【摘要】：本文基于VAR-MGARCH模型,分別選擇人民幣對(duì)美元、歐元和日元等不同外幣的匯率,研究了我國(guó)股價(jià)和匯率之間的關(guān)聯(lián)。實(shí)證研究表明,存在一定程度的從人民幣對(duì)歐元匯率到股指的價(jià)格溢出效應(yīng),存在人民幣對(duì)歐元匯率和人民幣對(duì)日元匯率到股指的波動(dòng)溢出效應(yīng),但人民幣對(duì)美元匯率和股指之間既不存在明顯的價(jià)格溢出效應(yīng),也不存在明顯的波動(dòng)溢出效應(yīng)。總體來(lái)說(shuō),當(dāng)前我國(guó)股票價(jià)格和匯率之間的內(nèi)在關(guān)聯(lián)性并不強(qiáng)。為實(shí)現(xiàn)貨幣政策的有效傳導(dǎo),應(yīng)采取措施加強(qiáng)股市和匯市兩個(gè)市場(chǎng)的有機(jī)聯(lián)系。
[Abstract]:Based on the VAR-MGARCH model, this paper chooses the exchange rate of RMB against US dollar, euro and Japanese yen respectively to study the relationship between stock price and exchange rate in China. Empirical research shows that there is a certain degree of price spillover effect from RMB to euro exchange rate to stock index, RMB to euro exchange rate and RMB to Japanese yen exchange rate to stock index. However, there is neither obvious price spillover effect nor volatility spillover effect between RMB and US dollar exchange rate and stock index. Generally speaking, the relationship between stock price and exchange rate is not strong. In order to realize the effective transmission of monetary policy, measures should be taken to strengthen the organic relationship between the stock market and the exchange market.
【作者單位】： 江西財(cái)經(jīng)大學(xué)金融與統(tǒng)計(jì)學(xué)院;中澳亞太資本市場(chǎng)研究中心;桂林電子科技大學(xué)應(yīng)用科技學(xué)院;
【分類號(hào)】：F224;F832.51;F832.6

【參考文獻(xiàn)】

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本文編號(hào)：2430972