本文選題：匯率　切入點(diǎn)：股價(jià)　出處：《天津工業(yè)大學(xué)》2017年碩士論文

【摘要】：隨著經(jīng)濟(jì)全球化、金融全球化發(fā)展以及金融自由化的發(fā)展,各國(guó)金融市場(chǎng)之間的相互聯(lián)系與影響程度日益加深。金融資產(chǎn)市場(chǎng)價(jià)格的波動(dòng)除了受到自身因素的影響,也愈來(lái)愈容易受到其他金融資產(chǎn)價(jià)格變動(dòng)的影響。作為外匯市場(chǎng)和股票市場(chǎng)價(jià)格的匯率和股票價(jià)格也必然存在某些聯(lián)系。研究二者之間的關(guān)系,首先為中央決策機(jī)構(gòu)在制定相關(guān)政策時(shí)提供參考,穩(wěn)定金融市場(chǎng),減少系統(tǒng)性風(fēng)險(xiǎn);其次,有助于跨國(guó)公司更好的管理外匯風(fēng)險(xiǎn);最后,有利于專(zhuān)業(yè)投資者更好的進(jìn)行資產(chǎn)配置,實(shí)現(xiàn)同等風(fēng)險(xiǎn)水平下收益最大化。因此,研究匯率和股票市場(chǎng)之間的關(guān)系意義重大。在我國(guó)金融市場(chǎng)化改革與發(fā)展過(guò)程中,人民幣在經(jīng)歷兩次匯率改革后人民幣波動(dòng)性越來(lái)越大,同時(shí)國(guó)內(nèi)金融市場(chǎng)與外部市場(chǎng)聯(lián)系越來(lái)越強(qiáng),A股市場(chǎng)和人民幣匯率的關(guān)系趨于密切,二者主要通過(guò)利率、國(guó)際收支,貨幣供給量、國(guó)際資本流動(dòng)等渠道相互影響。本文通過(guò)理論一實(shí)證的邏輯主線,首先通過(guò)梳理論述匯率決定和股票決定理論,回顧關(guān)于匯率和股價(jià)關(guān)系的經(jīng)典解釋即流量導(dǎo)向模型和證券導(dǎo)向模型,同時(shí)介紹了在宏觀和微觀角度進(jìn)行相關(guān)研究建立起的數(shù)學(xué)計(jì)量模型。然后運(yùn)用宏觀分析與微觀分析相結(jié)合的方法對(duì)匯率與股價(jià)波動(dòng)的傳導(dǎo)機(jī)制進(jìn)行分析,發(fā)現(xiàn)二者之間的傳導(dǎo)具有不完全對(duì)稱(chēng)。匯率波動(dòng)主要通過(guò)國(guó)際收支、貨幣供給以及國(guó)際資本流動(dòng)等方式影響股價(jià)。而股價(jià)波動(dòng)主要通過(guò)資產(chǎn)組合以及貨幣需求為中介影響匯率。在實(shí)證檢驗(yàn)階段,對(duì)人民幣兌美元匯率、上證A股指數(shù)、貨幣供給量、利率、國(guó)際熱錢(qián)數(shù)量以及凈出口額通過(guò)構(gòu)建VAR模型進(jìn)行實(shí)證分析,分別經(jīng)過(guò)平穩(wěn)性檢驗(yàn)、協(xié)整檢驗(yàn)、格蘭杰因果分析以及脈沖響應(yīng)分析。通過(guò)理論與實(shí)證分析,理論上在開(kāi)放經(jīng)濟(jì)環(huán)境中,匯率與股價(jià)存在雙向負(fù)相關(guān)關(guān)系,并分別通過(guò)一定的渠道中介進(jìn)行傳導(dǎo),但是匯率和股票市場(chǎng)價(jià)格聯(lián)動(dòng)機(jī)制及效果主要受一國(guó)金融市場(chǎng)的成熟度以及經(jīng)濟(jì)的開(kāi)放程度影響。針對(duì)我國(guó)進(jìn)行實(shí)證結(jié)果表明人民幣匯率和股票市場(chǎng)之間有一定的相關(guān)性,但是某些傳導(dǎo)中介卻難以在二者之間充分發(fā)揮作用。這主要是由于我國(guó)目前匯率市場(chǎng)化不足、股票定價(jià)機(jī)制扭曲等因素導(dǎo)致的。最后,結(jié)合我國(guó)現(xiàn)狀,提出我國(guó)外匯市場(chǎng)和股票市場(chǎng)健康協(xié)調(diào)發(fā)展,實(shí)現(xiàn)二者良性互動(dòng)的政策建議。
[Abstract]:With the development of economic globalization, financial globalization and financial liberalization, the degree of mutual connection and influence between countries' financial markets is deepening day by day.Besides its own factors, the fluctuation of market price of financial assets is more and more vulnerable to the change of price of other financial assets.As a foreign exchange market and stock market prices, exchange rates and stock prices must also have some relationship.The study of the relationship between the two, first of all, provides a reference for the central policy-making organs in formulating relevant policies, stabilizes the financial market and reduces the systemic risk; secondly, it helps transnational corporations to better manage the foreign exchange risk; finally,It is beneficial for professional investors to allocate assets better and to maximize income at the same risk level.Therefore, it is of great significance to study the relationship between exchange rate and stock market.In the process of financial marketization reform and development in China, the RMB has become more and more volatile after two exchange rate reforms.At the same time, the relationship between the domestic financial market and the external market is becoming stronger and stronger, and the relationship between the A-share market and the RMB exchange rate tends to be close. The two influence each other mainly through the channels of interest rate, international balance of payments, money supply, international capital flow and so on.Through the logical thread of theory and demonstration, this paper firstly discusses the theory of exchange rate decision and stock decision, and reviews the classical explanation of the relationship between exchange rate and stock price, that is, flow oriented model and securities oriented model.At the same time, it introduces the mathematical measurement model established by the related research in macro and micro angle.Then the transmission mechanism of exchange rate and stock price fluctuation is analyzed by the combination of macro analysis and micro analysis, and it is found that the transmission between exchange rate and stock price is not completely symmetrical.Exchange rate fluctuations affect stock prices mainly through balance of payments, money supply and international capital flows.But the stock price fluctuation mainly through the portfolio and the currency demand as the intermediary influence exchange rate.In the stage of empirical test, the exchange rate of RMB against US dollar, A share index of Shanghai Stock Exchange, money supply, interest rate, international hot money quantity and net export value are analyzed by constructing VAR model, which are tested by stability test and cointegration test, respectively.Granger causality analysis and impulse response analysis.Through theoretical and empirical analysis, theoretically in the open economic environment, there is a two-way negative correlation between exchange rate and stock price, and conduct through a certain channel intermediary respectively.However, the linkage mechanism and effect of exchange rate and stock market price are mainly affected by the maturity of a country's financial market and the degree of economic openness.The empirical results show that there is a certain correlation between the RMB exchange rate and the stock market, but it is difficult for some transmission intermediaries to play a full role between the two.This is mainly due to the lack of marketization of exchange rate and distortion of stock pricing mechanism.Finally, according to the present situation of our country, the paper puts forward some policy suggestions for the healthy and coordinated development of the foreign exchange market and stock market in our country so as to realize the positive interaction between the two markets.
【學(xué)位授予單位】：天津工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.6;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳肯界;文超;;人民幣匯率對(duì)股票價(jià)格指數(shù)的影響[J];中國(guó)市場(chǎng);2016年14期

