人民币汇率错位与我国股市波动之间关系的实证分析

发布时间：2018-04-09 13:40

本文选题：人民币汇率错位　切入点：均衡实际汇率模型　出处：《江西财经大学》2013年硕士论文

【摘要】：自第二次世界大战后以美元为中心的布雷顿森林体系瓦解之后，各国陆续放弃了固定汇率制度，实施有管理的浮动汇率制度，外汇市场的波动幅度随之扩大。自此，外汇市场与股票市场之间的影响关系逐渐被经济金融学者所重视。发生于1997年的亚洲金融危机也表明了，在开放经济体制下，汇率的变动与股票市场的波动之间的关系越来越紧密。我国自2005年开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度以来，人民币就不再单一盯住美元，形成了更有弹性的人民币汇率制度，与此同时，我国股票市场进行了股权分置改革，股市综合指数在一定程度上反映了经济的整体运行情况。国际金融危机的爆发，使得发达国家经济率先受到重创，为挽救本国国内经济增长和就业稳定，发达国家相继推出了各种量化宽松货币政策，如QE1、QE2和QE3，从而变相地引起我国货币升值。在这一背景下，加强对汇率变动与股价波动之间的关联性研究具有重要的理论价值和现实意义。在内容上，本文主要分为两大部分：（1）对人民币均衡汇率水平和汇率错位的测算在这部分，首先对国际上常用的测算均衡汇率水平的理论进行详细地阐述，主要有五种：购买力平价理论(PPP)、基本要素均衡汇率理论(FEER)、自然均衡汇率理论(NATREX)、行为均衡汇率理论(BEER)和均衡实际汇率理论(ERER)。其中前四种理论主要是针对发达国家特有的经济特征提出来的，而均衡实际汇率理论(ERER)则考虑了发展中国家经济中的经济对外开放程度较低、资本项目受管制、双重汇率等特征。接下来，本文结合中国国情，综合考虑廖以高和吕江林、王磊关于均衡实际汇率模型(ERER)的拓展研究，使用1990年—2011年年度数据，经过理论与计量分析，建立了人民币汇率水平与政府支出水平、政府税收余额水平、经济对外开放程度、贸易条件、净资本流入等变量之间的模型。实证结果表明，除政府支出水平对人民币汇率水平的影响不显著之外，政府税收余额水平、经济对外开放程度、贸易条件和净资本流入对人民币汇率水平存在不同程度的影响。其中，政府税收余额水平的影响最大，其次为经济对外开放程度。最后，本文将政府支出水平、政府税收余额水平、经济对外开放程度、贸易条件和净资本流入进行H-P滤波，剔除其短暂性因素影响，得出上述变量的均衡值，再将上述变量的均衡值代入长期均衡汇率模型中测算出人民币均衡汇率水平，并使用汇率错位的定义计算出人民币汇率错位程度。结果发现，在1990—1996年，2003—2007年间，人民币汇率错位0，人民币汇率被低估；在1997—2002年，，2008—2011年间，人民币汇率错位0，人民币汇率被高估。（2）对人民币汇率错位与股市波动之间的关系进行实证分析在该部分，本文先从利率、进出口贸易额、货币供应量、心理预期等中介变量角度对汇率变动与股市波动之间的双向传导机制进行详细地描述；接下来，从理论上探讨了人民币汇率错位与股市波动之间的影响关系；最后，对测算出来的汇率错位与我国上证综合指数增长率进行格兰杰因果检验，研究结果表明，人民币汇率错位不是股市波动的格兰杰原因，股市波动也不是人民币汇率错位的格兰杰原因，并从外汇市场、股票市场和利率、货币供应量等中介变量角度进行了原因分析和政策建议。本文的主要创新点是前人在对汇率变动与股市波动之间的影响关系进行研究时，主要是从人民币汇率角度考虑，而没有从人民币汇率错位这样一个角度考虑。本文的不足之处有两点：(1)由于数据的可获取性和实证的不可操作性，本文忽略了人民币均衡汇率模型中的国内外利差和货币供应量这两个变量，这会使得人民币均衡汇率水平的测算具有一定的偏差；(2)由于本人的知识和能力所限，本文仅对人民币汇率错位与我国股市波动之间的影响关系进行了实证分析，而没有进一步从利率、货币供应量等中介变量对其传导机制进行实证分析。
[Abstract]:After the collapse of the second world war with the dollar as the center of the Bretton Woods system, countries have abandoned the fixed exchange rate system, the implementation of a managed floating exchange rate system, the fluctuation in the foreign exchange market expands. Since then, between foreign exchange market and the stock market's influence gradually by the economic and financial scholars pay great attention to the Asian financial crisis. In 1997 also show that, in the open economy system, the relationship between exchange rate and stock market volatility more closely. China began to implement the basis of market supply and demand since 2005, with reference to a basket of currencies, since a managed floating exchange rate system, the RMB will no longer peg to the dollar, formed a more flexible RMB exchange rate system, at the same time, China's stock market share reform, the stock index reflects to a certain extent The overall economic situation. The outbreak of the international financial crisis, the economy of developed countries to be hit, in order to save the domestic economic growth and employment stability, the developed countries have launched a variety of quantitative easing monetary policy, such as QE1, QE2 and QE3, thus disguised to bring up our currency appreciation. In this context, strengthening has important theoretical value and practical significance to study the relationship between exchange rate and stock price volatility.
In the content, this article is divided into two main parts.
(1) calculation of the equilibrium exchange rate of RMB and the dislocation of the exchange rate
In this part, firstly, the common calculation of equilibrium exchange rate theory in detail, there are five main types: the theory of purchasing power parity (PPP), the basic elements of the theory of equilibrium exchange rate (FEER), natural equilibrium exchange rate theory (NATREX), behavioral equilibrium exchange rate theory (BEER) and the equilibrium real exchange rate theory (ERER). Four of them are unique economic characteristics in developed countries put forward, and the equilibrium real exchange rate theory (ERER) is considered the economy of developing countries in economic opening degree is low, the capital account controls, dual exchange rate and other features.
