本文選題：匯率　切入點：股價　出處：《天津工業(yè)大學(xué)》2017年碩士論文

【摘要】：隨著經(jīng)濟(jì)全球化、金融全球化發(fā)展以及金融自由化的發(fā)展,各國金融市場之間的相互聯(lián)系與影響程度日益加深。金融資產(chǎn)市場價格的波動除了受到自身因素的影響,也愈來愈容易受到其他金融資產(chǎn)價格變動的影響。作為外匯市場和股票市場價格的匯率和股票價格也必然存在某些聯(lián)系。研究二者之間的關(guān)系,首先為中央決策機構(gòu)在制定相關(guān)政策時提供參考,穩(wěn)定金融市場,減少系統(tǒng)性風(fēng)險;其次,有助于跨國公司更好的管理外匯風(fēng)險;最后,有利于專業(yè)投資者更好的進(jìn)行資產(chǎn)配置,實現(xiàn)同等風(fēng)險水平下收益最大化。因此,研究匯率和股票市場之間的關(guān)系意義重大。在我國金融市場化改革與發(fā)展過程中,人民幣在經(jīng)歷兩次匯率改革后人民幣波動性越來越大,同時國內(nèi)金融市場與外部市場聯(lián)系越來越強,A股市場和人民幣匯率的關(guān)系趨于密切,二者主要通過利率、國際收支,貨幣供給量、國際資本流動等渠道相互影響。本文通過理論一實證的邏輯主線,首先通過梳理論述匯率決定和股票決定理論,回顧關(guān)于匯率和股價關(guān)系的經(jīng)典解釋即流量導(dǎo)向模型和證券導(dǎo)向模型,同時介紹了在宏觀和微觀角度進(jìn)行相關(guān)研究建立起的數(shù)學(xué)計量模型。然后運用宏觀分析與微觀分析相結(jié)合的方法對匯率與股價波動的傳導(dǎo)機制進(jìn)行分析,發(fā)現(xiàn)二者之間的傳導(dǎo)具有不完全對稱。匯率波動主要通過國際收支、貨幣供給以及國際資本流動等方式影響股價。而股價波動主要通過資產(chǎn)組合以及貨幣需求為中介影響匯率。在實證檢驗階段,對人民幣兌美元匯率、上證A股指數(shù)、貨幣供給量、利率、國際熱錢數(shù)量以及凈出口額通過構(gòu)建VAR模型進(jìn)行實證分析,分別經(jīng)過平穩(wěn)性檢驗、協(xié)整檢驗、格蘭杰因果分析以及脈沖響應(yīng)分析。通過理論與實證分析,理論上在開放經(jīng)濟(jì)環(huán)境中,匯率與股價存在雙向負(fù)相關(guān)關(guān)系,并分別通過一定的渠道中介進(jìn)行傳導(dǎo),但是匯率和股票市場價格聯(lián)動機制及效果主要受一國金融市場的成熟度以及經(jīng)濟(jì)的開放程度影響。針對我國進(jìn)行實證結(jié)果表明人民幣匯率和股票市場之間有一定的相關(guān)性,但是某些傳導(dǎo)中介卻難以在二者之間充分發(fā)揮作用。這主要是由于我國目前匯率市場化不足、股票定價機制扭曲等因素導(dǎo)致的。最后,結(jié)合我國現(xiàn)狀,提出我國外匯市場和股票市場健康協(xié)調(diào)發(fā)展,實現(xiàn)二者良性互動的政策建議。
[Abstract]:With the development of economic globalization, financial globalization and financial liberalization, the degree of mutual connection and influence between countries' financial markets is deepening day by day.Besides its own factors, the fluctuation of market price of financial assets is more and more vulnerable to the change of price of other financial assets.As a foreign exchange market and stock market prices, exchange rates and stock prices must also have some relationship.The study of the relationship between the two, first of all, provides a reference for the central policy-making organs in formulating relevant policies, stabilizes the financial market and reduces the systemic risk; secondly, it helps transnational corporations to better manage the foreign exchange risk; finally,It is beneficial for professional investors to allocate assets better and to maximize income at the same risk level.Therefore, it is of great significance to study the relationship between exchange rate and stock market.In the process of financial marketization reform and development in China, the RMB has become more and more volatile after two exchange rate reforms.At the same time, the relationship between the domestic financial market and the external market is becoming stronger and stronger, and the relationship between the A-share market and the RMB exchange rate tends to be close. The two influence each other mainly through the channels of interest rate, international balance of payments, money supply, international capital flow and so on.Through the logical thread of theory and demonstration, this paper firstly discusses the theory of exchange rate decision and stock decision, and reviews the classical explanation of the relationship between exchange rate and stock price, that is, flow oriented model and securities oriented model.At the same time, it introduces the mathematical measurement model established by the related research in macro and micro angle.Then the transmission mechanism of exchange rate and stock price fluctuation is analyzed by the combination of macro analysis and micro analysis, and it is found that the transmission between exchange rate and stock price is not completely symmetrical.Exchange rate fluctuations affect stock prices mainly through balance of payments, money supply and international capital flows.But the stock price fluctuation mainly through the portfolio and the currency demand as the intermediary influence exchange rate.In the stage of empirical test, the exchange rate of RMB against US dollar, A share index of Shanghai Stock Exchange, money supply, interest rate, international hot money quantity and net export value are analyzed by constructing VAR model, which are tested by stability test and cointegration test, respectively.Granger causality analysis and impulse response analysis.Through theoretical and empirical analysis, theoretically in the open economic environment, there is a two-way negative correlation between exchange rate and stock price, and conduct through a certain channel intermediary respectively.However, the linkage mechanism and effect of exchange rate and stock market price are mainly affected by the maturity of a country's financial market and the degree of economic openness.The empirical results show that there is a certain correlation between the RMB exchange rate and the stock market, but it is difficult for some transmission intermediaries to play a full role between the two.This is mainly due to the lack of marketization of exchange rate and distortion of stock pricing mechanism.Finally, according to the present situation of our country, the paper puts forward some policy suggestions for the healthy and coordinated development of the foreign exchange market and stock market in our country so as to realize the positive interaction between the two markets.
【學(xué)位授予單位】：天津工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.6;F832.51

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