人民币汇率与上证指数相关性的实证研究

发布时间：2018-01-16 02:07

本文关键词：人民币汇率与上证指数相关性的实证研究　出处：《华南理工大学》2012年硕士论文　论文类型：学位论文

【摘要】：2005年股权分置改革和汇率制度改革之后，我国股票价格和人民币汇率逐步回归市场化，二者之间的紧密联系和相互影响关系也逐渐显现。本文利用协整检验和Granger因果检验方法对2005年8月至2011年12月人民币汇率与上证A股、B股指数之间的相关性进行实证分析。本文首先对汇率与股票价格相关性的一般理论进行阐述，并对两者相互影响的传导机制进行分析，指出汇率与股票价格将通过以贸易余额、国际资本、利率、货币供应和心理预期为中介的传导机制产生相互影响。然后运用计量经济模型对次贷危机前后人民币汇率与股票价格之间的相关性进行实证研究。本文选取人民币名义有效汇率作为人民币汇率的代表，，选取上证A股和B股指数收盘价作为我国股票价格的代表，将研究区间划分为两个时期：2005年8月至2007年10月和2007年11月至2011年12月。先运用ADF方法检验各变量的平稳性，检验结果表明三个变量在两个时期内的时间序列数据均为一阶单整；再运用EG两步法和Johansen协整方法检验人民币汇率与上证指数的长期相关性和Granger因果检验验证二者的因果关系。实证分析的结果表明：人民币汇率和我国股市存在着一定程度的相关性，并且这种相关性随着经济环境的变化而不断改变。本文对两个不同时期人民币汇率和上证指数的相关关系进行比较分析和原因分析，得出以下结论：2005年8月至2007年10月期间，在以贸易余额、国际资本流动、货币供应量和心理预期为中介的传导机制共同作用下，人民币升值引起了我国A股市场和B股市场的上涨；A股市场的上扬通过贸易、货币需求、利率传导机制促使人民币汇率升值，但人民币汇率的变动对B股市场的表现并不敏感。2007年11月至2011年12月期间，国内和国际经济环境的转变导致人民币汇率对A股市场和B股市场的影响有所弱化；人民币升值通过以贸易余额、国际资本流动和货币供应量为中介的传导机制引起我国A股市场的下跌；A股市场的大幅震荡导致热钱流入加剧，引起人民币升值；而B股市场的表现主要通过贸易传导机制对人民币汇率的变动产生负向的影响。最后，本文并结合日本股市在“广场协议”后的表现，在加强对国际资本流动的监控和加快市场利率化改革等方面对维护我国外汇市场和股票市场的稳定提出相应的政策建议。
[Abstract]:After the reform of the split share structure and the exchange rate system in 2005, the stock price and RMB exchange rate in China gradually returned to marketization, and the close relationship and mutual influence between the two appeared gradually. This paper uses cointegration test and Granger causality test to analyze the RMB exchange rate and Shanghai Stock Exchange A from August 2005 to December 2011. Firstly, this paper expounds the general theory of the correlation between the exchange rate and the stock price, and analyzes the transmission mechanism of the interaction between the exchange rate and the stock price. Points out that exchange rates and stock prices will be based on trade balances, international capital, and interest rates. The transmission mechanism of money supply and psychological expectation is interacted. Then the correlation between RMB exchange rate and stock price before and after the subprime mortgage crisis is empirically studied by using econometric model. This paper selects the people to study the relationship between the RMB exchange rate and the stock price before and after the subprime mortgage crisis. The nominal effective exchange rate of RMB is the representative of RMB exchange rate. The closing price of Shanghai Stock Exchange A and B share index is chosen as the representative of Chinese stock price. The study interval is divided into two periods: August 2005 to October 2007 and November 2007 to November 2007. First, the ADF method is used to test the stability of the variables. The test results show that the time series data of the three variables in the two periods are all one-order and single-integer. EG two-step method and Johansen cointegration method are used to test the long-term correlation between RMB exchange rate and Shanghai Stock Exchange Index and Granger causality test to verify their causality. :. There is a certain degree of correlation between RMB exchange rate and Chinese stock market. And this correlation changes with the change of economic environment. This paper makes a comparative analysis and cause analysis on the relationship between RMB exchange rate and Shanghai Stock Exchange Index in two different periods. The following conclusions are drawn: from August 2005 to October 2007, the transmission mechanism is mediated by trade balance, international capital flow, money supply and psychological expectation. The appreciation of RMB has caused the rise of A-share market and B-share market in China. A-share market rally through trade, currency demand, interest rate transmission mechanism to promote the appreciation of the RMB exchange rate. However, the RMB exchange rate is not sensitive to the performance of the B-share market. November 2007 to December 2011. The change of domestic and international economic environment leads to the weakening of the influence of RMB exchange rate on A-share market and B-share market; RMB appreciation causes the decline of A-share market through the transmission mechanism of trade balance, international capital flow and money supply. The large volatility of the A-share market led to the intensification of hot money inflows, causing the appreciation of the RMB; The performance of B-share market mainly through the trade transmission mechanism has a negative impact on the change of RMB exchange rate. Finally, this paper combined with the performance of Japanese stock market after the Plaza Agreement. In the aspects of strengthening the supervision of international capital flow and speeding up the reform of market interest rate, the corresponding policy suggestions are put forward to maintain the stability of China's foreign exchange market and stock market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F832.51;F224

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