股票价格与汇率的非线性因果关系研究

发布时间：2018-05-06 21:23

本文选题：门限模型 + 沪深300指数　；参考：《吉林大学》2014年硕士论文

【摘要】：随着经济全球化的不断演进，各个国家逐渐开始采用浮动汇率制度，对于外汇市场的自由流动给予了很大的支持，一定程度上鼓励和支持国际间的资本流动，所以汇率这一宏观变量一直受到了学界的关注。而股票是一个国家金融资本市场的组成部分，对一国的经济具有非常大的重要性，作为一国经济的“晴雨表”实时反映了一国经济的现有状况与变化。开放经济中，国际市场上联系各国经济的纽带就是汇率，二者应该具有很强的关系。但是根据不同学者对不同国家运用不同指标的研究分析，二者的关系是模糊的、不确定的，全球范围内还没有达成共识二者有双向还是单向、正向还是反向关系，造成这种结果的原因一方面是由于不同国家所处的经济环境，社会形态不同；另一方面也要考虑到研究手段的准确性预先进行以及研究指标的选取。由于在2005年7月21日我国进行了汇率改革，所以本文就以汇率改革之后剔除了特殊的没有数据的天数作为研究对象，通过对传统的流量理论和存量理论的分析，利用门限自回归模型对我国沪深300指数与人民币兑美元汇率之间的相互关系进行实证研究，通过协整检验、Granger因果检验以及误差修正模型的应用研究二者的因果关系，希望通过对二者关系的研究的结果，对之后的预测有所帮助。本文研究得出如下结论：短期时沪深300指数与人民币兑美元汇率存在双向的因果关系，人民币币值上升，汇率下降会引起指数的上升，而股票指数的上升也会引起汇率的下降，人民币币值的上升，但从长期来看，无论是上区间还是门限的下区间部分都只存在汇率对沪深300指数的单向因果关系。人民币兑美元汇率的变动会影响股票指数的反向变动，即汇率下降，人民币币值上升会引起沪深300指数的上升。短期来看，经典的流量导向模型和存量导向模型都可以应用来解释双方产生因果关系的过程；然而从长期来看，主要由一国的经常账户或贸易收支情况引起的，汇率变动之后会影响到国内出口产品的国际竞争力，从而影响进出口相关的国内企业的贸易与经济发展速度，同时也会带动热钱涌入国内，而且人民币兑美元汇率的变化也会影响以外币计价的交易成本和暴露风险问题，从而会引起通货膨胀从而影响股票价格，股票指数随之变化，而且汇率的变化也会通过改变产品竞争力和以外币记值的资产负债影响公司财务状况，，从而影响股票价格和股票指数。
[Abstract]:With the continuous evolution of economic globalization, various countries gradually began to adopt floating exchange rate system, which gave a great support to the free flow of foreign exchange market, to a certain extent, encouraged and supported the international capital flow. Therefore, the exchange rate as a macro variable has been concerned by the academic community. As a "barometer" of a country's economy, stock is a component of a country's financial capital market, and it is of great importance to the economy of a country. As a "barometer" of a country's economy, it reflects the existing situation and changes of a country's economy in real time. In the open economy, the exchange rate is the link between the international market and other countries, and they should have a strong relationship. However, according to the research and analysis of different scholars applying different indicators to different countries, the relationship between the two is vague and uncertain, and there is no consensus in the world that there is a two-way or one-way, positive or reverse relationship between the two. On the one hand, the economic environment and social formation of different countries are different; on the other hand, the accuracy of research methods and the selection of research indicators should be taken into account. Because of the exchange rate reform in China on July 21, 2005, this paper takes the special days without data after the exchange rate reform as the research object, through the analysis of the traditional flow theory and stock theory. Using threshold autoregressive model, this paper makes an empirical study on the relationship between the CSI 300 index and the RMB / US dollar exchange rate, and studies their causality through co-integration test, Granger causality test and the application of the error correction model. It is hoped that the results of the research on the relationship between the two will be helpful to the prediction of the future. This paper draws the following conclusions: in the short term, there is a two-way causal relationship between the Shanghai and Shenzhen 300 index and the RMB / US dollar exchange rate. The rise of the RMB value, the decrease of the exchange rate will cause the index to rise, and the rise of the stock index will also cause the decline of the exchange rate. But in the long run, both the upper range and the lower part of the threshold have only one-way causality between the exchange rate and the CSI 300 index. The move of the yuan against the dollar will affect the reverse movement of the stock index, that is, a decline in the exchange rate, and a rise in the value of the yuan will lead to a rise in the Shanghai and Shenzhen 300 indices. In the short term, both the classical flow-oriented model and the stock-oriented model can be used to explain the causal process between the two parties; in the long run, however, they are mainly caused by a country's current account or trade balance. After the exchange rate changes, it will affect the international competitiveness of domestic export products, thus affecting the speed of trade and economic development of domestic enterprises related to imports and exports. At the same time, it will also drive hot money into the country. Moreover, the change in the exchange rate of the RMB against the US dollar will also affect the transaction costs and exposure to risks in foreign currency, which will cause inflation and affect the stock price. The stock index changes with it. The change of exchange rate also affects the financial position of the company by changing the competitiveness of the product and the assets and liabilities recorded in foreign currency, thus affecting the stock price and stock index.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.6

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