人民币汇率、利率与资产价格的联动关系研究

发布时间：2018-03-15 17:42

本文选题：人民币汇率　切入点：利率　出处：《广东金融学院学报》2012年04期 　论文类型：期刊论文

【摘要】：比较研究2005年及2010年两次汇改前后中国汇率、利率和股票价格之间的联动关系,结果表明,在汇改前后三者的关系发生了显著的变化。在第一次汇改之前,中国的外汇市场与货币市场之间存在长期稳定的双向因果关系,但这种关系在汇改之后不复存在。在汇率和股价之间,人民币汇率波动始终是造成中国股市巨幅波动的单向格兰杰原因,而股票价格对人民币汇率的影响较小,并且这种效应在二次汇改之后表现的更为明显。
[Abstract]:A comparative study of the linkage between the exchange rate, interest rate and stock price before and after the two foreign exchange rate reforms in 2005 and 2010 shows that the relationship between them has changed significantly before and after the first exchange rate reform. There is a long and stable two-way causal relationship between China's foreign exchange market and the money market, but this relationship does not exist after the exchange rate reform. The fluctuation of RMB exchange rate has always been the one-way Granger cause of the huge volatility of Chinese stock market, while the stock price has little effect on the RMB exchange rate, and this effect is more obvious after the second exchange rate reform.
【作者单位】：南开大学经济学院;
【基金】：教育部重大攻关项目(09JZD0016) 教育部重点研究基地重大项目(2009JJD790027) 教育部人文社会科学青年项目(11YJC790171)
【分类号】：F832.6;F822;F832.51;F224

【参考文献】