汇改后人民币兑美元汇率与沪深300指数之间的关联性研究

发布时间：2018-05-07 03:35

本文选题：汇率 + 股价　；参考：《华中师范大学》2014年硕士论文

【摘要】：2005年5月,我国开始实施股权分置改革,宣告我国股市即将进入全流通时代,同年7月,拉响了人民币汇率制度改革,汇率弹性进一步增强。众所周知,股票市场和外汇市场是我国重要的资本市场,股价和汇率是反映股市和汇市行情和走势的重要指标,如今,两市的改革逐渐深入,我们不禁会问：股市和汇市之间是否会有关联性呢?若有,关联性会是怎样的呢?是正相关?负相关?是在增强,还是减弱?等等。国内外有很多学者都在研究汇率和股价之间的关系,由于数据的时间范围不同、变量的选择不同、模型的设定不同、研究方法的差异等,最后得到的结论也不尽相同。本文在现有文献的基础上,从理论和实证两个方面分析了我国汇率和股价之间的关联性。在理论方面,主要介绍了研究汇率和股价关系的两个经典模型,并整理归纳了他们之间可能存在的五个重要的中介变量：利率、进出口贸易余额、货币供给量、国际资本流动和心理预期,从而,在理论层面上明确了二者之间的关联性是有根据的。紧接着,在实证方面,本文考虑了中介变量,收集了汇改后最新最全的人民币兑美元汇率、沪深300指数和利率的日度数据,进行了相关性分析、平稳性检验、Johansen协整检验、VEC模型分析、Granger因果关系检验、脉冲响应函数分析、方差分解、ARCH效应分析以及引入虚拟变量考察美国金融危机对汇率和股价关联性的影响等等实证分析,并得到以下结论：第一,人民币兑美元汇率和我国股价之间存在长期稳定的均衡关系,并从协整方程中发现,从长期看,二者之间是正相关；但通过VEC模型方程得出,在短期内,它们之间呈现负相关关系。第二,人民币兑美元汇率与我国股价之间存在单向因果关系,股价是引起人民币汇率变动的格兰杰原因,而人民币汇率不是引起股价变动的格兰杰原因,这一点更加符合股票导向模型的结论。第三,我国人民币兑美元汇率和沪深300指数之间存在高阶的ARCH效应,并且存在信息冲击的非对称性。第四,美国金融危机对人民币兑美元汇率和我国股价之间的关联性产生了显著性影响。最后,本文结合理论分析和实证研究,为加强我国外汇市场和股票市场之间的关联性提出了简要的政策建议。
[Abstract]:In May 2005, China began to implement the reform of split share structure, announcing that the stock market of our country is about to enter the era of full circulation. In July of the same year, the reform of RMB exchange rate system was initiated, and the exchange rate elasticity was further strengthened. As we all know, the stock market and the foreign exchange market are important capital markets in China, and the stock price and exchange rate are important indicators to reflect the market and trend of the stock market and the foreign exchange market. Today, the reform of the two markets is gradually deepening. We can't help asking: is there any correlation between the stock market and the currency market? If so, what would be the relevance? Positive correlation? Negative? Is it strengthening or weakening? Wait. There are many scholars at home and abroad are studying the relationship between exchange rate and stock price. Because of the different time range of data, the different choice of variables, the different model setting, the difference of research methods, and so on, the final conclusions are also different. Based on the existing literature, this paper analyzes the relationship between exchange rate and stock price in China from both theoretical and empirical aspects. In theory, this paper mainly introduces two classical models to study the relationship between exchange rate and stock price, and sums up five important intermediary variables that may exist between them: interest rate, balance of import and export trade, money supply, etc. The relationship between international capital flow and psychological expectation is theoretically clear. Then, in the empirical aspect, this paper takes into account the intermediary variables, collects the latest and most complete daily data of RMB / US dollar exchange rate, Shanghai and Shenzhen 300 index and interest rate after the exchange rate reform, and carries on the correlation analysis. The stationary test and Johansen cointegration test analyze the Granger causality test, the impulse response function analysis, the variance decomposition and arch effect analysis, and the introduction of virtual variables to examine the impact of the US financial crisis on the exchange rate and stock price correlation, etc. The conclusions are as follows: First, there is a long-term stable equilibrium relationship between RMB / US dollar exchange rate and Chinese stock price, and from the co-integration equation, it is found that in the long run, there is a positive correlation between the two, but through the VEC model equation, in the short term, There is a negative correlation between them. Second, there is a one-way causal relationship between the exchange rate of the RMB against the US dollar and the stock price of China. The stock price is the Granger cause of the RMB exchange rate, while the RMB exchange rate is not the Granger cause of the stock price change. This is more in line with the conclusion of the stock-oriented model. Thirdly, there is a high order ARCH effect between the RMB exchange rate and the CSI 300 index and the asymmetry of the information shock. Fourth, the US financial crisis has a significant impact on the relationship between RMB and US dollar exchange rate and Chinese stock price. Finally, based on theoretical analysis and empirical research, this paper puts forward some policy suggestions for strengthening the relationship between foreign exchange market and stock market in China.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

【参考文献】