上证指数与美元指数联动:一致与背离

发布时间：2018-05-04 09:53

本文选题：上证指数 + 美元指数　；参考：《上海金融》2013年02期

【摘要】：本文利用1994年1月3日到2011年5月4日上证指数和美元指数数据,发现阶段一(1994年—2004年)上证指数和美元指数走势基本一致,而阶段二(2005年至今)两者走势相反。计量分析表明:阶段一中上证指数和美元指数并不存在协整关系,而阶段二中两者存在协整关系;从均值溢出看,阶段一中美元指数与上证指数基本不存在相互影响,阶段二中两者则存在显著的相互影响,上证指数对美元指数的影响更强;从波动溢出看,阶段一中美元指数对上证指数波动存在较强影响,阶段二中上证指数对美元指数波动影响显著。从上证指数与美元指数联动的传导渠道看,人民币汇率只能解释次贷危机前美元指数与上证指数关系。大宗商品价格变化基本可以解释阶段一中美元指数与上证指数关系。2005年后美元贬值导致的全球流动性膨胀加速,致使大宗商品的金融产品属性更加明显,上证指数和美元指数影响加剧,两者走势趋向背离。
[Abstract]:Based on the data of Shanghai Stock Exchange Index and US dollar index from January 3, 1994 to May 4, 2011, this paper finds that the trend of stage one (1994-2004) is basically consistent with that of US dollar index, while the trend of stage 2 (2005 to present) is opposite. The econometric analysis shows that there is no cointegration relationship between the Shanghai Stock Exchange Index and the US Dollar Index in stage one, but there is a cointegration relationship between them in the second stage, and from the perspective of average spillover, there is no interaction between the US dollar Index and the Shanghai Stock Exchange Index in the first stage. The second stage has significant interaction, and the Shanghai stock index has a stronger impact on the US dollar index, and from the perspective of volatility spillover, the US dollar index of stage one has a strong impact on the volatility of the Shanghai Stock Exchange Index. The second stage of the Shanghai Stock Exchange Index has a significant impact on the volatility of the dollar index. From the transmission channel of the linkage between the Shanghai Stock Exchange Index and the US dollar index, the RMB exchange rate can only explain the relationship between the US dollar index and the Shanghai Stock Exchange Index before the subprime mortgage crisis. The changes in commodity prices can basically explain the relationship between the first dollar index and the Shanghai stock exchange index. The global liquidity inflation caused by the depreciation of the dollar accelerated after 2005, making the attributes of financial products of commodities even more obvious. The Shanghai Stock Exchange Index and the dollar index impact intensified, the trend of deviation between the two.
【作者单位】：南京审计学院金融学院;
【分类号】：F224;F831.51;F832.51

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