發(fā)布時(shí)間：2018-03-31 13:06

  本文選題：匯率預(yù)期　切入點(diǎn)：股票價(jià)格　出處：《山東大學(xué)》2017年碩士論文

【摘要】：隨著我國金融自由化程度不斷加深,利率和匯率市場化改革也在不斷推進(jìn),資本流動(dòng)頻率顯著提升的同時(shí),外匯市場與資本市場之間的聯(lián)系也愈發(fā)的緊密。本文從無拋補(bǔ)利率平價(jià)理論以及股票市場和外匯市場中投資者需求變動(dòng)的角度出發(fā),將中外息差波動(dòng)以及短期國際資本流動(dòng)的因素納入到模型框架中,同時(shí)考慮了預(yù)期因素的影響,分析了匯率預(yù)期與股票價(jià)格之間的動(dòng)態(tài)關(guān)系及作用機(jī)理。本文采用2006年10月至2016年6月的樣本數(shù)據(jù),基于平滑轉(zhuǎn)換自回歸模型,并加入了中外息差及短期國際資本流動(dòng)等變量,對匯率預(yù)期與股票價(jià)格之間在不同區(qū)制下的相互影響關(guān)系進(jìn)行了實(shí)證檢驗(yàn)。通過理論推導(dǎo)及實(shí)證分析,結(jié)果顯示,匯率預(yù)期、中外息差及短期國際資本流動(dòng)對股票價(jià)格的影響存在顯著的區(qū)制異質(zhì)性。其中,在以匯率預(yù)期為轉(zhuǎn)換變量時(shí),不同滯后期的匯率預(yù)期對股票價(jià)格的影響有所差異,并且在不同區(qū)制下對股票價(jià)格的作用不同,在人民幣預(yù)期幣值較低時(shí)影響更為明顯。在人民幣預(yù)期幣值較高時(shí),中外息差(國外利率-國內(nèi)利率)擴(kuò)大會導(dǎo)致股票價(jià)格的下跌,此時(shí)短期國際資本的流入對股票價(jià)格的影響同樣是負(fù)向的;而當(dāng)人民幣幣值預(yù)期估值較低時(shí),中外息差(國外利率-國內(nèi)利率)擴(kuò)大會引發(fā)股票價(jià)格的上漲,而此時(shí)短期國際資本流動(dòng)對股票價(jià)格的影響并不顯著。從股票市場對外匯市場產(chǎn)生影響的角度來看,當(dāng)以短期國際資本流動(dòng)作為轉(zhuǎn)換變量時(shí),股票價(jià)格和短期國際資本流動(dòng)對匯率預(yù)期的影響并不顯著。中外息差對匯率預(yù)期的影響總體為正,即國外利率水平上升,會引起人民幣的貶值預(yù)期,尤其是在資本大規(guī)模撤離國內(nèi)市場時(shí),這種影響更為明顯。
[Abstract]:With the deepening of financial liberalization and the marketization of interest rate and exchange rate, the frequency of capital flow has increased significantly, and the relationship between foreign exchange market and capital market has become more and more close.From the point of view of the theory of no-subsidy interest rate parity and the change of investor demand in stock market and foreign exchange market, this paper brings the fluctuation of interest rate and short-term international capital flow into the framework of the model.At the same time, considering the influence of expected factors, the dynamic relationship and mechanism between exchange rate expectation and stock price are analyzed.This paper uses the sample data from October 2006 to June 2016, based on the smooth transformation autoregressive model, and adds variables such as Chinese and foreign interest margin and short-term international capital flows.This paper makes an empirical test on the interaction between exchange rate expectation and stock price under different regional systems.Through theoretical derivation and empirical analysis, the results show that there are significant regional heterogeneity in the influence of exchange rate expectation, Chinese and foreign interest rates and short-term international capital flows on stock prices.Among them, when the exchange rate expectation is taken as the conversion variable, the effect of the exchange rate expectation on the stock price is different, and the effect on the stock price is different under the different regional system, especially when the expected value of RMB is low.When the expected value of RMB is high, the spread of foreign interest rate (foreign rate-domestic interest rate) will lead to the decline of stock price, and the impact of short-term international capital inflow on stock price is also negative.When the value of RMB is expected to be low, the spread of foreign interest rate (foreign rate-domestic interest rate) will lead to the rise of stock price, while the short-term international capital flow has little effect on stock price.From the point of view of the influence of stock market on foreign exchange market, when the short-term international capital flow is taken as the conversion variable, the influence of stock price and short-term international capital flow on exchange rate expectation is not significant.The impact of interest rate differentials on foreign exchange rate expectations is generally positive, that is, the rise of foreign interest rates will lead to the expectation of RMB depreciation, especially when capital leaves the domestic market on a large scale.
【學(xué)位授予單位】：山東大學(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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本文編號：1690864