人民币汇率预期对股票价格的非线性影响

发布时间：2018-04-22 18:26

本文选题：人民币汇率预期 + 股票价格　；参考：《财政研究》2014年01期

【摘要】：本文使用STR模型考察了2005~2011年期间人民币汇率预期对股票价格的非线性影响。研究结果显示:人民币汇率的过度升值预期会造成国际收支恶化,进而导致股票价格下跌,而人民币汇率的"渐进式"升值预期才会推动股票价格的上涨。当货币政策紧缩或过度宽松时,人民币升值预期对股票价格产生负向影响;当货币政策适度宽松时,人民币升值预期对股票价格产生正向影响。政策建议如下:政府部门要逐步实现国际收支的总体平衡,从而减弱国际市场对人民币的过度升值预期,同时中国人民银行应保持货币政策的稳健性,进而有效地维护股市的稳定,促进资本市场的健康发展。
[Abstract]:In this paper, STR model is used to investigate the nonlinear effect of RMB exchange rate expectation on stock price from 2005 to 2011. The results show that the expectation of excessive appreciation of the renminbi will lead to a deterioration of the balance of payments, which in turn leads to a fall in stock prices, while the expectation of "gradual" appreciation of the exchange rate of the RMB will only promote the rise of stock prices. When monetary policy is tight or excessively loose, the expectation of RMB appreciation has a negative effect on stock price; when monetary policy is moderately loose, the expectation of RMB appreciation has a positive effect on stock price. The policy recommendations are as follows: government departments should gradually achieve the overall balance of payments, thereby reducing the expectation of excessive appreciation of the RMB in the international market, while the people's Bank of China should maintain the soundness of monetary policy. Then effectively maintain the stability of the stock market and promote the healthy development of the capital market.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社科基金重大项目“完善宏观金融调控体系研究—基于针对性、灵活性和前瞻性的视角”编号:12&ZD046) 教育部人文社会科学研究一般项目“住房价格波动、消费与中国最优货币政策选择:基于异质性预期视角”(编号:11YJA790169) 中国博士后科学基金资助项目“流动性、资产价格、家庭决策与中国货币政策选择”(编号:2012M521446)的资助
【分类号】：F832.51;F832.52;F224

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