本文關(guān)鍵詞： 人民幣匯率變動(dòng) 房地產(chǎn)股指收益率 HP濾波法 MSBVAR模型　出處：《武漢金融》2017年06期 　論文類型：期刊論文

【摘要】：利用HP濾波法將人民幣匯率分解為長(zhǎng)期變動(dòng)和短期變動(dòng),通過構(gòu)建馬爾科夫區(qū)制轉(zhuǎn)換貝葉斯向量自回歸模型(MSB-VAR),分區(qū)制研究了匯率長(zhǎng)短期變動(dòng)與房地產(chǎn)股指收益率之間的關(guān)系。研究發(fā)現(xiàn),匯率變動(dòng)與房地產(chǎn)股指收益率之間的關(guān)系表現(xiàn)出Markov轉(zhuǎn)換過程。在高、低兩區(qū)制下,長(zhǎng)短期匯率變動(dòng)都對(duì)房地產(chǎn)股指收益率有較明顯的單項(xiàng)影響特征,其中長(zhǎng)期匯率變動(dòng)的影響有非對(duì)稱性。基于研究結(jié)論,文章最后針對(duì)股票市場(chǎng)的投資和市場(chǎng)監(jiān)管提出了相關(guān)建議。
[Abstract]:Using HP filtering method, the RMB exchange rate is decomposed into long-term and short-term changes, and the Bayesian vector autoregressive model of Markov region transformation is constructed. The study shows that the relationship between the exchange rate change and the return rate of real estate stock index shows the process of Markov conversion, and the relationship between the change of exchange rate and the rate of return of real estate stock index shows the process of Markov conversion. Under the system of low two regions, the long and short term exchange rate changes have obvious single influence characteristics on the real estate stock index yield, and the effect of the medium and long term exchange rate changes has asymmetry. Based on the research conclusion. Finally, the paper puts forward some suggestions on stock market investment and market supervision.
【作者單位】： 上海大學(xué);
【基金】：國(guó)家社會(huì)科學(xué)基金“絲綢之路經(jīng)濟(jì)帶與俄跨歐亞發(fā)展帶的對(duì)接研究”(2015BJL080)
【分類號(hào)】：F299.23;F832.51;F832.6
【正文快照】： 一、引言自2005年7月21日中國(guó)人民銀行宣布釘住一籃子貨幣以來,匯率變動(dòng)對(duì)金融市場(chǎng)的影響越來越大。2015年8月11日,央行宣布調(diào)整人民幣兌美元匯率中間報(bào)價(jià)機(jī)制,加快了匯率市場(chǎng)化的進(jìn)程。2016年10月1日人民幣正式加入SDR貨幣籃子,標(biāo)志著人民幣國(guó)際化進(jìn)程進(jìn)入新的發(fā)展時(shí)期。這一，

本文編號(hào)：1464053