人民币兑美元汇率波动影响我国股票价格的实证研究

发布时间：2018-02-16 15:24

本文关键词： 汇率股价传导机制向量误差修正模型　出处：《中南大学》2012年硕士论文　论文类型：学位论文

【摘要】：外汇市场和股票市场是一国金融市场的两个重要的组成部分,汇率代表的是外汇市场的价格,而股票价格可以视为国民经济状况的风向标。我国外汇市场和股票市场之间的关联性对国民经济的稳定和发展会产生重大影响。尤其是经过2005年7月21日的人民币汇率制度的改革后,汇率的波动幅度明显加大,股票市场受汇率变动的影响,也经历了一个先涨后跌的周期变动。在这一背景下研究人民币兑美元汇率对我国股价的影响具有十分重要的意义。首先,本文理论部分回顾了国内外学者关于汇率决定和股票定价的相关基础理论,接着阐述了汇率以利率、货币供应量、进出口贸易、国际流动资本和心理预期为中介影响股价的传导机制；其次,在理论部分阐述的五个传导中介的基础上,实证检验各传导机制在中国市场的有效性,结果显示以货币供应量、进出口贸易和国际流动资本为中介的传导机制在中国市场是有效的,而以利率为中介的传导机制在中国市场不顺畅。接下来结合我国实际经济背景分析国际短期资本和货币供应量在人民币汇率的影响下,通过改变我国股票市场的资金供应量作用于股价的过程。再次,实证部分建立了股价、汇率、利率、货币供应量和国际流动资本五个变量的VEC模型,实证结果显示短期内人民币汇率和利率与股价之间是负相关关系,而货币供应量和国际流动资本与股价之间是正相关关系,但是长期内只有人民币汇率与股价间是正相关关系,其他三个变量均显示与股价的负相关关系；并且只存在人民币汇率、利率、货币供应量和国际流动资本对股价的单向因果关系,而四个变量对股价变动的贡献度从大到小排列是：国际流动资本、人民币汇率、货币供应量、利率。最后结合我国的实际经济背景,提出了诸如发行外汇基金债券、征收外汇交易税、构建资本流动的动态预警机制等应对策略,以完善我国外汇市场,实现汇率和股价的良性互动。
[Abstract]:The foreign exchange market and the stock market are two important components of a country's financial market. The exchange rate represents the price of the foreign exchange market. The stock price can be regarded as the weather vane of the national economy. The relationship between the foreign exchange market and the stock market in our country will have a great influence on the stability and development of the national economy. Especially after July 21st 2005, the people. After the reform of the currency exchange rate system, The fluctuation range of exchange rate is obviously increased, and the stock market is affected by the exchange rate change, and it also goes through a cycle of rising first and then falling. Under this background, it is of great significance to study the impact of RMB / USD exchange rate on the stock price of our country. First of all, the theoretical part of this paper reviews the domestic and foreign scholars on the exchange rate determination and stock pricing related to the basic theory, and then elaborated the exchange rate by interest rate, money supply, import and export trade, International floating capital and psychological expectation are the transmission mechanism of intermediary influencing stock price; Secondly, on the basis of the five transmission mediums elaborated in the theoretical part, the paper empirically tests the validity of each transmission mechanism in the Chinese market, and the results show that the money supply is used. The transmission mechanism mediated by import and export trade and international liquid capital is effective in the Chinese market. However, the transmission mechanism mediated by interest rates is not smooth in the Chinese market. Next, it analyzes the international short-term capital and money supply under the influence of the RMB exchange rate in the light of the actual economic background of our country. By changing the supply of funds in the stock market in China, the process of acting on the stock price. Thirdly, the empirical part establishes the VEC model of stock price, exchange rate, interest rate, money supply and international current capital. The empirical results show that there is a negative correlation between RMB exchange rate and interest rate and stock price in the short term. There is a positive correlation between money supply, international current capital and stock price, but only RMB exchange rate is positively correlated with stock price in the long run, and the other three variables show negative correlation with stock price. And there are only one-way causality of RMB exchange rate, interest rate, money supply and international current capital on stock price, and the contribution of four variables to stock price changes from big to small is: international current capital, RMB exchange rate, Money supply, interest rate. Finally, considering the actual economic background of our country, this paper puts forward some countermeasures, such as issuing Exchange Fund Notes, collecting foreign exchange transaction tax, constructing a dynamic early-warning mechanism for capital flow, and so on, in order to perfect our foreign exchange market. Exchange rate and stock price to achieve benign interaction.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52;F832.51;F224

【相似文献】