人民币汇率与股价关系的实证研究.pdf 全文免费在线阅读

  本文关键词：人民币汇率与股价关系的实证研究，，由笔耕文化传播整理发布。

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南京师范大学硕士学位论文人民币汇率与股价关系的实证研究姓名:王琼申请学位级别:硕士专业:金融学指导教师:刘阳20080603摘要自2005年7月21日汇改以来,人民币汇率不断升值,到2007年底,人民币汇率累计升值高达8%。与此同时,上证指数从2005年6月6日的998点一直上涨到2007年lO月16日的6124点。人民币汇率加速升值,股价不断上涨,二者之间是否具有某种联系?本文首先从基本理论出发,全面分析汇率与股价之间相互影响及其传导途径;然后结合我国的实际,分析人民币汇率与股价之间的关系;接着选取人民币对各主要货币汇率,及A、B股股价进行实证分析;在文章的结尾部分,针对前文的理论与实证分析,提出相应的政策建议。具体来说,本文关注以下几方面问题:第一,人民币汇率与股价是否存在长期均衡关系:第二,人民币汇率与股价之间是否存在因果关系;第三,如果二者之间存在长期均衡关系及因果关系,将如何防范由于金融各子市场之间的紧密联系而可能引发的单一金融市场危机的迅速扩散,如果二者之间不存在长期均衡关系及因果关系,如何消除阻碍人民币汇率与股价之间相互传导的因素。对于上述问题,本文通过研究得到的结论概括如下:第一,人民币对美元汇率与股价存在微弱的长期均衡关系,且存在人民币对美元汇率到股价的单向因果关系,人民币对其他货币汇率与股价均不存在长期均衡关系及因果关系;第二,由于我国外汇市场和股票市场存在的制度缺陷,使得人民币汇率与股价之间不能自由传导,对此,本文提出了相应的政策建议。关键词:人民币汇率股价升值实证研究ABSTRACTSince july 21,2005,the reform of the RMB exchange rate,the RMBexchange rate continued to rise,and the RMB exchange rate has appreciated8%by the end of 2007.At the same time,the posite index hasrisen to 6124 points on October 16,2007 from 998 points on june 6,2005.Stock prices continued to rise while the appreciation of the RMB exchangerate accelerated.whether there is a link between the RMB exchange rateand stock prices?From the basic theory,this paper makes prehensiveanalysis of the mutual influence and the channel of conduction betweenthe exchange rate and stock prices:then with China’S reality,this paperanalyzes the relation exsiting between the RMB exchange rate and stockprices:selecting the RMB against the principal currency exchange rate,A share and B share,this paper makes an empirical analysis:at the end ofthe article,this paper put forward the corresponding pol icysuggestions.Specifically,this paper concerns the following aspects:First,if a long—term equi l ibrium relationship exsits between the RMBexchange rate and stock prices:second,whether there is a causalrelationship between the RMB exchange rate and stock prices;Third,ifthere is a long—term equilibrium relationship and the causal relation,how to guard against the rapid spread of a single financial market crisislikely caused by the close ties between all of the financial markets.ifthere is not a long—term equilibrium relationship and the causal relation,how to eliminate the factors that obstruct the conduction between the RMBexchange rate and stock prices.For the above problems,this paper studiesto draw such conclusions as follows:First,a weak long—term equilibriumrelationship exsits between the RMB against US dollar exchange rate andstock prices,and a one-way causal relationship from the RMB against USdol lar exchange rate to stock prices exs i ts between the RMB against USHdol lar exchange rate and stock prices.a long—term equi l ibriumrelationship and a causal relationship don’t exsit between the RMB againstother currencies exchange rate and stock prices:Second,as the systemdefects exsiting in China’S foreign exchange market and stock market blockthe freely conduction between the RMB exchange rate and stock prices,thispaper put forward the correspondi ng pol i c

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  本文关键词：人民币汇率与股价关系的实证研究，由笔耕文化传播整理发布。