人民币汇率与股票价格联动关系的实证研究

发布时间：2018-04-03 17:48

本文选题：汇率　切入点：股票市场指数　出处：《西南财经大学》2014年硕士论文

【摘要】：外汇市场和股票市场一直是金融市场中两个重要的组成部分：外汇市场经营外币和以外币计价的证券,反映一国货币与世界其他种类货币之间比价关系；股票市场历来被称作国家经济的“晴雨表”,企业在股票市场上筹资所需资金、投资者则拓宽相应投资渠道。两个市场的重要性不言而喻,之间的联动关系也越来越呈现出深刻的影响,这种关系一直是业界学者争论的话题,但具体联动关系如何,却没有一个最终定论。各国学者针对不同的数据、不同地区和不同时间段,得出了不同结论,大体可以分为四类：汇率到股价的单向影响关系,股价到汇率的单向影响关系,汇率和股价有双向影响关系以及汇率和股价之间不存在关系或关系不大。把探讨人民币兑美元汇率和中国股票市场价格之间内在相关性作为研究课题,一方面既能够从理论上梳理和探究汇率与股票指数之间的内在联系和传导机制,另一方面又从实证角度探讨二者之间存在的关联性,比较在汇率形成机制改革之前与之后这种关联性的不同,对于理清汇率与股票市场价格波动之间相互关联的一般性以及更为特殊的讨论本土人民币汇率波动与中国股票市场价格之间联动性以及进一步深化中国金融制度改革具有都重要意义。为了在中国市场上验证汇率与股价关系具体属于前文所述的何种关系,不仅需要理论研究,也需要实证检验过程。本文所选取的汇率和股价数据皆为时间序列,为了研究他们之间的关系,需要对二者进行回归,通过对其系数的分析确定经济意义。本文依次采用平稳性检验、协整分析和构建误差修正模型的计量方法,将变量间长期协整关系和短期波动放在一个方程中进行讨论,得到长期均衡和短期波动的因果关系。其中,笔者还通过格兰杰因果检验进一步确认汇率与股价之间的因果关系。本文共分为五部分。第一部分做了时代背景的阐述和文献方面的梳理,总结形成四种基本理论；第二部分重点介绍汇率的概念和标价,汇率变动的决定因素,传导机制在汇率与股价之间的关系和在不同汇率制度(固定和浮动汇率制度)下汇率与股票价格之间的具体联动关系,将其作为研究的理论基础。第三部分是方法研究与数据处理,主要是笔者选取数据、指标和时间段的原因,以及模型的理论推导；第四部分为具体的实证检验,通过对数据的分析研究,笔者期望对过往的理论得到验证,并对构建好的模型进行进一步解释与阐述；第五部分为结论分析,结合我国国情深入讨论这一实证结果所代表的含义,并对当下政策进行解读和剖析。经过分析得出以下结论。第一,汇改前的人民币兑美元汇率序列和上证A股指数序列之间不存在长期均衡的协整关系；而人民币汇率形成机制改革之后人民币汇率与股价之间存在长期的协整关系；第二,针对汇改后数据进行Granger因果检验,发现存在人民币汇率到股价的因果关系,股价到人民币汇率影响很微弱,实证检验其不显著；第三,构建误差修正模型(ECM模型)和回归估计发现,存在人民币兑美元汇率到上证A股单向因果关系,长期和短期均满足人民币汇率上升(人民币贬值),股价上升；而不存在上证A股到人民币兑美元汇率之间的长期和短期单向因果关系。本文特点是将理论分析与实证检验相结合,用理论解释现实,用现实反映理论,同时使用现代计量经济学中的时间序列回归的方法对数据进行分析和处理。理论方面,汇率与股价间存在传导变量,联系股价和汇率之间的波动影响。实证方面,本文使用多种计量经济学方法,多角度研究,从两个方向考察汇率与股价之间的关系。同时,通过对人民币汇率形成机制改革前后这种关系变化的对比,考察汇率政策的影响。但文章也存在不足,比如在实证过程中仅选取了A股指数进行分析,如果能涵盖所有指数,或许结果会更为可靠。此外,时间选取周期中发生的全球性金融危机,可能会对汇率和股价都造成一定影响,但笔者未剔除这部分因素,这将成为笔者后续研究的方向。
[Abstract]:The foreign exchange market and the stock market have been two important components in the financial market : the foreign exchange market operates foreign currency and the securities denominated in foreign currencies , reflecting the relationship between the currency of a country and other kinds of currencies in the world ;
The stock market has always been called the " barometer " of the national economy , and the enterprise raises the necessary funds in the stock market . The importance of the two markets is self - evident , and the relationship between the exchange rate and the stock price has been influenced by the one - way influence of the exchange rate to the exchange rate .

In order to verify the relationship between exchange rate and stock price in Chinese market , it is necessary to study the relationship between exchange rate and stock price .

This paper is divided into five parts . The first part makes the exposition of the background of the times and the literature review , and summarizes the four basic theories .
The second part focuses on the concept and price of exchange rate , the determinants of exchange rate change , the relationship between exchange rate and stock price and the specific linkage between exchange rate and stock price under different exchange rate regime ( fixed and floating exchange rate system ) .
The fourth part is divided into concrete positive tests , through the analysis of the data , the author hopes to verify the past theories , and further explain and expound the constructed model ;
In the fifth part , this paper analyzes the significance of this empirical result in combination with our country ' s national conditions , and interprets and analyzes the present policy .

After analysis , the following conclusions are drawn . First , there is no long - term equilibrium relationship between the RMB exchange rate sequence and the Shanghai A - share index sequence in the former RMB exchange rate .
After the reform of RMB exchange rate formation mechanism , there is a long - term co - integration between RMB exchange rate and stock price .
Secondly , it is found that there is a causal relationship between RMB exchange rate and stock price , and the effect of stock price to RMB exchange rate is very weak .
Thirdly , the construction error correction model ( ECM model ) and the regression estimate find that there is a one - way causal relationship between the RMB and the dollar exchange rate to the SSE A share , and the long - term and the short - term meet the RMB exchange rate rise ( RMB depreciation ) , and the share price rises ;
There is no long - term and short - term causal relationship between the A - share and the RMB - to - dollar exchange rate .

This paper analyzes and deals with the relationship between exchange rate and stock price by combining the theory analysis with the empirical test , using the theory to explain the reality , and using the method of time series regression in modern econometrics .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

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