本文關鍵詞：人民幣匯率與股價關系的實證研究，，由筆耕文化傳播整理發(fā)布。

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南京師范大學碩士學位論文人民幣匯率與股價關系的實證研究姓名:王瓊申請學位級別:碩士專業(yè):金融學指導教師:劉陽20080603摘要自2005年7月21日匯改以來,人民幣匯率不斷升值,到2007年底,人民幣匯率累計升值高達8%。與此同時,上證指數(shù)從2005年6月6日的998點一直上漲到2007年lO月16日的6124點。人民幣匯率加速升值,股價不斷上漲,二者之間是否具有某種聯(lián)系?本文首先從基本理論出發(fā),全面分析匯率與股價之間相互影響及其傳導途徑;然后結(jié)合我國的實際,分析人民幣匯率與股價之間的關系;接著選取人民幣對各主要貨幣匯率,及A、B股股價進行實證分析;在文章的結(jié)尾部分,針對前文的理論與實證分析,提出相應的政策建議。具體來說,本文關注以下幾方面問題:第一,人民幣匯率與股價是否存在長期均衡關系:第二,人民幣匯率與股價之間是否存在因果關系;第三,如果二者之間存在長期均衡關系及因果關系,將如何防范由于金融各子市場之間的緊密聯(lián)系而可能引發(fā)的單一金融市場危機的迅速擴散,如果二者之間不存在長期均衡關系及因果關系,如何消除阻礙人民幣匯率與股價之間相互傳導的因素。對于上述問題,本文通過研究得到的結(jié)論概括如下:第一,人民幣對美元匯率與股價存在微弱的長期均衡關系,且存在人民幣對美元匯率到股價的單向因果關系,人民幣對其他貨幣匯率與股價均不存在長期均衡關系及因果關系;第二,由于我國外匯市場和股票市場存在的制度缺陷,使得人民幣匯率與股價之間不能自由傳導,對此,本文提出了相應的政策建議。關鍵詞:人民幣匯率股價升值實證研究ABSTRACTSince july 21,2005,the reform of the RMB exchange rate,the RMBexchange rate continued to rise,and the RMB exchange rate has appreciated8%by the end of 2007.At the same time,the posite index hasrisen to 6124 points on October 16,2007 from 998 points on june 6,2005.Stock prices continued to rise while the appreciation of the RMB exchangerate accelerated.whether there is a link between the RMB exchange rateand stock prices?From the basic theory,this paper makes prehensiveanalysis of the mutual influence and the channel of conduction betweenthe exchange rate and stock prices:then with China’S reality,this paperanalyzes the relation exsiting between the RMB exchange rate and stockprices:selecting the RMB against the principal currency exchange rate,A share and B share,this paper makes an empirical analysis:at the end ofthe article,this paper put forward the corresponding pol icysuggestions.Specifically,this paper concerns the following aspects:First,if a long—term equi l ibrium relationship exsits between the RMBexchange rate and stock prices:second,whether there is a causalrelationship between the RMB exchange rate and stock prices;Third,ifthere is a long—term equilibrium relationship and the causal relation,how to guard against the rapid spread of a single financial market crisislikely caused by the close ties between all of the financial markets.ifthere is not a long—term equilibrium relationship and the causal relation,how to eliminate the factors that obstruct the conduction between the RMBexchange rate and stock prices.For the above problems,this paper studiesto draw such conclusions as follows:First,a weak long—term equilibriumrelationship exsits between the RMB against US dollar exchange rate andstock prices,and a one-way causal relationship from the RMB against USdol lar exchange rate to stock prices exs i ts between the RMB against USHdol lar exchange rate and stock prices.a long—term equi l ibriumrelationship and a causal relationship don’t exsit between the RMB againstother currencies exchange rate and stock prices:Second,as the systemdefects exsiting in China’S foreign exchange market and stock market blockthe freely conduction between the RMB exchange rate and stock prices,thispaper put forward the correspondi ng pol i c

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  本文關鍵詞：人民幣匯率與股價關系的實證研究，由筆耕文化傳播整理發(fā)布。