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  本文選題：匯率預(yù)期　切入點(diǎn)：股價(jià)　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：自浮動(dòng)匯率制度被各國(guó)采用以來,浮動(dòng)匯率制下外匯市場(chǎng)的自由變動(dòng)對(duì)于一國(guó)宏觀經(jīng)濟(jì)變量以及其他資本市場(chǎng)的影響一直受到學(xué)界的關(guān)注。股票市場(chǎng)作為一國(guó)資本市場(chǎng)重要組成部分,近二十年來由于受到國(guó)際間資本流動(dòng)規(guī)模急劇增加的影響,波動(dòng)也日益劇烈,作為一國(guó)經(jīng)濟(jì)的“晴雨表”的股票市場(chǎng)一定程度上反應(yīng)了本幣對(duì)外幣匯率變化的情況。在開放經(jīng)濟(jì)中,匯率作為聯(lián)系不同國(guó)家股票市場(chǎng)的紐帶,二者理應(yīng)存在很強(qiáng)的關(guān)聯(lián)性。但是基于不同國(guó)家不同時(shí)間段的研究表明,二者的關(guān)系是模糊的,學(xué)界沒有辦法形成共識(shí),原因一方面與特定研究對(duì)象的國(guó)情有關(guān),另一方面也受制于傳統(tǒng)研究方法的一些缺陷。 本文以我國(guó)2005年匯改為背景,從傳統(tǒng)的流量理論和存量理論出發(fā),引入?yún)R率預(yù)期的作用,分經(jīng)常賬戶和資本賬戶角度匯率預(yù)期與我國(guó)股價(jià)之間的作用機(jī)制,針對(duì)不同的中介變量分析其對(duì)股價(jià)的影響方向。結(jié)合研究企業(yè)外匯風(fēng)險(xiǎn)暴露相關(guān)模型,綜合利用格蘭杰因果檢驗(yàn)、面板數(shù)據(jù)檢驗(yàn)等方法進(jìn)行實(shí)證研究。 本文主要結(jié)論如下：我國(guó)企業(yè)外匯風(fēng)險(xiǎn)暴露程度與海外銷售占比正相關(guān)。匯率預(yù)期是引起股價(jià)波動(dòng)的單向格蘭杰原因,匯率預(yù)期通過經(jīng)常賬戶給股價(jià)帶來負(fù)面的影響,但是由于資本賬戶下的影響機(jī)制在匯改之后過于強(qiáng)大,導(dǎo)致匯率升值預(yù)期總體上引起股價(jià)上升。
[Abstract]:Since the floating exchange rate system was adopted by countries, The influence of the free change of foreign exchange market on a country's macroeconomic variables and other capital markets under floating exchange rate system has been concerned by scholars all the time. As an important part of a country's capital market, the stock market is an important part of a country's capital market. As a result of the sharp increase in the scale of international capital flows over the past two decades, the volatility has become increasingly acute. The stock market, as a "barometer" of a country's economy, to some extent reflects the change in the exchange rate of the local currency against foreign currency. In an open economy, the exchange rate acts as a link to the stock markets of different countries. But studies based on different countries and different periods of time show that the relationship between the two is vague and there is no way for the academic community to form a consensus, because, on the one hand, it is related to the national conditions of the particular research object. On the other hand, it is also restricted by some defects of traditional research methods. With the background of China's exchange rate reform in 2005, starting from the traditional flow theory and stock theory, this paper introduces the function of exchange rate expectation, and divides the mechanism between current account and capital account perspective between the exchange rate expectation and the stock price of our country. This paper analyzes the influence direction of different intermediary variables on stock price. Combined with the research of the related model of foreign exchange risk exposure, the empirical research is carried out by using Granger causality test and panel data test. The main conclusions of this paper are as follows: the degree of exposure to foreign exchange risk of Chinese enterprises is positively related to the proportion of overseas sales. Exchange rate expectation is the one-way Granger cause of stock price volatility, and exchange rate expectation has a negative impact on the stock price through the current account. But because the influence mechanism under the capital account is too strong after the exchange rate reform, the expectation of exchange rate appreciation generally causes the stock price to rise.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.6;F832.51

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本文編號(hào)：1623893