Next, this paper Chinese conditions, considering Liao Yigao and Lv Jianglin, Wang Lei on the equilibrium real exchange rate model (ERER) research and development, the use of the 1990 to 2011 Annual data, through theory and econometric analysis, the establishment of the RMB exchange rate level and the level of government expenditure, government tax balance, economic openness, trade conditions, between net capital inflows and other variables in the model. The empirical results show that, in addition to government spending on the RMB exchange rate is not significant, government tax balance, economic openness, there are different degrees of impact on the level of RMB exchange rate and net capital inflow in terms of trade. Among them, government tax balance is the largest, followed by the economic degree of opening.
Finally, the level of government expenditure, government tax balance, economic openness, trade conditions and net capital inflows of H-P filter for eliminating influence of the transient factors reached the equilibrium value of the above variables, then the equilibrium value of the above variables into a long-term equilibrium to calculate the equilibrium exchange rate of RMB exchange rate model, and definition the use of exchange rate misalignment is calculated on the basis of the RMB exchange rate misalignment. The results showed that in 1990 - 1996, 2003 - 2007 years, the RMB exchange rate misalignment 0, RMB exchange rate is undervalued; in 1997 - 2002, 2008 - 2011 years, the RMB exchange rate misalignment 0, RMB exchange rate is overvalued.
(2) an empirical analysis of the relationship between the misposition of the exchange rate of RMB and the fluctuation of the stock market
In this part, firstly from the interest rate, import and export trade, money supply, detailed description of the two-way transmission mechanism between exchange rate and stock market volatility of the psychological expectations of the intermediary variables such as angle; next, discusses the RMB exchange rate misalignment and influence between the stock market volatility relationship in theory; finally, based on the RMB exchange rate misalignment and growth rate of Shanghai Composite Index Grainger causality test, the results show that the Grainger reason of RMB exchange rate misalignment is not the stock market volatility, stock market volatility is not the Grainger reason of RMB exchange rate misalignment, and from the foreign exchange market, the stock market and interest rate, money supply and other intermediary variable angle are analyzed and the reasons of policy advice.
The main innovation of this paper is to study the effects in the former between exchange rate and the relationship between stock market volatility, the RMB exchange rate is mainly considered from the point of view, without considering the RMB exchange rate misalignment from such a point of view. There are two shortcomings in this paper: (1) due to the availability of data and empirical not in this operation, ignoring the domestic and foreign interest rate and money supply model of RMB equilibrium exchange rate in these two variables, which makes the calculation of RMB equilibrium exchange rate has a certain deviation; (2) because of my knowledge and ability is limited, this article only carries on empirical analysis between RMB exchange rate misalignment and influence China's stock market volatility, and no further from the interest rate, money supply and other intermediary variables of the transmission mechanism for empirical analysis.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F832.51

【参考文献】