中国股指波动的汇率驱动效应研究

发布时间：2017-12-30 22:17

本文关键词：中国股指波动的汇率驱动效应研究　出处：《天津财经大学》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体系的重要组成部分,二者间的相互影响一直是人们关注的焦点。自从2005年7月21日人民币汇率形成机制改革以来,人民币兑美元汇率浮动区间不断加大,汇率波动对股票市场的影响也日益显现。美国次贷危机爆发之前中国股市与汇市双双联袂上扬,人民币升值对股市上涨起到了催化剂的作用；之后由于次贷危机爆及欧债危机的蔓延,受全球经济和外围股市的拖累,上证综合指数开始暴跌,股票市场进入了低迷时期。而与此同时人民币兑美元汇率的升值趋势也明显放缓,甚至出现了小幅贬值。因此,总体上看汇率与股市之间存在着一定程度的关联。由于汇率和股市的关系比较复杂,本文主要考虑汇率对股票价格波动的单向影响。结合中国的实际情况,本文首先在运用了IS-LM-BP分析法,对汇率与股价关系有一个理论上的认识。其次分析了汇率影响股票价格的利率机制、资本流动机制、对外贸易机制、货币供给机制及心理预期机制,从而在传导途径上对二者有了进一步的认识。在实证方面,本文运用结构向量自回归模型分别考察了美元流动性扩张与短期国际资本流动频繁条件下,汇率波动对中美两国股市的驱动效应,结果显示人民币升值对股票价格有着显著的负效应,汇率对中国股指波动的贡献度达9.48%,仅次于短期国际资本流动的影响；国际资本流动对中国股市贡献度最大,相反其对美国股市影响较小；美国经济增长对股市的促进作用最为明显,而经济增长对我国股市影响较为微弱。最后,比对中美两国汇率对股指影响的差异并结合我国的实际情况提出了一些政策建议以促进中国股票市场、外汇市场健康有序发展。
[Abstract]:The foreign exchange market and the stock market is an important part of a country's financial system, the mutual influence between the two has been the focus of attention. Since the July 21, 2005 reform of the RMB exchange rate mechanism, the RMB against the U.S. dollar exchange rate floating range increases, the impact of exchange rate fluctuations on the stock market is also increasingly apparent. Before the outbreak of the subprime crisis China stock market and both currencies soar, RMB appreciation on stock prices has played a catalytic role; after the subprime crisis burst and the spread of the debt crisis, the global economy and the peripheral stock market dragged down the Shanghai composite index began to fall, the stock market has entered a downturn trend. At the same time the appreciation of the RMB exchange rate against the dollar also slowing down, or even a slight decline. Therefore, on the whole there is a correlation between the exchange rate and the stock market to a certain extent.
The relationship between the exchange rate and the stock market is more complex, this paper considers the unidirectional influence of exchange rate on stock price volatility. Combined with the actual situation of China, firstly, using the IS-LM-BP analysis method, a theoretical understanding of the relationship between exchange rate and stock price. Then analyzes the mechanism of interest rate exchange rate affect the stock price, the mechanism of capital flow. The foreign trade mechanism, the money supply mechanism and psychological expectation mechanism, resulting in the transduction pathway of the two have further understanding. In the empirical analysis, this paper using the SVAR model examines the U.S. dollar liquidity expansion and short-term international capital flows frequently driving conditions, the effect of exchange rate fluctuations on Sino US stock market. The results show that RMB appreciation has a significant negative effect on the stock price, exchange rate China contribution to the fluctuation of stock index is up to 9.48%, second only to the short-term international capital flows The influence of international capital flow; China stock market contribution, contrary to its impact on the U.S. stock market is small; the U.S. economic growth on the stock market to promote the role of the most obvious, and the impact of economic growth on China's stock market is relatively weak. Finally, comparison of Sino US exchange rate on stock index difference influence and combined with the actual situation of China put forward some policy suggestions to promote the China stock market, foreign exchange market healthy and orderly development.

【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F832.6

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