本文關(guān)鍵詞： 人民幣匯率 股票價(jià)格 聯(lián)動(dòng)性 傳導(dǎo)機(jī)制　出處：《廣東商學(xué)院》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2005年的股權(quán)分置改革和人民幣匯率形成機(jī)制改革打通了之前分割中國外匯市場(chǎng)和股票市場(chǎng)的壁壘，使得人民幣匯率與中國股票價(jià)格之間的傳導(dǎo)成為可能。而后各項(xiàng)改革措施的陸續(xù)出臺(tái)及國際金融危機(jī)發(fā)生對(duì)匯率與股價(jià)兩者之間的聯(lián)動(dòng)關(guān)系也造成了一定程度的影響。在此背景之下，本文展開對(duì)人民幣匯率和中國股票價(jià)格聯(lián)動(dòng)性的研究。 本文首先以匯率和股價(jià)的聯(lián)動(dòng)性基礎(chǔ)理論及兩者傳導(dǎo)機(jī)制的理論入手，從經(jīng)常項(xiàng)目和資本與金融項(xiàng)目?jī)蓚�(gè)角度定性地探討匯率和股價(jià)的傳導(dǎo)問題。在得出理論框架后，本文運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)的研究方法，構(gòu)建一系列模型，定量地分析了匯率和股價(jià)的相關(guān)性和傳導(dǎo)機(jī)制問題，對(duì)前文的理論結(jié)果進(jìn)行了檢驗(yàn)和補(bǔ)充。該部分的研究分為人民幣匯率和中國股票價(jià)格聯(lián)動(dòng)性研究和傳導(dǎo)機(jī)制研究?jī)蓚�(gè)部分，并從次貨危機(jī)前中后三個(gè)階段進(jìn)行了考察。在聯(lián)動(dòng)性研究部分，本文主要考察了人民幣匯率與中國股票價(jià)格之間的協(xié)整關(guān)系、因果關(guān)系以及兩者之間的波動(dòng)溢出效應(yīng)；在傳導(dǎo)機(jī)制研究部分，則側(cè)重于對(duì)經(jīng)常項(xiàng)目和資本與金融項(xiàng)目各傳導(dǎo)渠道變量的考察。 本文的最后部分為結(jié)論和政策建議，研究的結(jié)果表明股價(jià)與匯率在次貸危機(jī)前中后體現(xiàn)出了不同的相關(guān)關(guān)系。在得出結(jié)論之后，結(jié)合理論研究和國際國內(nèi)經(jīng)濟(jì)形勢(shì)，，本文對(duì)實(shí)證研究的結(jié)果進(jìn)行了解釋，該部分著重解釋了次貨危機(jī)前中后人民幣匯率和中國股票價(jià)格的相關(guān)性以及傳導(dǎo)機(jī)制產(chǎn)生差異的原因，即不同的傳導(dǎo)機(jī)制在此階段占主導(dǎo)作用從而使相關(guān)關(guān)系出現(xiàn)不一致。在此之后，本文提出了最終的結(jié)論和政策建議。
[Abstract]:In 2005, the split share structure reform and the reform of the RMB exchange rate formation mechanism broke through the barriers that had previously separated China's foreign exchange market from the stock market. The transmission between RMB exchange rate and Chinese stock price is possible. The successive introduction of various reform measures and the occurrence of international financial crisis have also resulted in a certain degree of linkage between exchange rate and stock price. Impact... in this context, This paper studies the linkage between RMB exchange rate and Chinese stock price. This paper begins with the basic theory of the linkage of exchange rate and stock price and the theory of transmission mechanism between them, and discusses the transmission problem of exchange rate and stock price qualitatively from the angles of current account and capital and financial account. In this paper, a series of models are constructed to quantitatively analyze the correlation and transmission mechanism between exchange rate and stock price. The research is divided into two parts: RMB exchange rate, Chinese stock price linkage and transmission mechanism. In the part of linkage research, this paper mainly studies the cointegration relationship, causality and volatility spillover effect between RMB exchange rate and Chinese stock price. In the part of conduction mechanism, it focuses on the current account and capital and financial project transmission channel variables. The final part of this paper is conclusions and policy recommendations. The results of the study show that the relationship between stock price and exchange rate is different before and after the subprime mortgage crisis. This paper explains the results of the empirical research. This part mainly explains the correlation between RMB exchange rate and Chinese stock price before and after the sub-commodity crisis, as well as the reason why the transmission mechanism is different. That is, different transmission mechanisms play a dominant role at this stage, resulting in inconsistent correlation. After that, this paper puts forward the final conclusions and policy recommendations.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.6;F832.51

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