人民币汇率波动对中国股市的影响机制研究
发布时间：2019-05-11 21:50
【摘要】：通过协整检验和面板数据回归,检验汇率对股市影响的路径,并从宏观和微观(流动性和行业两个层面)研究二者时间的关系,结果表明人民币汇率与股市之间存在着相关关系,流动性与股市之间为正向相关关系,但是国际热钱与股市之间的相关关系并不显著;同时,汇率对不同行业股指的作用方向和影响程度并不相同,主要取决于行业的成本结构、出口价格弹性和外汇负债情况。但对于人民币汇率波动具体如何影响股市的问题,国内还有进一步深入研究的余地。
[Abstract]:Through cointegration test and panel data regression, this paper tests the path of the impact of exchange rate on the stock market, and studies the relationship between the two time from the macro and micro (liquidity and industry levels). The results show that there is a correlation between RMB exchange rate and stock market, and there is a positive correlation between liquidity and stock market, but the correlation between international hot money and stock market is not significant. At the same time, the effect of exchange rate on the stock index of different industries is not the same, which mainly depends on the cost structure of the industry, export price elasticity and foreign exchange debt. However, there is room for further in-depth study on how RMB exchange rate fluctuations affect the stock market.
【作者单位】： 中海基金管理有限公司;
【分类号】：F832.6;F832.51;F224
[Abstract]:Through cointegration test and panel data regression, this paper tests the path of the impact of exchange rate on the stock market, and studies the relationship between the two time from the macro and micro (liquidity and industry levels). The results show that there is a correlation between RMB exchange rate and stock market, and there is a positive correlation between liquidity and stock market, but the correlation between international hot money and stock market is not significant. At the same time, the effect of exchange rate on the stock index of different industries is not the same, which mainly depends on the cost structure of the industry, export price elasticity and foreign exchange debt. However, there is room for further in-depth study on how RMB exchange rate fluctuations affect the stock market.
【作者单位】： 中海基金管理有限公司;
【分类号】：F832.6;F832.51;F224
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