本文選題：傳導機制　切入點：主成分分析　出處：《上海外國語大學》2017年碩士論文　論文類型：學位論文

【摘要】：在全球經(jīng)濟一體化的時代背景下,各國經(jīng)濟發(fā)展就像一個命運共同體,而中國作為新興國家代表和世界第一貿(mào)易大國,無疑與其他國家的聯(lián)系日益密切。一方面,國際因素對中國資本市場的影響逐步深化。另一方面,國內(nèi)股市、債市、匯市的三市聯(lián)動機制也進一步加強�；诖�,本文主要運用ADL模型和主成分分析法研究了匯率、國內(nèi)外債券收益率對我國上證綜指的影響。理論上,分別探討了匯率與股價之間的流量導向型理論和IS-LM-IA理論;利率與股價之間的現(xiàn)金流貼現(xiàn)理論和資本資產(chǎn)定價理論,并研究分析了匯率、利率對股價的傳導機制。實證上,以2013年1月1日-2016年11月30日的日度數(shù)據(jù)為樣本區(qū)間,借助MATLAB和EVIEWS計量軟件進行模型的構(gòu)建和檢驗。其中,因變量為上證綜指收益率,主要自變量分別為人民幣兌美元的即期匯率;中國、美國的10年期國債收益率及其滯后變量,同時加入了時間因素的影響。為了消除原始自變量之間的多重共線性,選擇了主成分回歸的方法,最終選擇了兩個主成分,根據(jù)其構(gòu)成形式分別表示為匯率、中美國債收益率的股市綜合外在影響因素代理變量F1及收益率自身滯后一期的內(nèi)在影響因素代理變量F2。在以主成分為自變量的回歸模型中,雖然消除了多重共線性,但是顯著性檢驗不能通過,最終的模型顯示,主成分F1、F2均與因變量股指收益率呈負相關(guān)關(guān)系。而F1又分別與匯率負相關(guān),與中美國債收益率正相關(guān),進而說明了我國股市與人民幣匯率之間呈正相關(guān)關(guān)系,與中美國債收益率之間呈負相關(guān)關(guān)系。其中,匯率與股指收益率的正相關(guān)關(guān)系可能是由于研究樣本期間內(nèi)股市出現(xiàn)了大漲大跌的異常劇烈波動現(xiàn)象所致。而我國國債收益率對股市的影響遵循社會總供求效應和資產(chǎn)組合替代效應。匯率對股市的影響遵循競爭力效應。另外,股指自身滯后一期的代理變量F2與因變量之間呈負相關(guān)關(guān)系,也與我國A股市場漲跌震蕩交替的市場常態(tài)相吻合。最后,匯率、中美國債收益率對應的最佳滯后期均為1期,而股指自身的最佳滯后期則分別為2期和3期。與此同時,股指表現(xiàn)還受時間因素的影響�？傊�,匯率,中美國債收益率確實能對我國A股市場產(chǎn)生較顯著的影響,且具有時滯效應。為了保持學術(shù)的嚴謹性,最終的模型還通過了ADF單位根檢驗來保證變量序列的平穩(wěn)性、通過了協(xié)整檢驗來說明研究變量之間存在長期均衡關(guān)系、通過了白噪聲檢驗和異方差檢驗以進一步排除偽回歸的可能,并進行了格蘭杰因果分析。最后,筆者分別提出了提升我國股票市場穩(wěn)定性和收益率的三點建議。總之,希望通過本文得出的合理經(jīng)濟模型,能更全面地揭示影響我國上證綜指走勢的國內(nèi)外因素,進而促進投資者做出更合理投資決策。
[Abstract]:In the context of the era of global economic integration, the economic development of all countries is like a community of destiny, while China, as the representative of the emerging countries and the world's largest trading country, is undoubtedly increasingly closely linked with other countries. On the one hand, The influence of international factors on China's capital market is gradually deepening. On the other hand, the linkage mechanism of domestic stock market, bond market and foreign exchange market is further strengthened. Based on this, this paper mainly uses ADL model and principal component analysis method to study the exchange rate. The influence of bond yield at home and abroad on the Shanghai Composite Index. Theoretically, the paper discusses the flow oriented theory and IS-LM-IA theory between exchange rate and stock price, the discounted cash flow theory between interest rate and stock price, and the capital asset pricing theory. The paper also analyzes the transmission mechanism of exchange rate and interest rate to stock price. Empirically, taking the daily data from January 1st 2013 to November 30th 2016 as sample interval, the model is constructed and tested by MATLAB and EVIEWS. The dependent variable is the yield of the Shanghai Composite Index, the main independent variable is the spot exchange rate of RMB against the US dollar. At the same time, the influence of time factor is added. In order to eliminate the multiple collinearity between the original independent variables, the principal component regression method is chosen, and finally two principal components are selected, which are expressed as exchange rate according to their constituent form. The stock market of the yield of Chinese and American Treasuries synthesizes the agent variable F1 of external influencing factors and the agent variable F2 of internal influencing factor of the lag period of yield itself. In the regression model with principal component as independent variable, although the multiple collinearity is eliminated, But the significance test can not pass. The final model shows that the principal component F1F _ 2 has a negative correlation with the yield of the dependent variable stock index, while F1 has a negative correlation with the exchange rate, and a positive correlation with the yield of Chinese and American Treasuries. It shows that there is a positive correlation between China's stock market and RMB exchange rate, and a negative correlation with the yield of Chinese Treasury bonds. The positive correlation between the exchange rate and the stock index yield may be due to the dramatic fluctuation of the stock market during the study period. However, the effect of the bond yield on the stock market follows the total social supply and demand effect. And portfolio substitution effects. Exchange rate effects on the stock market follow the competitiveness effect. In addition, There is a negative correlation between the proxy variable F2 and the dependent variable in the stock index itself, and it is also consistent with the normal state of the A-share market in China. Finally, the best lag between the exchange rate and the yield of Chinese and American Treasury bonds is 1 period. At the same time, the performance of the stock index is also affected by time factors. In short, the exchange rate and the yield rate of the Chinese Treasury bonds do have a more significant impact on China's A-share market. In order to maintain academic rigor, the final model also adopts ADF unit root test to ensure the stability of variable sequence, and cointegration test is used to show that there is a long-term equilibrium relationship between variables. White noise test and heteroscedasticity test are adopted to further eliminate the possibility of pseudo regression, and Granger causality analysis is carried out. Finally, the author puts forward three suggestions to improve the stability and yield of stock market in China. It is hoped that the reasonable economic model can fully reveal the domestic and foreign factors that affect the trend of the Shanghai Composite Index and promote investors to make more reasonable investment decisions.
【學位授予單位】：上海外國語大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F832.6

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