本文關(guān)鍵詞：人民幣匯率與上證指數(shù)相關(guān)性的實證研究　出處：《華南理工大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 人民幣匯率 股票價格 傳導機制 相關(guān)性

【摘要】：2005年股權(quán)分置改革和匯率制度改革之后，我國股票價格和人民幣匯率逐步回歸市場化，二者之間的緊密聯(lián)系和相互影響關(guān)系也逐漸顯現(xiàn)。 本文利用協(xié)整檢驗和Granger因果檢驗方法對2005年8月至2011年12月人民幣匯率與上證A股、B股指數(shù)之間的相關(guān)性進行實證分析。本文首先對匯率與股票價格相關(guān)性的一般理論進行闡述，并對兩者相互影響的傳導機制進行分析，指出匯率與股票價格將通過以貿(mào)易余額、國際資本、利率、貨幣供應和心理預期為中介的傳導機制產(chǎn)生相互影響。然后運用計量經(jīng)濟模型對次貸危機前后人民幣匯率與股票價格之間的相關(guān)性進行實證研究。本文選取人民幣名義有效匯率作為人民幣匯率的代表，，選取上證A股和B股指數(shù)收盤價作為我國股票價格的代表，將研究區(qū)間劃分為兩個時期：2005年8月至2007年10月和2007年11月至2011年12月。先運用ADF方法檢驗各變量的平穩(wěn)性，檢驗結(jié)果表明三個變量在兩個時期內(nèi)的時間序列數(shù)據(jù)均為一階單整；再運用EG兩步法和Johansen協(xié)整方法檢驗人民幣匯率與上證指數(shù)的長期相關(guān)性和Granger因果檢驗驗證二者的因果關(guān)系。實證分析的結(jié)果表明：人民幣匯率和我國股市存在著一定程度的相關(guān)性，并且這種相關(guān)性隨著經(jīng)濟環(huán)境的變化而不斷改變。本文對兩個不同時期人民幣匯率和上證指數(shù)的相關(guān)關(guān)系進行比較分析和原因分析，得出以下結(jié)論：2005年8月至2007年10月期間，在以貿(mào)易余額、國際資本流動、貨幣供應量和心理預期為中介的傳導機制共同作用下，人民幣升值引起了我國A股市場和B股市場的上漲；A股市場的上揚通過貿(mào)易、貨幣需求、利率傳導機制促使人民幣匯率升值，但人民幣匯率的變動對B股市場的表現(xiàn)并不敏感。2007年11月至2011年12月期間，國內(nèi)和國際經(jīng)濟環(huán)境的轉(zhuǎn)變導致人民幣匯率對A股市場和B股市場的影響有所弱化；人民幣升值通過以貿(mào)易余額、國際資本流動和貨幣供應量為中介的傳導機制引起我國A股市場的下跌；A股市場的大幅震蕩導致熱錢流入加劇，引起人民幣升值；而B股市場的表現(xiàn)主要通過貿(mào)易傳導機制對人民幣匯率的變動產(chǎn)生負向的影響。最后，本文并結(jié)合日本股市在“廣場協(xié)議”后的表現(xiàn)，在加強對國際資本流動的監(jiān)控和加快市場利率化改革等方面對維護我國外匯市場和股票市場的穩(wěn)定提出相應的政策建議。
[Abstract]:After the reform of the split share structure and the exchange rate system in 2005, the stock price and RMB exchange rate in China gradually returned to marketization, and the close relationship and mutual influence between the two appeared gradually. This paper uses cointegration test and Granger causality test to analyze the RMB exchange rate and Shanghai Stock Exchange A from August 2005 to December 2011. Firstly, this paper expounds the general theory of the correlation between the exchange rate and the stock price, and analyzes the transmission mechanism of the interaction between the exchange rate and the stock price. Points out that exchange rates and stock prices will be based on trade balances, international capital, and interest rates. The transmission mechanism of money supply and psychological expectation is interacted. Then the correlation between RMB exchange rate and stock price before and after the subprime mortgage crisis is empirically studied by using econometric model. This paper selects the people to study the relationship between the RMB exchange rate and the stock price before and after the subprime mortgage crisis. The nominal effective exchange rate of RMB is the representative of RMB exchange rate. The closing price of Shanghai Stock Exchange A and B share index is chosen as the representative of Chinese stock price. The study interval is divided into two periods: August 2005 to October 2007 and November 2007 to November 2007. First, the ADF method is used to test the stability of the variables. The test results show that the time series data of the three variables in the two periods are all one-order and single-integer. EG two-step method and Johansen cointegration method are used to test the long-term correlation between RMB exchange rate and Shanghai Stock Exchange Index and Granger causality test to verify their causality. :. There is a certain degree of correlation between RMB exchange rate and Chinese stock market. And this correlation changes with the change of economic environment. This paper makes a comparative analysis and cause analysis on the relationship between RMB exchange rate and Shanghai Stock Exchange Index in two different periods. The following conclusions are drawn: from August 2005 to October 2007, the transmission mechanism is mediated by trade balance, international capital flow, money supply and psychological expectation. The appreciation of RMB has caused the rise of A-share market and B-share market in China. A-share market rally through trade, currency demand, interest rate transmission mechanism to promote the appreciation of the RMB exchange rate. However, the RMB exchange rate is not sensitive to the performance of the B-share market. November 2007 to December 2011. The change of domestic and international economic environment leads to the weakening of the influence of RMB exchange rate on A-share market and B-share market; RMB appreciation causes the decline of A-share market through the transmission mechanism of trade balance, international capital flow and money supply. The large volatility of the A-share market led to the intensification of hot money inflows, causing the appreciation of the RMB; The performance of B-share market mainly through the trade transmission mechanism has a negative impact on the change of RMB exchange rate. Finally, this paper combined with the performance of Japanese stock market after the Plaza Agreement. In the aspects of strengthening the supervision of international capital flow and speeding up the reform of market interest rate, the corresponding policy suggestions are put forward to maintain the stability of China's foreign exchange market and stock market.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.6;F832.51;F224

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本文編號：1431054