本文關(guān)鍵詞： 人民幣匯率 銀行股價 傳導(dǎo)機制 誤差修正模型　出處：《西南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著外匯體制改革的深化,我國外匯市場框架基本形成,匯率變化對國民經(jīng)濟影響日益明顯,對金融市場上的金融工具價格也產(chǎn)生了一定的影響,投資者也越來越關(guān)注匯率的變化。眾所周知銀行業(yè)在我國經(jīng)濟中的作用日益突出,它們已成為整個國家的經(jīng)濟支柱。而銀行股票價格是銀行發(fā)展水平的直接體現(xiàn),銀行股票價格的變動更能直觀的反映出各銀行的發(fā)展水平和資金供求狀況的變化。商業(yè)銀行的經(jīng)營業(yè)績必然越來越多地受到人民幣匯率變動的影響。因此,研究人民幣匯率變動對銀行類股票價格的影響具有現(xiàn)實意義,特別是在當(dāng)前經(jīng)濟形勢下,人民幣升值壓力不斷增加,股票市場頻繁波動,以貨幣經(jīng)營為主要業(yè)務(wù)的商業(yè)銀行面臨越來越大的外匯風(fēng)險,研究匯率變動對銀行類股票價格的影響,會引起管理者及投資者對外匯和股票市場風(fēng)險的重視,提高風(fēng)險防范意識。 本文基于匯率與股票價格的基本理論,運用規(guī)范分析與實證分析相結(jié)合的方法研究匯率波動對銀行股票價格的影響。首先,對匯率與股票價格關(guān)系的代表性理論進行了系統(tǒng)回顧。其次,在借鑒國內(nèi)外學(xué)者研究成果的基礎(chǔ)上,具體分析了匯率波動對股票價格的傳導(dǎo)機制,包括國際資本、國際貿(mào)易、利率、公司業(yè)績、心理預(yù)期等多個傳導(dǎo)途徑；再次,對人民幣匯率和股價的關(guān)系進行了實證分析,依次運用了單位根檢驗、協(xié)整檢驗、格蘭杰因果檢驗、向量誤差修正模型、脈沖響應(yīng)分析和方差分解方法；最后,根據(jù)理論分析和實證結(jié)果,得出本文的研究結(jié)論和政策建議。 本文的基本結(jié)論是：1.匯率通過國際資本、國際貿(mào)易、利率、公司業(yè)績、心理預(yù)期等多個渠道影響股票價格。在人民幣升值的背景下,國際資本的長期流入對我國股票市場和經(jīng)濟的發(fā)展有積極作用。2.從長期來看,匯率與各銀行股價之間存在穩(wěn)定的協(xié)整關(guān)系；從短期來看,兩者具有雙向的格蘭杰因果關(guān)系。長期來看,當(dāng)人民幣升值時,銀行類股票價格上漲。說明長期以來,人民幣升值將有利于我國商業(yè)銀行的經(jīng)營發(fā)展,并最終引起我國商業(yè)銀行股價的上升。不同類型銀行之間,人民幣匯率對股票價格的影響程度呈現(xiàn)一定的差異性。格蘭杰因果檢驗結(jié)果顯示匯率與銀行類股價存在雙向的因果關(guān)系。3.滯后一期的人民幣名義匯率同銀行股票價格呈反向關(guān)系。誤差修正模型的實證結(jié)果,說明短期內(nèi),人民幣升值對股票價格有助漲的作用,反之,人民幣貶值對銀行類股票價格有助跌的作用。4.匯率波動對各上市銀行股票價格有一定的沖擊效果。脈沖分析和方差分解顯示,匯率對銀行股價有一個負(fù)向沖擊效應(yīng),這與長期均衡情況不符,可以運用我國貨市政策來解釋這一現(xiàn)象。當(dāng)人民升值時,為了防止經(jīng)濟過熱而產(chǎn)生通貨膨脹,央行實行緊縮銀根的反向操作,提高利率,從而導(dǎo)致股價下跌。因此,認(rèn)為短期內(nèi)存在匯率對銀行股價的負(fù)向沖擊效應(yīng),匯率對股價變動的貢獻率呈現(xiàn)先增后減的趨勢,貢獻率在1%-17%之間,并且存在一種長期穩(wěn)定的影響。 本文政策建議如下：1.推進外匯市場建設(shè),完善人民幣匯率形成機制。釋放正常結(jié)售匯需求,可以消除長期以來外匯供給無限膨脹、外匯儲備無限增長的負(fù)面影響,從而緩解人民幣的升值壓力。2.政府需要建立資金流向的動態(tài)監(jiān)測與預(yù)警機制,促進國內(nèi)金融市場的健康有序發(fā)展。在人民幣升值的背景下,套利和套匯的投機資本的頻繁進出會引起證券市場的劇烈動蕩,建立一套完整的國內(nèi)證券市場關(guān)于國際資本量的監(jiān)管和預(yù)警機制,有利于金融當(dāng)局對證券市場的有效監(jiān)管。3.引導(dǎo)合理的心理預(yù)期。心理預(yù)期因素對于外匯市場和股票市場的影響也越來越明顯,我國應(yīng)加大對普通投資者以及企業(yè)投資者的信息披露程度,培養(yǎng)一種正確的投資理念,使其對我國外匯市場和股票市場乃至整個經(jīng)濟有一個準(zhǔn)確的理解,并形成一個合理的預(yù)期,提高外匯市場和股票市場的相關(guān)性。4.投資者應(yīng)樹立正確的投資理念,提高對匯率波動風(fēng)險的防范意識,合理做出投資決策。5.銀行管理者應(yīng)及時有效地識別外匯波動風(fēng)險,制定合規(guī)的風(fēng)險防范體系,積極應(yīng)對匯率波動對銀行股價帶來的沖擊。商業(yè)銀行要強化匯率風(fēng)險意識,把防范匯率風(fēng)險提上日程。我國商業(yè)銀行應(yīng)當(dāng)重視當(dāng)前存在的匯率風(fēng)險,牢固樹立現(xiàn)代銀行風(fēng)險管理意識,始終堅持商業(yè)銀行經(jīng)營中的安全性、流動性和盈利性有機統(tǒng)一原則。
[Abstract]:With the deepening of the reform of the foreign exchange system, the framework of China's foreign exchange market is basically formed, the change of exchange rate impact on the national economy is more and more obvious, also have a certain impact on the financial market prices of financial instruments, investors are increasingly concerned about the changes in the exchange rate. As everyone knows role of the banking sector in China's economy has become increasingly prominent, they the pillar of the whole national economy. But the bank stock price is a direct reflection of the level of Bank Development Bank, the change of stock price changes can directly reflect the development level of the banks and the supply and demand of funds. The operating performance of commercial banks is becoming more and more necessary to be influenced by the change of RMB exchange rate. Therefore, study on the influence of RMB exchange rate the bank stock price has practical significance, especially in the current economic situation, the increasing pressure of RMB appreciation, the stock market frequency Commercial banks are facing more and more foreign exchange risk. The influence of exchange rate fluctuation on bank stock prices will cause managers and investors to pay attention to the risk of foreign exchange and stock market and raise awareness of risk prevention.
