汇率波动对股价区制转换的影响——基于LSTR模型的分析

发布时间：2018-03-06 16:12

  本文选题：汇率　切入点：股价　出处：《金融论坛》2017年05期 　论文类型：期刊论文

【摘要】：本文在人民币汇率浮动区间扩大和"沪港通"的背景下,基于LSTR模型研究汇率波动对股价区制转换的影响,结论为:汇率对股价的影响存在区制转换,即在不同汇率波动区间,股票收益率波动有两种不同的机制,这两种机制的转换发生在汇率波动率等于0.08238时。为防范系统性金融风险发生,应加强对国际游资的监管和适时引导汇率预期。
[Abstract]:Based on the LSTR model, this paper studies the influence of the exchange rate fluctuation on the exchange rate zone conversion under the background of the expansion of the floating band of RMB exchange rate and the "Stock Connect". The conclusion is that the influence of the exchange rate on the stock price exists in the regional system change, that is, in the different exchange rate fluctuation range. There are two different mechanisms for the volatility of stock returns. The exchange rate volatility is equal to 0.08238. In order to prevent the occurrence of systemic financial risk, we should strengthen the supervision of international hot capital and guide the exchange rate expectation in good time.
【作者单位】： 昆明理工大学管理与经济学院;
【基金】：国家自然科学基金项目(41461026) 云南省人民政府与中国社会科学院合作项目(SYHZ2014004)
【分类号】：F832.51;F832.6
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本文编号：1575540