人民币汇率贬值对A股市场的影响机制研究

发布时间：2018-01-02 15:36

本文关键词：人民币汇率贬值对A股市场的影响机制研究　出处：《国际经贸探索》2017年03期 　论文类型：期刊论文

【摘要】：2015年811汇改之后,人民币汇率贬值引发股市持续下跌。文章构建的分析框架显示:汇率对股市的影响存在基本面渠道、流动性渠道、投资者信心渠道及资产组合调整渠道等四大渠道。现阶段基本面渠道和流动性渠道影响甚微,而投资者信心渠道及资产组合调整是汇率影响股市的主要通道。根据811汇改至2016年6月末的数据进行的实证研究显示:人民币汇率与A股市场之间存在稳定的正相关关系,存在短期波动向长期均衡的反向修正机制,汇率变动是股市涨跌的Granger原因。货币当局应当明确汇率制度市场化改革的方向及目标,有效管理投资者预期,以期稳定市场、降低金融风险。
[Abstract]:In 2015, the RMB exchange rate depreciation caused the stock market to fall continuously after the 811 exchange rate reform. The analysis frame of this paper shows that there are fundamental channels and liquidity channels for the influence of the exchange rate on the stock market. Investor confidence channel and portfolio adjustment channel are four channels. At this stage, fundamental channel and liquidity channel have little influence. The channel of investor confidence and the adjustment of the portfolio are the main ways for the exchange rate to affect the stock market. According to the data from the 811 exchange rate reform to the end of 2016, the empirical study shows that:. There is a stable positive correlation between RMB exchange rate and A-share market. There is a reverse correction mechanism of short term fluctuation to long term equilibrium, and exchange rate change is the reason of stock market's rise and fall. Monetary authorities should make clear the direction and target of the marketization reform of exchange rate system. Effective management of investor expectations, with a view to stabilizing the market and reducing financial risk.
【作者单位】：上海交通大学管理科学与工程流动站;
【基金】：国家社科基金重大项目“完善经济社会发展考核评价体系研究”(14ZDA013)
【分类号】：F832.6;F832.51
【正文快照】： 一、引言自2005年人民币汇率形成机制改革以来,人民币兑美元汇率处于持续升值通道。近两年,美国经济复苏势头明显,美元走势强劲;而中国经济增速持续下滑,经济结构调整及债务风险化解压力日益加剧,人民币兑美元汇率贬值压力加大。2015年8月11日,中国人民银行宣布完善人民币中间

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