人民币汇率与股票的相关性研究

发布时间：2018-04-11 12:21

本文选题：波动溢出 + BEKK-GARCH模型　；参考：《陕西师范大学》2012年硕士论文

【摘要】：我国于2005年针对汇率形成机制和股票市场运作同步实施了重大改革。这次改革以后,我国开始实行有管理的浮动,即以市场供求为基础,同时参考一揽子货币进行调节的汇率制度。从此以后人民币汇率不再仅仅盯住美元,而是逐渐向更富弹性的汇率机制过渡。同时期内,股票市场的流动性开始增强。自此后学术界开始关注我国外汇市场和股票市场之间的关联,在当前人民币升值压力较大的背景下,研究汇率与股价之间的影响,有助于防范汇率波动以及金融冲击,抵消不良的影响。本文对国内外关于股价与汇率关系的研究首先进行了文献的梳理和论述.然后介绍了两种主流的理论模型即流量导向模型和股票导向模型并分析了汇率与股价之间传导信息的途径。第三章和第四章分别作了关于股价和汇率价格溢出和收益率波动溢出的实证分析,在分析时运用了VAR模型、协整检验、Granger因果检验、脉冲响应函数以及多元BEKK-GARCH模型,从一阶矩和二阶矩的角度分析了两者间的关系。研究结果表明：人民币兑美元汇率与上证A股综合指数收盘价之间不存在长期的协整关系；运用Granger因果检验发现：在1%的显著性水平下,人民币兑美元汇率与股指之间存在双向的因果关系,即人民币兑美元汇率是上证A股指数的Granger原因,而上证A股指数也是人民币兑美元汇率的Granger原因。人民币兑美元汇率波动对股价的影响较大,股价波动对人民币汇率影响相对来说比较小。股票市场和外汇市场存在波动率的溢出效应,但是溢出效应是不对称的、单向的。人民币兑美元汇率收益率波动对上证A股综指收益率波动存在显著的波动溢出,而股市的波动对汇市的影响有限。最后基于本文的实证研究结果,提出了一些针对汇率制度和股票市场的政策建议。
[Abstract]:In 2005, China implemented major reforms in exchange rate formation mechanism and stock market operation synchronously.After this reform, China began to implement a managed floating, that is, the exchange rate system based on market supply and demand, with reference to a basket of currencies.Since then, the yuan has moved away from pegging the dollar to a more flexible exchange rate regime.During the same period, stock market liquidity began to increase.Since then, the academic community has begun to pay attention to the relationship between the foreign exchange market and the stock market in China. Under the background of the current pressure of RMB appreciation, the study of the influence between the exchange rate and the stock price will help to prevent exchange rate fluctuations and financial shocks.Counteract adverse effects.In this paper, the domestic and foreign research on the relationship between stock price and exchange rate is firstly reviewed and discussed.Then it introduces two main theoretical models, namely, flow oriented model and stock oriented model, and analyzes the way of transmitting information between exchange rate and stock price.In chapter 3 and chapter 4, the empirical analysis of price spillover and volatility spillover of stock price and exchange rate is made. The VAR model, cointegration test, Granger causality test, impulse response function and multivariate BEKK-GARCH model are used in the analysis.The relationship between the first moment and the second moment is analyzed from the point of view of the first order moment and the second order moment.The results show that there is no long-term cointegration relationship between the RMB / US dollar exchange rate and the closing price of the Shanghai Stock Exchange A Composite Index, and the Granger causality test shows that: under the significant level of 1%,There is a two-way causal relationship between the renminbi and the stock index, that is, the renminbi versus the dollar is the Granger cause of the Shanghai A-share index, and the Shanghai A-share index is also the Granger reason for the renminbi's exchange rate against the dollar.The volatility of the RMB against the dollar has a greater impact on the stock price, and the volatility of the stock price has a relatively small impact on the RMB exchange rate.There exists volatility spillover effect in stock market and foreign exchange market, but the spillover effect is asymmetric and unidirectional.There is a significant volatility spillover from the volatility of the yuan's yield against the dollar on the Shanghai A-share Composite, while the volatility of the stock market has a limited impact on the currency market.Finally, based on the empirical results of this paper, some policy suggestions for exchange rate system and stock market are put forward.
【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52;F832.51;F224

【参考文献】