人民币汇率与A股市场：一致与背离

发布时间：2018-03-31 11:17

本文选题：汇率　切入点：股价　出处：《天津工业大学》2017年硕士论文

【摘要】：随着经济全球化、金融全球化发展以及金融自由化的发展,各国金融市场之间的相互联系与影响程度日益加深。金融资产市场价格的波动除了受到自身因素的影响,也愈来愈容易受到其他金融资产价格变动的影响。作为外汇市场和股票市场价格的汇率和股票价格也必然存在某些联系。研究二者之间的关系,首先为中央决策机构在制定相关政策时提供参考,稳定金融市场,减少系统性风险;其次,有助于跨国公司更好的管理外汇风险;最后,有利于专业投资者更好的进行资产配置,实现同等风险水平下收益最大化。因此,研究汇率和股票市场之间的关系意义重大。在我国金融市场化改革与发展过程中,人民币在经历两次汇率改革后人民币波动性越来越大,同时国内金融市场与外部市场联系越来越强,A股市场和人民币汇率的关系趋于密切,二者主要通过利率、国际收支,货币供给量、国际资本流动等渠道相互影响。本文通过理论一实证的逻辑主线,首先通过梳理论述汇率决定和股票决定理论,回顾关于汇率和股价关系的经典解释即流量导向模型和证券导向模型,同时介绍了在宏观和微观角度进行相关研究建立起的数学计量模型。然后运用宏观分析与微观分析相结合的方法对汇率与股价波动的传导机制进行分析,发现二者之间的传导具有不完全对称。汇率波动主要通过国际收支、货币供给以及国际资本流动等方式影响股价。而股价波动主要通过资产组合以及货币需求为中介影响汇率。在实证检验阶段,对人民币兑美元汇率、上证A股指数、货币供给量、利率、国际热钱数量以及净出口额通过构建VAR模型进行实证分析,分别经过平稳性检验、协整检验、格兰杰因果分析以及脉冲响应分析。通过理论与实证分析,理论上在开放经济环境中,汇率与股价存在双向负相关关系,并分别通过一定的渠道中介进行传导,但是汇率和股票市场价格联动机制及效果主要受一国金融市场的成熟度以及经济的开放程度影响。针对我国进行实证结果表明人民币汇率和股票市场之间有一定的相关性,但是某些传导中介却难以在二者之间充分发挥作用。这主要是由于我国目前汇率市场化不足、股票定价机制扭曲等因素导致的。最后,结合我国现状,提出我国外汇市场和股票市场健康协调发展,实现二者良性互动的政策建议。
[Abstract]:With the development of economic globalization, financial globalization and financial liberalization, the degree of mutual connection and influence between countries' financial markets is deepening day by day.Besides its own factors, the fluctuation of market price of financial assets is more and more vulnerable to the change of price of other financial assets.As a foreign exchange market and stock market prices, exchange rates and stock prices must also have some relationship.The study of the relationship between the two, first of all, provides a reference for the central policy-making organs in formulating relevant policies, stabilizes the financial market and reduces the systemic risk; secondly, it helps transnational corporations to better manage the foreign exchange risk; finally,It is beneficial for professional investors to allocate assets better and to maximize income at the same risk level.Therefore, it is of great significance to study the relationship between exchange rate and stock market.In the process of financial marketization reform and development in China, the RMB has become more and more volatile after two exchange rate reforms.At the same time, the relationship between the domestic financial market and the external market is becoming stronger and stronger, and the relationship between the A-share market and the RMB exchange rate tends to be close. The two influence each other mainly through the channels of interest rate, international balance of payments, money supply, international capital flow and so on.Through the logical thread of theory and demonstration, this paper firstly discusses the theory of exchange rate decision and stock decision, and reviews the classical explanation of the relationship between exchange rate and stock price, that is, flow oriented model and securities oriented model.At the same time, it introduces the mathematical measurement model established by the related research in macro and micro angle.Then the transmission mechanism of exchange rate and stock price fluctuation is analyzed by the combination of macro analysis and micro analysis, and it is found that the transmission between exchange rate and stock price is not completely symmetrical.Exchange rate fluctuations affect stock prices mainly through balance of payments, money supply and international capital flows.But the stock price fluctuation mainly through the portfolio and the currency demand as the intermediary influence exchange rate.In the stage of empirical test, the exchange rate of RMB against US dollar, A share index of Shanghai Stock Exchange, money supply, interest rate, international hot money quantity and net export value are analyzed by constructing VAR model, which are tested by stability test and cointegration test, respectively.Granger causality analysis and impulse response analysis.Through theoretical and empirical analysis, theoretically in the open economic environment, there is a two-way negative correlation between exchange rate and stock price, and conduct through a certain channel intermediary respectively.However, the linkage mechanism and effect of exchange rate and stock market price are mainly affected by the maturity of a country's financial market and the degree of economic openness.The empirical results show that there is a certain correlation between the RMB exchange rate and the stock market, but it is difficult for some transmission intermediaries to play a full role between the two.This is mainly due to the lack of marketization of exchange rate and distortion of stock pricing mechanism.Finally, according to the present situation of our country, the paper puts forward some policy suggestions for the healthy and coordinated development of the foreign exchange market and stock market in our country so as to realize the positive interaction between the two markets.
【学位授予单位】：天津工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F832.51

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