人民币汇率变动对银行类股票价格影响的实证研究

发布时间：2018-02-13 10:39

本文关键词： 人民币汇率银行股价传导机制误差修正模型　出处：《西南大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着外汇体制改革的深化,我国外汇市场框架基本形成,汇率变化对国民经济影响日益明显,对金融市场上的金融工具价格也产生了一定的影响,投资者也越来越关注汇率的变化。众所周知银行业在我国经济中的作用日益突出,它们已成为整个国家的经济支柱。而银行股票价格是银行发展水平的直接体现,银行股票价格的变动更能直观的反映出各银行的发展水平和资金供求状况的变化。商业银行的经营业绩必然越来越多地受到人民币汇率变动的影响。因此,研究人民币汇率变动对银行类股票价格的影响具有现实意义,特别是在当前经济形势下,人民币升值压力不断增加,股票市场频繁波动,以货币经营为主要业务的商业银行面临越来越大的外汇风险,研究汇率变动对银行类股票价格的影响,会引起管理者及投资者对外汇和股票市场风险的重视,提高风险防范意识。本文基于汇率与股票价格的基本理论,运用规范分析与实证分析相结合的方法研究汇率波动对银行股票价格的影响。首先,对汇率与股票价格关系的代表性理论进行了系统回顾。其次,在借鉴国内外学者研究成果的基础上,具体分析了汇率波动对股票价格的传导机制,包括国际资本、国际贸易、利率、公司业绩、心理预期等多个传导途径；再次,对人民币汇率和股价的关系进行了实证分析,依次运用了单位根检验、协整检验、格兰杰因果检验、向量误差修正模型、脉冲响应分析和方差分解方法；最后,根据理论分析和实证结果,得出本文的研究结论和政策建议。本文的基本结论是：1.汇率通过国际资本、国际贸易、利率、公司业绩、心理预期等多个渠道影响股票价格。在人民币升值的背景下,国际资本的长期流入对我国股票市场和经济的发展有积极作用。2.从长期来看,汇率与各银行股价之间存在稳定的协整关系；从短期来看,两者具有双向的格兰杰因果关系。长期来看,当人民币升值时,银行类股票价格上涨。说明长期以来,人民币升值将有利于我国商业银行的经营发展,并最终引起我国商业银行股价的上升。不同类型银行之间,人民币汇率对股票价格的影响程度呈现一定的差异性。格兰杰因果检验结果显示汇率与银行类股价存在双向的因果关系。3.滞后一期的人民币名义汇率同银行股票价格呈反向关系。误差修正模型的实证结果,说明短期内,人民币升值对股票价格有助涨的作用,反之,人民币贬值对银行类股票价格有助跌的作用。4.汇率波动对各上市银行股票价格有一定的冲击效果。脉冲分析和方差分解显示,汇率对银行股价有一个负向冲击效应,这与长期均衡情况不符,可以运用我国货市政策来解释这一现象。当人民升值时,为了防止经济过热而产生通货膨胀,央行实行紧缩银根的反向操作,提高利率,从而导致股价下跌。因此,认为短期内存在汇率对银行股价的负向冲击效应,汇率对股价变动的贡献率呈现先增后减的趋势,贡献率在1%-17%之间,并且存在一种长期稳定的影响。本文政策建议如下：1.推进外汇市场建设,完善人民币汇率形成机制。释放正常结售汇需求,可以消除长期以来外汇供给无限膨胀、外汇储备无限增长的负面影响,从而缓解人民币的升值压力。2.政府需要建立资金流向的动态监测与预警机制,促进国内金融市场的健康有序发展。在人民币升值的背景下,套利和套汇的投机资本的频繁进出会引起证券市场的剧烈动荡,建立一套完整的国内证券市场关于国际资本量的监管和预警机制,有利于金融当局对证券市场的有效监管。3.引导合理的心理预期。心理预期因素对于外汇市场和股票市场的影响也越来越明显,我国应加大对普通投资者以及企业投资者的信息披露程度,培养一种正确的投资理念,使其对我国外汇市场和股票市场乃至整个经济有一个准确的理解,并形成一个合理的预期,提高外汇市场和股票市场的相关性。4.投资者应树立正确的投资理念,提高对汇率波动风险的防范意识,合理做出投资决策。5.银行管理者应及时有效地识别外汇波动风险,制定合规的风险防范体系,积极应对汇率波动对银行股价带来的冲击。商业银行要强化汇率风险意识,把防范汇率风险提上日程。我国商业银行应当重视当前存在的汇率风险,牢固树立现代银行风险管理意识,始终坚持商业银行经营中的安全性、流动性和盈利性有机统一原则。
[Abstract]:With the deepening of the reform of the foreign exchange system, the framework of China's foreign exchange market is basically formed, the change of exchange rate impact on the national economy is more and more obvious, also have a certain impact on the financial market prices of financial instruments, investors are increasingly concerned about the changes in the exchange rate. As everyone knows role of the banking sector in China's economy has become increasingly prominent, they the pillar of the whole national economy. But the bank stock price is a direct reflection of the level of Bank Development Bank, the change of stock price changes can directly reflect the development level of the banks and the supply and demand of funds. The operating performance of commercial banks is becoming more and more necessary to be influenced by the change of RMB exchange rate. Therefore, study on the influence of RMB exchange rate the bank stock price has practical significance, especially in the current economic situation, the increasing pressure of RMB appreciation, the stock market frequency Commercial banks are facing more and more foreign exchange risk. The influence of exchange rate fluctuation on bank stock prices will cause managers and investors to pay attention to the risk of foreign exchange and stock market and raise awareness of risk prevention.
In this paper, the basic theory of exchange rate and stock price based on the impact of exchange rate fluctuations using the method of combination of normative analysis and Empirical Analysis on the stock prices of banks. Firstly, reviews the representative of the relationship between exchange rate and stock price theory. Secondly, on the basis of research results of scholars at home and abroad, analyzes the conduction the mechanism of exchange rate fluctuations on the stock price, including the international capital, international trade, interest rates, corporate performance, psychological expectations multiple pathways; thirdly, the relationship between the RMB exchange rate and stock price by empirical analysis, followed by the unit root test, cointegration test, Grainger causality test, vector error correction model, impulse response analysis and variance decomposition method; finally, according to the theoretical analysis and empirical results, this paper draws the conclusions and policy recommendations.
