金融开放进程中外汇市场与股票市场的互动关系研究

发布时间：2018-04-16 01:04

本文选题：金融开放 + 外汇市场　；参考：《厦门大学》2014年硕士论文

【摘要】：“十二五”规划提出要“完善人民币汇率形成机制”,并“逐步实现人民币资本项目可兑换”,推动金融开放进程。未来人民币汇率将更富有弹性,资本市场也将更为开放,这将使金融市场面临更大的外部冲击。日本经济泡沫破裂以及亚洲金融危机的经验教训告诉我们,外汇市场和股票市场的扰动都会交互作用,形成对金融市场和实体经济的巨大冲击。因此,研究两个市场的互动对于维持金融市场稳定和经济健康具有重大意义。国内外学者己对汇市与股市关联性做了不少研究,有的研究说明存在两市间的双向互动关系,有的则表示只存在从一个市场到另一个市场的单向关系。多样化的结果体现了汇率与股价关系的“不规则性”。但是,我们仍然可以从“不规则”中寻找相对规律。本文特别地从金融开放的角度来研究外汇市场与股票市场的关系。首先,本文结合经典理论和我国金融开放进程来探讨汇市与股市之间的互动关系。其次,根据汇率机制的不同将样本区间划分为三阶段,建立VAR-MGARCH-BEKK模型来实证分析汇率机制演变过程中两市的溢出效应。再者,构建资本账户开放度指标,利用滚动窗口技术来研究资本账户开放度对两市关系的影响。研究结果表明,在重启汇率改革之前,人民币汇率是股价的预测因素,汇市与股市的波动溢出呈现双向特征。重启汇率改革之后,人民币汇率与股价互相引导,汇市与股市之间的波动溢出不显著。资本账户开放加强了两市相关性,而随着开放的深入发展,开放对两市相关性的增强效应减弱。金融市场间的风险传染可以通过深化金融部门改革来缓解。最后,文章根据研究结论提出了对汇率机制改革和资本账户开放的相关政策建议,以保证金融开放在稳定的市场环境中进行。
[Abstract]:The 12th Five-Year Plan proposes to "improve the RMB exchange rate formation mechanism" and "gradually realize RMB capital account convertibility" to promote the process of financial opening.In the future, the yuan will be more flexible and capital markets will be more open, which will expose financial markets to greater external shocks.The experience of Japan's bubble burst and the Asian financial crisis tells us that the disturbances in the foreign exchange market and the stock market will interact, creating a huge impact on the financial markets and the real economy.Therefore, it is of great significance to study the interaction between the two markets to maintain the stability of financial markets and economic health.Scholars at home and abroad have done a lot of research on the correlation between the foreign exchange market and the stock market. Some studies show that there is a two-way interaction between the two markets, while others indicate that there is only a one-way relationship from one market to another.The result of diversification reflects the "irregularity" of the relationship between exchange rate and stock price.However, we can still look for relative laws in "irregularity".This paper studies the relationship between foreign exchange market and stock market from the angle of financial opening.Firstly, this paper discusses the interaction between the foreign exchange market and the stock market by combining the classical theory and the process of financial opening in China.Secondly, according to the different exchange rate mechanism, the sample interval is divided into three stages, and the VAR-MGARCH-BEKK model is established to empirically analyze the spillover effects of the two markets during the evolution of the exchange rate mechanism.Furthermore, the capital account openness index is constructed and the impact of capital account openness on the relationship between the two cities is studied by means of rolling window technology.The results show that before restarting the exchange rate reform, the RMB exchange rate is a predictor of stock price, and volatility spillover between the foreign exchange market and the stock market shows a two-way characteristic.After restarting the exchange rate reform, the RMB exchange rate and stock price lead each other, the volatility spillover between the exchange market and the stock market is not significant.The opening of the capital account strengthens the correlation between the two cities, but with the further development of the opening, the enhancement effect of the opening on the correlation between the two cities is weakened.Risk contagion between financial markets can be mitigated by deepening financial sector reform.Finally, according to the conclusions of the study, the paper puts forward some policy suggestions on the reform of exchange rate mechanism and the opening of capital account, in order to ensure that the financial opening is carried out in a stable market environment.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

【参考文献】