In this paper, the basic theory of exchange rate and stock price based on the impact of exchange rate fluctuations using the method of combination of normative analysis and Empirical Analysis on the stock prices of banks. Firstly, reviews the representative of the relationship between exchange rate and stock price theory. Secondly, on the basis of research results of scholars at home and abroad, analyzes the conduction the mechanism of exchange rate fluctuations on the stock price, including the international capital, international trade, interest rates, corporate performance, psychological expectations multiple pathways; thirdly, the relationship between the RMB exchange rate and stock price by empirical analysis, followed by the unit root test, cointegration test, Grainger causality test, vector error correction model, impulse response analysis and variance decomposition method; finally, according to the theoretical analysis and empirical results, this paper draws the conclusions and policy recommendations.
The basic conclusions are as follows: 1. the exchange rate through the international capital, international trade, interest rates, corporate performance, psychological expectations of multiple channels such as stock prices. In the context of RMB appreciation,.2. has positive effects in the long term long-term international capital flows on China's stock market and economic development, there is a cointegration relationship stability between the exchange rate and the bank's share price; in the short term, both have a two-way causal relationship between Grainger. Long term, when the appreciation of the renminbi, the price of bank shares rose. For a long time, the appreciation of the renminbi would be beneficial to our country commercial bank's business development, and ultimately cause a rise in China's commercial banks between different stock prices. The types of banks, the influence degree of RMB exchange rate on the stock price shows some differences. Grainger causality test results show that the exchange rate and bank shares there is a two-way causality The relationship between.3. RMB nominal exchange rate lag phase inverse relationship with bank stock prices. The empirical results of the error correction model, shows that in the short term, the appreciation of the renminbi will rise, the stock price on the other hand, the devaluation of the bank stock price has the effect of.4. exchange rate volatility or help have a certain effect on the market impact the price of bank shares. Impulse analysis and variance decomposition shows that the exchange rate has a negative impact effect on bank shares, which is inconsistent with the long-term equilibrium situation, I can use the domestic policy to explain this phenomenon. When people rise in value, in order to prevent the economy from overheating and inflation, the central bank to implement the reverse operation, monetary tightening the increase in interest rates, leading to a fall in share prices. Therefore, that there is exchange rate on bank shares the negative impact in the short term, the exchange rate and the stock price fluctuation of the contribution rate is first increased and then decreased Trend, the contribution rate is between 1%-17%, and there is a long-term stability effect.
In this paper, the policy suggestions are as follows: 1. the foreign exchange market construction, improve the RMB exchange rate formation mechanism. The release of the normal demand for foreign exchange, can eliminate the long-term supply of foreign exchange unlimited expansion, unlimited growth of the negative impact of foreign exchange reserves, in order to ease the dynamic monitoring and early-warning mechanism of the pressure of RMB appreciation.2. the government needs to establish the flow of funds, promote the domestic financial market the healthy and orderly development. In the context of RMB appreciation arbitrage, arbitrage and speculative capital will cause frequent volatility of securities market supervision, the establishment of a complete set of domestic securities market on international capital and early warning mechanism, is conducive to the effective supervision of the financial authorities.3. of the securities market to guide the rational expectation. Psychological expectations factors in the foreign exchange market and the stock market is becoming more and more obvious, China should increase for ordinary investors and The level of information disclosure of corporate investors, foster a correct concept of investment, to have an accurate understanding of China's foreign exchange market and the stock market and the economy as a whole, and form a reasonable expectation, improve investor.4. correlation between the stock market and foreign exchange market should establish the correct investment concept, improve the exchange rate fluctuations risk consciousness, make reasonable investment decision of.5. bank managers should identify the risk of foreign exchange fluctuations effectively, establish risk prevention system of compliance, actively respond to exchange rate fluctuations on the impact of stock banks. Commercial banks should strengthen the awareness of exchange rate risk, exchange rate risk management put on the agenda. China's commercial banks should pay more attention to the current the exchange rate risk, firmly establish the awareness of risk management of modern banking, always adhere to the safety operation in the commercial bank, liquidity and profitability have unified the original machine Then.

【學(xué)位授予單位】：西南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6;F832.51

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