本文關(guān)鍵詞： 匯率 股價(jià) 傳導(dǎo)機(jī)制 向量誤差修正模型　出處：《中南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：外匯市場(chǎng)和股票市場(chǎng)是一國(guó)金融市場(chǎng)的兩個(gè)重要的組成部分,匯率代表的是外匯市場(chǎng)的價(jià)格,而股票價(jià)格可以視為國(guó)民經(jīng)濟(jì)狀況的風(fēng)向標(biāo)。我國(guó)外匯市場(chǎng)和股票市場(chǎng)之間的關(guān)聯(lián)性對(duì)國(guó)民經(jīng)濟(jì)的穩(wěn)定和發(fā)展會(huì)產(chǎn)生重大影響。尤其是經(jīng)過2005年7月21日的人民幣匯率制度的改革后,匯率的波動(dòng)幅度明顯加大,股票市場(chǎng)受匯率變動(dòng)的影響,也經(jīng)歷了一個(gè)先漲后跌的周期變動(dòng)。在這一背景下研究人民幣兌美元匯率對(duì)我國(guó)股價(jià)的影響具有十分重要的意義。 首先,本文理論部分回顧了國(guó)內(nèi)外學(xué)者關(guān)于匯率決定和股票定價(jià)的相關(guān)基礎(chǔ)理論,接著闡述了匯率以利率、貨幣供應(yīng)量、進(jìn)出口貿(mào)易、國(guó)際流動(dòng)資本和心理預(yù)期為中介影響股價(jià)的傳導(dǎo)機(jī)制； 其次,在理論部分闡述的五個(gè)傳導(dǎo)中介的基礎(chǔ)上,實(shí)證檢驗(yàn)各傳導(dǎo)機(jī)制在中國(guó)市場(chǎng)的有效性,結(jié)果顯示以貨幣供應(yīng)量、進(jìn)出口貿(mào)易和國(guó)際流動(dòng)資本為中介的傳導(dǎo)機(jī)制在中國(guó)市場(chǎng)是有效的,而以利率為中介的傳導(dǎo)機(jī)制在中國(guó)市場(chǎng)不順暢。接下來結(jié)合我國(guó)實(shí)際經(jīng)濟(jì)背景分析國(guó)際短期資本和貨幣供應(yīng)量在人民幣匯率的影響下,通過改變我國(guó)股票市場(chǎng)的資金供應(yīng)量作用于股價(jià)的過程。 再次,實(shí)證部分建立了股價(jià)、匯率、利率、貨幣供應(yīng)量和國(guó)際流動(dòng)資本五個(gè)變量的VEC模型,實(shí)證結(jié)果顯示短期內(nèi)人民幣匯率和利率與股價(jià)之間是負(fù)相關(guān)關(guān)系,而貨幣供應(yīng)量和國(guó)際流動(dòng)資本與股價(jià)之間是正相關(guān)關(guān)系,但是長(zhǎng)期內(nèi)只有人民幣匯率與股價(jià)間是正相關(guān)關(guān)系,其他三個(gè)變量均顯示與股價(jià)的負(fù)相關(guān)關(guān)系；并且只存在人民幣匯率、利率、貨幣供應(yīng)量和國(guó)際流動(dòng)資本對(duì)股價(jià)的單向因果關(guān)系,而四個(gè)變量對(duì)股價(jià)變動(dòng)的貢獻(xiàn)度從大到小排列是：國(guó)際流動(dòng)資本、人民幣匯率、貨幣供應(yīng)量、利率。 最后結(jié)合我國(guó)的實(shí)際經(jīng)濟(jì)背景,提出了諸如發(fā)行外匯基金債券、征收外匯交易稅、構(gòu)建資本流動(dòng)的動(dòng)態(tài)預(yù)警機(jī)制等應(yīng)對(duì)策略,以完善我國(guó)外匯市場(chǎng),實(shí)現(xiàn)匯率和股價(jià)的良性互動(dòng)。
[Abstract]:The foreign exchange market and the stock market are two important components of a country's financial market. The exchange rate represents the price of the foreign exchange market. The stock price can be regarded as the weather vane of the national economy. The relationship between the foreign exchange market and the stock market in our country will have a great influence on the stability and development of the national economy. Especially after July 21st 2005, the people. After the reform of the currency exchange rate system, The fluctuation range of exchange rate is obviously increased, and the stock market is affected by the exchange rate change, and it also goes through a cycle of rising first and then falling. Under this background, it is of great significance to study the impact of RMB / USD exchange rate on the stock price of our country. First of all, the theoretical part of this paper reviews the domestic and foreign scholars on the exchange rate determination and stock pricing related to the basic theory, and then elaborated the exchange rate by interest rate, money supply, import and export trade, International floating capital and psychological expectation are the transmission mechanism of intermediary influencing stock price; Secondly, on the basis of the five transmission mediums elaborated in the theoretical part, the paper empirically tests the validity of each transmission mechanism in the Chinese market, and the results show that the money supply is used. The transmission mechanism mediated by import and export trade and international liquid capital is effective in the Chinese market. However, the transmission mechanism mediated by interest rates is not smooth in the Chinese market. Next, it analyzes the international short-term capital and money supply under the influence of the RMB exchange rate in the light of the actual economic background of our country. By changing the supply of funds in the stock market in China, the process of acting on the stock price. Thirdly, the empirical part establishes the VEC model of stock price, exchange rate, interest rate, money supply and international current capital. The empirical results show that there is a negative correlation between RMB exchange rate and interest rate and stock price in the short term. There is a positive correlation between money supply, international current capital and stock price, but only RMB exchange rate is positively correlated with stock price in the long run, and the other three variables show negative correlation with stock price. And there are only one-way causality of RMB exchange rate, interest rate, money supply and international current capital on stock price, and the contribution of four variables to stock price changes from big to small is: international current capital, RMB exchange rate, Money supply, interest rate. Finally, considering the actual economic background of our country, this paper puts forward some countermeasures, such as issuing Exchange Fund Notes, collecting foreign exchange transaction tax, constructing a dynamic early-warning mechanism for capital flow, and so on, in order to perfect our foreign exchange market. Exchange rate and stock price to achieve benign interaction.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.52;F832.51;F224

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