人民币汇率预期与股票价格波动

发布时间：2018-02-21 12:02

本文关键词： 人民币汇率预期股票价格 NDF　出处：《国际金融研究》2014年08期 　论文类型：期刊论文

【摘要】：本文试图研究2005年汇率形成机制改革以来人民币汇率预期与国内股票价格波动之间的关系。文章以NDF市场和国内上证A股、深证成股以及沪深300市场为研究对象,以利率平价为理论基础,通过构建人民币汇率预期指数变量和VAR模型,实证分析了境外NDF市场人民币汇率预期与股票市场指数之间的关系。研究发现,境外NDF市场汇率预期对股票价格变化具有引导作用。1个月期限人民币升值预期对未来的股票价格日变化率有正向引导作用,且具有显著的正向波动传导现象;3个月期限人民币升值预期对未来的股票价格日变化率有负向引导作用,且具有显著的负向波动传导现象。
[Abstract]:This paper attempts to study the 2005 exchange rate formation mechanism reform between the expected RMB exchange rate and domestic stock price volatility relationship. Based on the NDF market and the domestic Shanghai A shares, Shenzhen and Shanghai and Shenzhen 300 into the stock market as the research object, with the interest rate parity theory, by constructing the expected RMB exchange rate index variable and VAR model, an empirical analysis of the relationship between the overseas NDF market expectations of RMB exchange rate and stock market index. The study found that the exchange rate of foreign NDF market is expected to guide.1 month period of RMB appreciation expectations of future stock prices have positive effect on the rate of change of the stock price changes, and has positive fluctuation conduction phenomenon is significant; 3 month period of the expected appreciation of the RMB for the future of the stock price on the rate of change has negative guidance, and has a significant negative wave conduction phenomenon.

【作者单位】：对外经济贸易大学金融学院;对外经济贸易大学金融学院应用金融中心;中国农业银行总行资产负债管理部;中国银行总行全球金融市场部;
【分类号】：F832.6;F832.51

【参考文献】