2 胡小文;章上峰;;利率市場(chǎng)化、匯率制度改革與資本賬戶(hù)開(kāi)放順序安排——基于NOEM-DSGE模型的模擬[J];國(guó)際金融研究;2015年11期

3 劉林;孟燁;楊坤;;結(jié)構(gòu)變化、人民幣匯率與我國(guó)股票價(jià)格——理論解釋與實(shí)證研究[J];國(guó)際金融研究;2015年05期

4 郭凱;張笑梅;;人民幣匯率預(yù)期與股票價(jià)格波動(dòng)[J];國(guó)際金融研究;2014年08期

5 許祥云;朱鈞鈞;郭朋;;國(guó)際金融市場(chǎng)動(dòng)蕩和人民幣NDF匯率的動(dòng)態(tài)關(guān)系分析[J];國(guó)際金融研究;2013年06期

6 李曉杰;解淑青;;協(xié)調(diào)推進(jìn)中國(guó)利率、匯率與資本賬戶(hù)開(kāi)放改革理論及SVAR實(shí)證研究[J];宏觀經(jīng)濟(jì)研究;2013年03期

7 趙進(jìn)文;張敬思;;人民幣匯率、短期國(guó)際資本流動(dòng)與股票價(jià)格——基于匯改后數(shù)據(jù)的再檢驗(yàn)[J];金融研究;2013年01期

8 郭朋;劉沁清;;人民幣升值與國(guó)內(nèi)資產(chǎn)價(jià)格[J];上海金融;2012年07期

9 李曉峰;葉文娛;;匯率與股價(jià)關(guān)系研究最新進(jìn)展述評(píng)[J];經(jīng)濟(jì)評(píng)論;2010年03期

10 段星德;;我國(guó)外匯市場(chǎng)波動(dòng)性的實(shí)證研究[J];經(jīng)濟(jì)研究導(dǎo)刊;2010年05期

相關(guān)碩士學(xué)位論文 前1條

1 黃宜強(qiáng);匯率與股價(jià)相關(guān)性研究[D];浙江大學(xué);2008年

，

本文編號(hào)：1690499