我国股价和汇率的关联:基于VAR-MGARCH模型的研究
发布时间：2019-02-26 17:08
【摘要】：本文基于VAR-MGARCH模型,分别选择人民币对美元、欧元和日元等不同外币的汇率,研究了我国股价和汇率之间的关联。实证研究表明,存在一定程度的从人民币对欧元汇率到股指的价格溢出效应,存在人民币对欧元汇率和人民币对日元汇率到股指的波动溢出效应,但人民币对美元汇率和股指之间既不存在明显的价格溢出效应,也不存在明显的波动溢出效应。总体来说,当前我国股票价格和汇率之间的内在关联性并不强。为实现货币政策的有效传导,应采取措施加强股市和汇市两个市场的有机联系。
[Abstract]:Based on the VAR-MGARCH model, this paper chooses the exchange rate of RMB against US dollar, euro and Japanese yen respectively to study the relationship between stock price and exchange rate in China. Empirical research shows that there is a certain degree of price spillover effect from RMB to euro exchange rate to stock index, RMB to euro exchange rate and RMB to Japanese yen exchange rate to stock index. However, there is neither obvious price spillover effect nor volatility spillover effect between RMB and US dollar exchange rate and stock index. Generally speaking, the relationship between stock price and exchange rate is not strong. In order to realize the effective transmission of monetary policy, measures should be taken to strengthen the organic relationship between the stock market and the exchange market.
【作者单位】： 江西财经大学金融与统计学院;中澳亚太资本市场研究中心;桂林电子科技大学应用科技学院;
【分类号】：F224;F832.51;F832.6
[Abstract]:Based on the VAR-MGARCH model, this paper chooses the exchange rate of RMB against US dollar, euro and Japanese yen respectively to study the relationship between stock price and exchange rate in China. Empirical research shows that there is a certain degree of price spillover effect from RMB to euro exchange rate to stock index, RMB to euro exchange rate and RMB to Japanese yen exchange rate to stock index. However, there is neither obvious price spillover effect nor volatility spillover effect between RMB and US dollar exchange rate and stock index. Generally speaking, the relationship between stock price and exchange rate is not strong. In order to realize the effective transmission of monetary policy, measures should be taken to strengthen the organic relationship between the stock market and the exchange market.
【作者单位】： 江西财经大学金融与统计学院;中澳亚太资本市场研究中心;桂林电子科技大学应用科技学院;
【分类号】：F224;F832.51;F832.6
【参考文献】
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