人民币汇率与股价间波动溢出效应的实证研究

发布时间：2018-03-09 23:37

本文选题：汇率　切入点：股价　出处：《统计与决策》2014年03期 　论文类型：期刊论文

【摘要】：文章以次贷危机所引发的全球金融危机为视角,采用2005~2013年人民币兑美元汇率和上证综合指数的日交易数据,将时间轴分为金融危机爆发前、金融危机时期和后金融危机时期,基于向量自回归多元GARCH模型考察了人民币汇率与股价间的波动溢出效应。结果表明,金融危机对人民币汇率与股价间的波动溢出效应具有显著影响,并且人民币汇率和股价在波动率和相互影响的关系上具有不同表现。
[Abstract]:From the perspective of the global financial crisis caused by the subprime mortgage crisis, using the daily trading data of RMB / US dollar exchange rate and Shanghai Composite Index from 2005 to 2013, the paper divides the time axis into the pre-crisis period, the financial crisis period and the post-financial crisis period. The volatility spillover effect between RMB exchange rate and stock price is investigated based on vector autoregressive multivariate GARCH model. The results show that the financial crisis has a significant impact on volatility spillover effect between RMB exchange rate and stock price. And RMB exchange rate and stock price have different performance in the relation of volatility and mutual influence.
【作者单位】：中南财经政法大学金融学院;
【基金】：教育部新世纪优秀人才支持计划(NCET-10-0828) 中南财经政法大学研究生创新教育计划项目(2012B0402)
【分类号】：F832.6;F832.51;F224

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