汇改后我国汇率预期与股价关系研究

发布时间：2018-03-17 08:15

本文选题：汇率预期　切入点：股价　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：自浮动汇率制度被各国采用以来,浮动汇率制下外汇市场的自由变动对于一国宏观经济变量以及其他资本市场的影响一直受到学界的关注。股票市场作为一国资本市场重要组成部分,近二十年来由于受到国际间资本流动规模急剧增加的影响,波动也日益剧烈,作为一国经济的“晴雨表”的股票市场一定程度上反应了本币对外币汇率变化的情况。在开放经济中,汇率作为联系不同国家股票市场的纽带,二者理应存在很强的关联性。但是基于不同国家不同时间段的研究表明,二者的关系是模糊的,学界没有办法形成共识,原因一方面与特定研究对象的国情有关,另一方面也受制于传统研究方法的一些缺陷。本文以我国2005年汇改为背景,从传统的流量理论和存量理论出发,引入汇率预期的作用,分经常账户和资本账户角度汇率预期与我国股价之间的作用机制,针对不同的中介变量分析其对股价的影响方向。结合研究企业外汇风险暴露相关模型,综合利用格兰杰因果检验、面板数据检验等方法进行实证研究。本文主要结论如下：我国企业外汇风险暴露程度与海外销售占比正相关。汇率预期是引起股价波动的单向格兰杰原因,汇率预期通过经常账户给股价带来负面的影响,但是由于资本账户下的影响机制在汇改之后过于强大,导致汇率升值预期总体上引起股价上升。
[Abstract]:Since the floating exchange rate system was adopted by countries, The influence of the free change of foreign exchange market on a country's macroeconomic variables and other capital markets under floating exchange rate system has been concerned by scholars all the time. As an important part of a country's capital market, the stock market is an important part of a country's capital market. As a result of the sharp increase in the scale of international capital flows over the past two decades, the volatility has become increasingly acute. The stock market, as a "barometer" of a country's economy, to some extent reflects the change in the exchange rate of the local currency against foreign currency. In an open economy, the exchange rate acts as a link to the stock markets of different countries. But studies based on different countries and different periods of time show that the relationship between the two is vague and there is no way for the academic community to form a consensus, because, on the one hand, it is related to the national conditions of the particular research object. On the other hand, it is also restricted by some defects of traditional research methods. With the background of China's exchange rate reform in 2005, starting from the traditional flow theory and stock theory, this paper introduces the function of exchange rate expectation, and divides the mechanism between current account and capital account perspective between the exchange rate expectation and the stock price of our country. This paper analyzes the influence direction of different intermediary variables on stock price. Combined with the research of the related model of foreign exchange risk exposure, the empirical research is carried out by using Granger causality test and panel data test. The main conclusions of this paper are as follows: the degree of exposure to foreign exchange risk of Chinese enterprises is positively related to the proportion of overseas sales. Exchange rate expectation is the one-way Granger cause of stock price volatility, and exchange rate expectation has a negative impact on the stock price through the current account. But because the influence mechanism under the capital account is too strong after the exchange rate reform, the expectation of exchange rate appreciation generally causes the stock price to rise.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.6;F832.51

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