【摘要】：本文采用滾動(dòng)時(shí)間窗口的技術(shù),基于協(xié)整檢驗(yàn)和Granger因果檢驗(yàn)的方法,檢驗(yàn)我國(guó)股票市場(chǎng)和人民幣兌美元匯率之間的聯(lián)動(dòng)關(guān)系。實(shí)證結(jié)果表明,股價(jià)與匯率之間長(zhǎng)期均衡關(guān)系是隨時(shí)間變化的。2008年之前,股價(jià)與匯率之間總體上不存在長(zhǎng)期均衡關(guān)系,而且僅存在匯率到股價(jià)的單向引導(dǎo)關(guān)系。2008年之后,二者之間總體上存在顯著的長(zhǎng)期均衡關(guān)系,而且股價(jià)與匯率互為對(duì)方變動(dòng)的Granger原因。運(yùn)用閾值誤差修正模型,我們發(fā)現(xiàn)股價(jià)與匯率之間的短期均衡存在顯著的非對(duì)稱(chēng)效應(yīng)。匯率對(duì)股價(jià)的短期影響要遠(yuǎn)遠(yuǎn)大于股價(jià)對(duì)匯率的影響。
[Abstract]:Based on cointegration test and Granger causality test, this paper uses the technology of rolling time window to test the linkage between the stock market and RMB / US dollar exchange rate. The empirical results show that the long-term equilibrium relationship between stock price and exchange rate changes with time. Before 2008, there was no long-term equilibrium relationship between stock price and exchange rate, and there was only a one-way guide relationship between exchange rate and stock price. There is a significant long-term equilibrium relationship between the two, and the stock price and the exchange rate are the Granger reasons for each other's movements. Using the threshold error correction model, we find that there is a significant asymmetric effect in the short-term equilibrium between stock price and exchange rate. The short-term effect of exchange rate on stock price is far greater than that of stock price on exchange rate.
【作者單位】： 蘇州大學(xué)商學(xué)院;蘇州大學(xué);
【分類(lèi)號(hào)】：F832.51;F832.52

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本文編號(hào)：2161067