本文選題：金融開放 + 外匯市場(chǎng)�。� 參考：《廈門大學(xué)》2014年碩士論文

【摘要】：“十二五”規(guī)劃提出要“完善人民幣匯率形成機(jī)制”,并“逐步實(shí)現(xiàn)人民幣資本項(xiàng)目可兌換”,推動(dòng)金融開放進(jìn)程。未來(lái)人民幣匯率將更富有彈性,資本市場(chǎng)也將更為開放,這將使金融市場(chǎng)面臨更大的外部沖擊。日本經(jīng)濟(jì)泡沫破裂以及亞洲金融危機(jī)的經(jīng)驗(yàn)教訓(xùn)告訴我們,外匯市場(chǎng)和股票市場(chǎng)的擾動(dòng)都會(huì)交互作用,形成對(duì)金融市場(chǎng)和實(shí)體經(jīng)濟(jì)的巨大沖擊。因此,研究?jī)蓚�(gè)市場(chǎng)的互動(dòng)對(duì)于維持金融市場(chǎng)穩(wěn)定和經(jīng)濟(jì)健康具有重大意義。 國(guó)內(nèi)外學(xué)者己對(duì)匯市與股市關(guān)聯(lián)性做了不少研究,有的研究說(shuō)明存在兩市間的雙向互動(dòng)關(guān)系,有的則表示只存在從一個(gè)市場(chǎng)到另一個(gè)市場(chǎng)的單向關(guān)系。多樣化的結(jié)果體現(xiàn)了匯率與股價(jià)關(guān)系的“不規(guī)則性”。但是,我們?nèi)匀豢梢詮摹安灰?guī)則”中尋找相對(duì)規(guī)律。 本文特別地從金融開放的角度來(lái)研究外匯市場(chǎng)與股票市場(chǎng)的關(guān)系。首先,本文結(jié)合經(jīng)典理論和我國(guó)金融開放進(jìn)程來(lái)探討匯市與股市之間的互動(dòng)關(guān)系。其次,根據(jù)匯率機(jī)制的不同將樣本區(qū)間劃分為三階段,建立VAR-MGARCH-BEKK模型來(lái)實(shí)證分析匯率機(jī)制演變過(guò)程中兩市的溢出效應(yīng)。再者,構(gòu)建資本賬戶開放度指標(biāo),利用滾動(dòng)窗口技術(shù)來(lái)研究資本賬戶開放度對(duì)兩市關(guān)系的影響。 研究結(jié)果表明,在重啟匯率改革之前,人民幣匯率是股價(jià)的預(yù)測(cè)因素,匯市與股市的波動(dòng)溢出呈現(xiàn)雙向特征。重啟匯率改革之后,人民幣匯率與股價(jià)互相引導(dǎo),匯市與股市之間的波動(dòng)溢出不顯著。資本賬戶開放加強(qiáng)了兩市相關(guān)性,而隨著開放的深入發(fā)展,開放對(duì)兩市相關(guān)性的增強(qiáng)效應(yīng)減弱。金融市場(chǎng)間的風(fēng)險(xiǎn)傳染可以通過(guò)深化金融部門改革來(lái)緩解。 最后,文章根據(jù)研究結(jié)論提出了對(duì)匯率機(jī)制改革和資本賬戶開放的相關(guān)政策建議,以保證金融開放在穩(wěn)定的市場(chǎng)環(huán)境中進(jìn)行。
[Abstract]:The 12th Five-Year Plan proposes to "improve the RMB exchange rate formation mechanism" and "gradually realize RMB capital account convertibility" to promote the process of financial opening.In the future, the yuan will be more flexible and capital markets will be more open, which will expose financial markets to greater external shocks.The experience of Japan's bubble burst and the Asian financial crisis tells us that the disturbances in the foreign exchange market and the stock market will interact, creating a huge impact on the financial markets and the real economy.Therefore, it is of great significance to study the interaction between the two markets to maintain the stability of financial markets and economic health.Scholars at home and abroad have done a lot of research on the correlation between the foreign exchange market and the stock market. Some studies show that there is a two-way interaction between the two markets, while others indicate that there is only a one-way relationship from one market to another.The result of diversification reflects the "irregularity" of the relationship between exchange rate and stock price.However, we can still look for relative laws in "irregularity".This paper studies the relationship between foreign exchange market and stock market from the angle of financial opening.Firstly, this paper discusses the interaction between the foreign exchange market and the stock market by combining the classical theory and the process of financial opening in China.Secondly, according to the different exchange rate mechanism, the sample interval is divided into three stages, and the VAR-MGARCH-BEKK model is established to empirically analyze the spillover effects of the two markets during the evolution of the exchange rate mechanism.Furthermore, the capital account openness index is constructed and the impact of capital account openness on the relationship between the two cities is studied by means of rolling window technology.The results show that before restarting the exchange rate reform, the RMB exchange rate is a predictor of stock price, and volatility spillover between the foreign exchange market and the stock market shows a two-way characteristic.After restarting the exchange rate reform, the RMB exchange rate and stock price lead each other, the volatility spillover between the exchange market and the stock market is not significant.The opening of the capital account strengthens the correlation between the two cities, but with the further development of the opening, the enhancement effect of the opening on the correlation between the two cities is weakened.Risk contagion between financial markets can be mitigated by deepening financial sector reform.Finally, according to the conclusions of the study, the paper puts forward some policy suggestions on the reform of exchange rate mechanism and the opening of capital account, in order to ensure that the financial opening is carried out in a stable market environment.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6;F832.51

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