我国股市、汇率及国际原油价格之间的动态关系研究

发布时间：2018-05-23 10:16

本文选题：动态传导 + 动态条件相关系数　；参考：《中国地质大学(北京)》2017年硕士论文

【摘要】：原油作为世界上十分重要的大宗商品,对我国经济的发展有重大影响,且其对我国经济的影响离不开汇率因素。鉴于此,本文考虑分析我国股市、人民币汇率及国际原油价格之间的动态关系,以便深入认识金融市场之间的信息传导关系,同时了解原油大宗商品对我国经济的影响,这不仅有利于投融资者制定合理的套期保值策略,也有利于政府部门制定风险管理决策。首先,本文通过建立VAR模型实证研究了我国股市、人民币汇率及国际原油价格之间的溢出效应和动态传导关系。结论显示,我国股市、人民币汇率和国际原油价格之间存在长期均衡的稳定关系,该均衡关系反映了三者之间收益率上的溢出效应;存在我国股市和国际原油价格之间双向的格兰杰因果关系,还存在国际原油价格到人民币汇率的单向格兰杰因果关系;脉冲响应函数分析和方差分解反映了三者之间各个变量的政策冲击对其他变量的动态影响和各个变量对其他变量方差的相对贡献度,这反映了三者之间的收益率动态传导关系。其次,本文建立三元DCC-GARCH模型研究了我国股市、人民币汇率和国际原油价格之间的动态相关性。研究表明,金融市场之间的相关关系往往具有动态性,相关系数呈现时变的特征;我国股市和国际原油价格之间的动态条件相关系数波动最大,其次是人民币汇率与原油价格之间的动态相关系数,波动程度最小的是我国股市与人民币汇率之间的动态相关系数;当发生较大的金融波动时,他们之间的动态条件相关性可能会发生方向性的转变。最后,本文建立三元VAR-BEKK-GARCH模型研究了我国股市、人民币汇率及原油价格之间的波动溢出效应。研究显示,存在我国股市和人民币汇率之间的双向波动溢出效应,存在人民币汇率到国际原油价格及我国股市到国际原油价格的单向波动溢出效应;在风险传导方面,人民币汇率起到了较好的桥梁作用,存在我国股市到人民币汇率,再从人民币汇率到国际原油价格之间的动态传导路径。基于本文的研究结论,文章最后提出了政策建议:完善股票市场化机制,让股市真正成为经济的“晴雨表”;加快汇率自由化,发挥其经济杠杆作用,同时防范汇率风险;关注世界大宗商品对我国经济的发展,有利于防范金融风险。
[Abstract]:Crude oil, as a very important commodity in the world, has a great influence on the development of China's economy, and its influence on our economy can not be separated from the exchange rate factor. In view of this, this paper considers analyzing the dynamic relationship among China's stock market, RMB exchange rate and international crude oil price, in order to deeply understand the information transmission relationship between financial markets and the impact of crude oil commodities on China's economy. This is not only conducive to investors to formulate reasonable hedging strategy, but also conducive to government risk management decisions. Firstly, this paper empirically studies the spillover effect and dynamic conduction relationship between China's stock market, RMB exchange rate and international crude oil price through the establishment of VAR model. The conclusion shows that there is a stable long-term equilibrium relationship among the stock market, RMB exchange rate and international crude oil price, which reflects the spillover effect on the return rate. There exists a two-way Granger causality between China's stock market and the international crude oil price, and a one-way Granger causality between the international crude oil price and the RMB exchange rate. The impulse response function analysis and variance decomposition reflect the dynamic effect of the policy impact of each variable on other variables and the relative contribution of each variable to the variance of other variables, which reflects the dynamic conduction relationship of the three variables. Secondly, a ternary DCC-GARCH model is established to study the dynamic correlation among China's stock market, RMB exchange rate and international crude oil price. The research shows that the correlation between financial markets is dynamic and the correlation coefficient is time-varying, the dynamic conditional correlation coefficient between Chinese stock market and international crude oil price fluctuates the most. The second is the dynamic correlation coefficient between RMB exchange rate and crude oil price, and the least volatility is the dynamic correlation coefficient between Chinese stock market and RMB exchange rate. There may be a directional shift in the dynamic conditional correlation between them. Finally, a ternary VAR-BEKK-GARCH model is established to study the volatility spillover effects between stock market, RMB exchange rate and crude oil price. The study shows that there exists two-way volatility spillover effect between Chinese stock market and RMB exchange rate, one-way volatility spillover effect from RMB exchange rate to international crude oil price and from Chinese stock market to international crude oil price. The RMB exchange rate acts as a bridge between the Chinese stock market and the RMB exchange rate, and then from the RMB exchange rate to the international crude oil price. Based on the conclusion of this paper, the paper finally puts forward some policy suggestions: to perfect the marketization mechanism of stock market, to make the stock market a "barometer" of economy, to accelerate the liberalization of exchange rate, to exert its economic leverage, and to guard against exchange rate risk at the same time. Pay attention to world commodity to our country economy development, be helpful to guard against financial risk.
【学位授予单位】：中国地质大学(北京)
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.6;F764.1

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