汇率预期与股票价格的互动关系研究

发布时间：2018-03-31 13:06

本文选题：汇率预期　切入点：股票价格　出处：《山东大学》2017年硕士论文

【摘要】：随着我国金融自由化程度不断加深,利率和汇率市场化改革也在不断推进,资本流动频率显著提升的同时,外汇市场与资本市场之间的联系也愈发的紧密。本文从无抛补利率平价理论以及股票市场和外汇市场中投资者需求变动的角度出发,将中外息差波动以及短期国际资本流动的因素纳入到模型框架中,同时考虑了预期因素的影响,分析了汇率预期与股票价格之间的动态关系及作用机理。本文采用2006年10月至2016年6月的样本数据,基于平滑转换自回归模型,并加入了中外息差及短期国际资本流动等变量,对汇率预期与股票价格之间在不同区制下的相互影响关系进行了实证检验。通过理论推导及实证分析,结果显示,汇率预期、中外息差及短期国际资本流动对股票价格的影响存在显著的区制异质性。其中,在以汇率预期为转换变量时,不同滞后期的汇率预期对股票价格的影响有所差异,并且在不同区制下对股票价格的作用不同,在人民币预期币值较低时影响更为明显。在人民币预期币值较高时,中外息差(国外利率-国内利率)扩大会导致股票价格的下跌,此时短期国际资本的流入对股票价格的影响同样是负向的;而当人民币币值预期估值较低时,中外息差(国外利率-国内利率)扩大会引发股票价格的上涨,而此时短期国际资本流动对股票价格的影响并不显著。从股票市场对外汇市场产生影响的角度来看,当以短期国际资本流动作为转换变量时,股票价格和短期国际资本流动对汇率预期的影响并不显著。中外息差对汇率预期的影响总体为正,即国外利率水平上升,会引起人民币的贬值预期,尤其是在资本大规模撤离国内市场时,这种影响更为明显。
[Abstract]:With the deepening of financial liberalization and the marketization of interest rate and exchange rate, the frequency of capital flow has increased significantly, and the relationship between foreign exchange market and capital market has become more and more close.From the point of view of the theory of no-subsidy interest rate parity and the change of investor demand in stock market and foreign exchange market, this paper brings the fluctuation of interest rate and short-term international capital flow into the framework of the model.At the same time, considering the influence of expected factors, the dynamic relationship and mechanism between exchange rate expectation and stock price are analyzed.This paper uses the sample data from October 2006 to June 2016, based on the smooth transformation autoregressive model, and adds variables such as Chinese and foreign interest margin and short-term international capital flows.This paper makes an empirical test on the interaction between exchange rate expectation and stock price under different regional systems.Through theoretical derivation and empirical analysis, the results show that there are significant regional heterogeneity in the influence of exchange rate expectation, Chinese and foreign interest rates and short-term international capital flows on stock prices.Among them, when the exchange rate expectation is taken as the conversion variable, the effect of the exchange rate expectation on the stock price is different, and the effect on the stock price is different under the different regional system, especially when the expected value of RMB is low.When the expected value of RMB is high, the spread of foreign interest rate (foreign rate-domestic interest rate) will lead to the decline of stock price, and the impact of short-term international capital inflow on stock price is also negative.When the value of RMB is expected to be low, the spread of foreign interest rate (foreign rate-domestic interest rate) will lead to the rise of stock price, while the short-term international capital flow has little effect on stock price.From the point of view of the influence of stock market on foreign exchange market, when the short-term international capital flow is taken as the conversion variable, the influence of stock price and short-term international capital flow on exchange rate expectation is not significant.The impact of interest rate differentials on foreign exchange rate expectations is generally positive, that is, the rise of foreign interest rates will lead to the expectation of RMB depreciation, especially when capital leaves the domestic market on a large scale.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F832.51

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