilibrium relationship between stock price and exchange rate, and there was only a one-way guide relationship between exchange rate and stock price. There is a significant long-term equilibrium relationship between the two, and the stock price and the exchange rate are the Granger reasons for each other's movements. Using the threshold error correction model, we find that there is a significant asymmetric effect in the short-term equilibrium between stock price and exchange rate. The short-term effect of exchange rate on stock price is far greater than that of stock price on exchange rate.
【作者单位】： 苏州大学商学院;苏州大学;
【分类号】：F832.51;F832.52
【参考文献】
相关期刊论文 前7条
1 宋军,吴冲锋;基于分散度的金融市场的羊群行为研究[J];经济研究;2001年11期
2 孙培源,施东晖;基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷[J];经济研究;2002年02期
3 范致镇;陈秀权;;汇率与股价的溢出效应及长期联动性——基于汇改后中国市场的实证研究[J];金融理论与实践;2010年01期
4 张碧琼,李越;汇率对中国股票市场的影响是否存在:从自回归分布滞后模型(ARDL-ecm)得到的证明[J];金融研究;2002年07期
5 董志勇;韩旭;;基于GCAPM的羊群行为检测方法及中国股市中的实证依据[J];金融研究;2007年05期
6 邓q，
本文编号：2161067
本文链接：https://www.wllwen.com/guanlilunwen/bankxd/2161067.html
