人民币汇率与股市相关性研究

发布时间：2018-01-13 01:06

本文关键词：人民币汇率与股市相关性研究　出处：《西北大学》2014年硕士论文　论文类型：学位论文

【摘要】：进入21世纪,由于经济全球化进程的不断加速和通信技术特别是网络的日益普及,全球金融自由化的水平显著提高。股票市场和外汇市场作为金融市场的重要组成部分,二者之间的相互联系随着自由化水平的提高也日益紧密。我国在2005年4月进行了股权分置改革,随后在7月份有进行了汇率形成机制改革,两项改革措施的出台,极大的增强了股票市场和外汇市场发展的活力,上证综和指数大幅上扬,而人民币兑美元汇率也持续走高,在本币升值预期下,大量国际游资进入中国大陆,也一定程度上助推了本轮的大牛市。但是,一场史无前例的金融危机迅速席卷全球,全球经济特别美国经济收到重创,中国经济也难以独善其身,由于对外贸易的不断恶化,我国经济收到了很大的影响,上证综指大幅下跌,从此进入了一个震荡调整期。与股票市场的剧烈波动不同,人民币兑美元汇率在这一时期趋于稳定,维持在6.80左右的水平。直到2010年06月,央行再次对人民币汇率形成机制进行市场化改革,进一步增加汇率波动的弹性,人民币兑美元汇率再一次进入了一个小幅上行的通道。在这一时期,A股市场继续震荡调整并有小幅下行的趋势,依然处于熊市之中。本文以相关的基本理论作为文章的逻辑起点,首先阐述了有关汇率的决定理论以及股价的决定理论,然后介绍了关于二者相关性的两个经典的理论模型——流量导向模型和股票导向模型,这两个模型是当前研究股价和汇率相关性的基础模型。此外,本文还在已有的理论基础上扩展了蒙代尔——弗莱明模型,从理论上进一步分析在开放经济条件下股价与汇率之间的相关性,使得我们能够更好地理解两个市场之间的相互影响机制。接下来,本文从利率、货币供应量、资本流动、心理预期等多种角度分析了外汇市场与股票市场的传导机制。紧接着是本文的实证分析部分,本文选取从2005年7月22日至2013年8月8日的日数据作为文章的样本数据,利用VAR模型以及MGARCH——BEKK模型对汇率与股价进行均值溢出效应分析和波动溢出效应分析。均值溢出效应分析的实证结果表明人民币兑美元汇率和股价之间存在正向的长期协整关系,二者之间具有双向的格兰杰因果关系,脉冲响应函数分析显示二者之间的长期影响关系比较微弱且汇率对于股价的影响比较大；MGARCH——BEKK模型的实证结果表明外汇市场与股票市场之间存在着明显的波动溢出效应,且汇率对于股价的风险传递比较大。两者之间的关系更倾向于流量导向模型,说明与发达国家相比,我国的外汇市场和股票市场还需要进一步完善。文章的最后一部分是本文的政策建议,根据前面的实证分析,本文提出了完善我国外汇市场以及股票市场的相关措施,希望通过不断推进改革提升两个市场的市场化水平,增强市场活力,为我国经济的发展提供良好的金融环境。由于外汇市场和股票市场的剧烈波动,且相互之间的关系也是复杂多变,从而使得对于二者之间相关性的研究也变得尤为迫切。探寻汇率和股价之间的相互联系不仅能了解在开放经济条件下二者之间的运行机制,更重要的为我国化解潜在的金融风险,更好地促进中国的经济改革特别是金融领域的改革,增强经济发展的活力提供一定的理论支持。
[Abstract]:In twenty-first Century, due to the process of economic globalization accelerating and communication technology, especially the growing popularity of the network, the global financial liberalization was significantly improved. The stock market and foreign exchange market as an important part of the financial market, the mutual contact between the two with the improvement of the level of freedom is increasingly close. In China in April 2005 the reform of non tradable shares, then in July the formation mechanism of exchange rate reform, the two reform measures, greatly enhance the stock market and foreign exchange market development, and the Shanghai Composite Index rose sharply, the yuan dollar exchange rate has continued to rise, in anticipation of currency appreciation, a large number of international hot money into China, also contributed to the current round of the big bull market. However, a financial crisis There was no parallel in history. quickly swept the world, the global economy in the U.S. economy Hard hit, Chinese economy can not be an exception, because foreign trade continues to deteriorate, China's economy has received great influence, the Shanghai Composite Index fell sharply, has now entered a period of adjustment. The shock volatility and stock market, the RMB exchange rate against the dollar tends to be stable during this period, maintained at a level of about 6.80 until 2010 06, the central bank once again on the RMB exchange rate formation mechanism reform, further increase the elasticity of exchange rate fluctuations, the RMB exchange rate against the dollar once again into a slightly upward channel. During this period, A stock market continued to shock adjustment and a slight downward trend, still in a bear market.
In this paper, the basic theory as the logical starting point of the thesis, firstly expounds the decision about exchange theory and price decision theory, and then introduces two classical theoretical model on the relationship between these two variables: flow oriented model and stock oriented model, the two model is the basic model of current research the correlation between stock prices and exchange rates. In addition, this article also based on the existing theory extends the Mundell Fleming model, further analysis of the correlation between stock price and exchange rate in open economy condition in theory, so that we can better understand the interaction mechanism between the two markets. Next, this article from the interest rate, money supply, capital flows, psychological expectations the various analyses the transmission mechanism of foreign exchange market and stock market. Then is the empirical analysis part, this paper selects from 2005 7 22 August to August 8, 2013 on the sample data of this paper, by using VAR model and MGARCH BEKK model analysis of mean spillover effect and the volatility spillover effect on the exchange rate and stock price analysis. The empirical analysis results show that the mean spillover effect of RMB against the U.S. dollar has long-term positive cointegration relationship between exchange rate and stock price, with two-way Grainger, the causal relationship between the two, the long-term effects between the impulse response function analysis showed that the relationship between the two is relatively weak and the exchange rate for the stock price impact is relatively large; the empirical MGARCH BEKK model results show that there are obvious volatility spillover effects between foreign exchange market and the stock market, and the exchange rate for the stock price risk transfer relationship is relatively large. Among the more inclined to flow oriented model shows that, compared with the developed countries, China's foreign exchange market and the stock market The need for further improvement. The last part is the policy suggestions according to the above analysis, empirical analysis, this article proposed consummates our country foreign exchange market and the stock market related measures, hope that through the level of market promotion and continue to promote the reform of the two markets, enhancing the vitality of the market, provide good financial environment for the development of China's economy.
Due to sharp fluctuations in the foreign exchange market and the stock market, and the relationship between each other is complex, which makes the research on the correlation between the two has become particularly urgent. To explore the relationship between exchange rate and stock price can not only understand the operation mechanism between the open economy of the two, more important for China to resolve the potential the financial risk, to better promote the China economic reform especially the reform of the financial sector, to enhance the vitality of economic development to provide certain theoretical support.

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

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