本文選題：門限模型 + 滬深300指數(shù)�。� 參考：《吉林大學(xué)》2014年碩士論文

【摘要】：隨著經(jīng)濟(jì)全球化的不斷演進(jìn)，各個(gè)國家逐漸開始采用浮動(dòng)匯率制度，對(duì)于外匯市場的自由流動(dòng)給予了很大的支持，一定程度上鼓勵(lì)和支持國際間的資本流動(dòng)，所以匯率這一宏觀變量一直受到了學(xué)界的關(guān)注。而股票是一個(gè)國家金融資本市場的組成部分，對(duì)一國的經(jīng)濟(jì)具有非常大的重要性，作為一國經(jīng)濟(jì)的“晴雨表”實(shí)時(shí)反映了一國經(jīng)濟(jì)的現(xiàn)有狀況與變化。開放經(jīng)濟(jì)中，國際市場上聯(lián)系各國經(jīng)濟(jì)的紐帶就是匯率，二者應(yīng)該具有很強(qiáng)的關(guān)系。但是根據(jù)不同學(xué)者對(duì)不同國家運(yùn)用不同指標(biāo)的研究分析，二者的關(guān)系是模糊的、不確定的，全球范圍內(nèi)還沒有達(dá)成共識(shí)二者有雙向還是單向、正向還是反向關(guān)系，造成這種結(jié)果的原因一方面是由于不同國家所處的經(jīng)濟(jì)環(huán)境，社會(huì)形態(tài)不同；另一方面也要考慮到研究手段的準(zhǔn)確性預(yù)先進(jìn)行以及研究指標(biāo)的選取。 由于在2005年7月21日我國進(jìn)行了匯率改革，所以本文就以匯率改革之后剔除了特殊的沒有數(shù)據(jù)的天數(shù)作為研究對(duì)象，通過對(duì)傳統(tǒng)的流量理論和存量理論的分析，利用門限自回歸模型對(duì)我國滬深300指數(shù)與人民幣兌美元匯率之間的相互關(guān)系進(jìn)行實(shí)證研究，通過協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)以及誤差修正模型的應(yīng)用研究二者的因果關(guān)系，希望通過對(duì)二者關(guān)系的研究的結(jié)果，對(duì)之后的預(yù)測有所幫助。 本文研究得出如下結(jié)論：短期時(shí)滬深300指數(shù)與人民幣兌美元匯率存在雙向的因果關(guān)系，人民幣幣值上升，匯率下降會(huì)引起指數(shù)的上升，而股票指數(shù)的上升也會(huì)引起匯率的下降，人民幣幣值的上升，但從長期來看，無論是上區(qū)間還是門限的下區(qū)間部分都只存在匯率對(duì)滬深300指數(shù)的單向因果關(guān)系。人民幣兌美元匯率的變動(dòng)會(huì)影響股票指數(shù)的反向變動(dòng)，即匯率下降，人民幣幣值上升會(huì)引起滬深300指數(shù)的上升。短期來看，經(jīng)典的流量導(dǎo)向模型和存量導(dǎo)向模型都可以應(yīng)用來解釋雙方產(chǎn)生因果關(guān)系的過程；然而從長期來看，主要由一國的經(jīng)常賬戶或貿(mào)易收支情況引起的，匯率變動(dòng)之后會(huì)影響到國內(nèi)出口產(chǎn)品的國際競爭力，從而影響進(jìn)出口相關(guān)的國內(nèi)企業(yè)的貿(mào)易與經(jīng)濟(jì)發(fā)展速度，同時(shí)也會(huì)帶動(dòng)熱錢涌入國內(nèi)，而且人民幣兌美元匯率的變化也會(huì)影響以外幣計(jì)價(jià)的交易成本和暴露風(fēng)險(xiǎn)問題，從而會(huì)引起通貨膨脹從而影響股票價(jià)格，股票指數(shù)隨之變化，而且匯率的變化也會(huì)通過改變產(chǎn)品競爭力和以外幣記值的資產(chǎn)負(fù)債影響公司財(cái)務(wù)狀況，，從而影響股票價(jià)格和股票指數(shù)。
[Abstract]:With the continuous evolution of economic globalization, various countries gradually began to adopt floating exchange rate system, which gave a great support to the free flow of foreign exchange market, to a certain extent, encouraged and supported the international capital flow. Therefore, the exchange rate as a macro variable has been concerned by the academic community. As a "barometer" of a country's economy, stock is a component of a country's financial capital market, and it is of great importance to the economy of a country. As a "barometer" of a country's economy, it reflects the existing situation and changes of a country's economy in real time. In the open economy, the exchange rate is the link between the international market and other countries, and they should have a strong relationship. However, according to the research and analysis of different scholars applying different indicators to different countries, the relationship between the two is vague and uncertain, and there is no consensus in the world that there is a two-way or one-way, positive or reverse relationship between the two. On the one hand, the economic environment and social formation of different countries are different; on the other hand, the accuracy of research methods and the selection of research indicators should be taken into account. Because of the exchange rate reform in China on July 21, 2005, this paper takes the special days without data after the exchange rate reform as the research object, through the analysis of the traditional flow theory and stock theory. Using threshold autoregressive model, this paper makes an empirical study on the relationship between the CSI 300 index and the RMB / US dollar exchange rate, and studies their causality through co-integration test, Granger causality test and the application of the error correction model. It is hoped that the results of the research on the relationship between the two will be helpful to the prediction of the future. This paper draws the following conclusions: in the short term, there is a two-way causal relationship between the Shanghai and Shenzhen 300 index and the RMB / US dollar exchange rate. The rise of the RMB value, the decrease of the exchange rate will cause the index to rise, and the rise of the stock index will also cause the decline of the exchange rate. But in the long run, both the upper range and the lower part of the threshold have only one-way causality between the exchange rate and the CSI 300 index. The move of the yuan against the dollar will affect the reverse movement of the stock index, that is, a decline in the exchange rate, and a rise in the value of the yuan will lead to a rise in the Shanghai and Shenzhen 300 indices. In the short term, both the classical flow-oriented model and the stock-oriented model can be used to explain the causal process between the two parties; in the long run, however, they are mainly caused by a country's current account or trade balance. After the exchange rate changes, it will affect the international competitiveness of domestic export products, thus affecting the speed of trade and economic development of domestic enterprises related to imports and exports. At the same time, it will also drive hot money into the country. Moreover, the change in the exchange rate of the RMB against the US dollar will also affect the transaction costs and exposure to risks in foreign currency, which will cause inflation and affect the stock price. The stock index changes with it. The change of exchange rate also affects the financial position of the company by changing the competitiveness of the product and the assets and liabilities recorded in foreign currency, thus affecting the stock price and stock index.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F832.6

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