The basic conclusions are as follows: 1. the exchange rate through the international capital, international trade, interest rates, corporate performance, psychological expectations of multiple channels such as stock prices. In the context of RMB appreciation,.2. has positive effects in the long term long-term international capital flows on China's stock market and economic development, there is a cointegration relationship stability between the exchange rate and the bank's share price; in the short term, both have a two-way causal relationship between Grainger. Long term, when the appreciation of the renminbi, the price of bank shares rose. For a long time, the appreciation of the renminbi would be beneficial to our country commercial bank's business development, and ultimately cause a rise in China's commercial banks between different stock prices. The types of banks, the influence degree of RMB exchange rate on the stock price shows some differences. Grainger causality test results show that the exchange rate and bank shares there is a two-way causality The relationship between.3. RMB nominal exchange rate lag phase inverse relationship with bank stock prices. The empirical results of the error correction model, shows that in the short term, the appreciation of the renminbi will rise, the stock price on the other hand, the devaluation of the bank stock price has the effect of.4. exchange rate volatility or help have a certain effect on the market impact the price of bank shares. Impulse analysis and variance decomposition shows that the exchange rate has a negative impact effect on bank shares, which is inconsistent with the long-term equilibrium situation, I can use the domestic policy to explain this phenomenon. When people rise in value, in order to prevent the economy from overheating and inflation, the central bank to implement the reverse operation, monetary tightening the increase in interest rates, leading to a fall in share prices. Therefore, that there is exchange rate on bank shares the negative impact in the short term, the exchange rate and the stock price fluctuation of the contribution rate is first increased and then decreased Trend, the contribution rate is between 1%-17%, and there is a long-term stability effect.
In this paper, the policy suggestions are as follows: 1. the foreign exchange market construction, improve the RMB exchange rate formation mechanism. The release of the normal demand for foreign exchange, can eliminate the long-term supply of foreign exchange unlimited expansion, unlimited growth of the negative impact of foreign exchange reserves, in order to ease the dynamic monitoring and early-warning mechanism of the pressure of RMB appreciation.2. the government needs to establish the flow of funds, promote the domestic financial market the healthy and orderly development. In the context of RMB appreciation arbitrage, arbitrage and speculative capital will cause frequent volatility of securities market supervision, the establishment of a complete set of domestic securities market on international capital and early warning mechanism, is conducive to the effective supervision of the financial authorities.3. of the securities market to guide the rational expectation. Psychological expectations factors in the foreign exchange market and the stock market is becoming more and more obvious, China should increase for ordinary investors and The level of information disclosure of corporate investors, foster a correct concept of investment, to have an accurate understanding of China's foreign exchange market and the stock market and the economy as a whole, and form a reasonable expectation, improve investor.4. correlation between the stock market and foreign exchange market should establish the correct investment concept, improve the exchange rate fluctuations risk consciousness, make reasonable investment decision of.5. bank managers should identify the risk of foreign exchange fluctuations effectively, establish risk prevention system of compliance, actively respond to exchange rate fluctuations on the impact of stock banks. Commercial banks should strengthen the awareness of exchange rate risk, exchange rate risk management put on the agenda. China's commercial banks should pay more attention to the current the exchange rate risk, firmly establish the awareness of risk management of modern banking, always adhere to the safety operation in the commercial bank, liquidity and profitability have unified the original machine Then.

【学位授予单位】：西南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

【共引文献】