人民币汇率变动对我国股市影响的实证分析

发布时间：2018-11-06 19:23

【摘要】：汇率作为联系国内外市场最重要的一个变量,’对一国经济的平稳运行起着至关重要的作用。人民币汇率制度从2005年7月开始改革,至今已将近九年。在这九个年头里,人民币对美元一直呈现升值的状态。而同一时段内中国股市经历了一轮暴涨行情,之后在金融危机的冲击下又一路下跌,2008年11月后开始回调,最近两年股市则一直处于横盘局面。本文选取了自2005年7月至2014年3月的日数据,对沪深300指数与人民币对美元汇率建立实证模型,试图分析在变化无常的股市背后汇率对股市的影响机制。研究发现在整个样本区间,股市和汇率之间不存在明显稳定的长期均衡关系。但2008年11月以后,股市与汇率之间存在着明显的协整关系,因此本文以这段时间的样本为重点研究对象,运用误差修正模型、向量自回归模型、一元GARCH和二元GARCH模型进行实证检验,发现在短期内汇率贬值对股市有负向影响,而长期内贬值利于股市的上升；股市与汇市波动率都存在明显的ARCH效应,但二者波动率之间不存在明显的相关性。另外,在对汇率与股市之间的影响中介的实证检验中,发现中美利差、国内货币供给以及净出口额并不能显著地认为是汇率与股市相互影响的传导中介,而物价水平是其传导中介之一。未来,随着我国市场经济的不断改革,市场本身的功能将越来越受到重视,那么汇率影响股市的机制得到进一步完善,对汇率与股市之间的相关性也会越来越显著。在历史上,无论是发达国家还是一些新兴经济体,汇率变动往往会引发股市的波动,进而对整个经济系统产生影响。因此,在制定政策的时候,应考虑到汇率与股市的联动性,从内外两个方面防范金融风险。
[Abstract]:Exchange rate, as the most important variable to the domestic and foreign markets, plays a vital role in the smooth operation of a country's economy. The RMB exchange rate system has been reformed for nearly nine years since July 2005. In these nine years, the renminbi has been appreciating against the dollar. During the same period, China's stock market experienced a sharp rally, then fell under the impact of the financial crisis, began a correction after November 2008, the stock market has been in a horizontal position for the last two years. Based on the daily data from July 2005 to March 2014, this paper establishes an empirical model of the Shanghai and Shenzhen 300 index and RMB / US dollar exchange rate, and tries to analyze the mechanism of the exchange rate's influence on the stock market behind the volatile stock market. It is found that there is no obvious stable long-term equilibrium relationship between stock market and exchange rate in the whole sample range. But after November 2008, there is an obvious cointegration relationship between stock market and exchange rate, so this paper focuses on the sample of this period, using error correction model, vector autoregressive model. The empirical test of univariate GARCH and binary GARCH model shows that the exchange rate depreciation has negative influence on stock market in the short term, while the depreciation in the long run is beneficial to the stock market rising. Both the volatility of stock market and foreign exchange market have obvious ARCH effect, but there is no obvious correlation between them. In addition, in the empirical test of the influence intermediary between the exchange rate and the stock market, we find that the spread of interest rate between China and the United States, the domestic money supply and the net export value can not be regarded as the transmission medium of the interaction between the exchange rate and the stock market. And price level is one of its conduction intermediary. In the future, with the continuous reform of the market economy in our country, the function of the market itself will be paid more and more attention to, so the mechanism of the exchange rate influencing the stock market will be further improved, and the correlation between the exchange rate and the stock market will become more and more obvious. Historically, exchange rate movements in both developed and emerging economies have tended to trigger stock market volatility, which in turn has had an impact on the economy as a whole. Therefore, when making policy, we should consider the linkage between exchange rate and stock market and guard against financial risk from internal and external aspects.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.6

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