本文關鍵詞：人民幣匯率與股市相關性研究　出處：《西北大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 匯率 股價 VAR MGARCH—BEKK模型

【摘要】：進入21世紀,由于經(jīng)濟全球化進程的不斷加速和通信技術特別是網(wǎng)絡的日益普及,全球金融自由化的水平顯著提高。股票市場和外匯市場作為金融市場的重要組成部分,二者之間的相互聯(lián)系隨著自由化水平的提高也日益緊密。我國在2005年4月進行了股權分置改革,隨后在7月份有進行了匯率形成機制改革,兩項改革措施的出臺,極大的增強了股票市場和外匯市場發(fā)展的活力,上證綜和指數(shù)大幅上揚,而人民幣兌美元匯率也持續(xù)走高,在本幣升值預期下,大量國際游資進入中國大陸,也一定程度上助推了本輪的大牛市。但是,一場史無前例的金融危機迅速席卷全球,全球經(jīng)濟特別美國經(jīng)濟收到重創(chuàng),中國經(jīng)濟也難以獨善其身,由于對外貿(mào)易的不斷惡化,我國經(jīng)濟收到了很大的影響,上證綜指大幅下跌,從此進入了一個震蕩調整期。與股票市場的劇烈波動不同,人民幣兌美元匯率在這一時期趨于穩(wěn)定,維持在6.80左右的水平。直到2010年06月,央行再次對人民幣匯率形成機制進行市場化改革,進一步增加匯率波動的彈性,人民幣兌美元匯率再一次進入了一個小幅上行的通道。在這一時期,A股市場繼續(xù)震蕩調整并有小幅下行的趨勢,依然處于熊市之中。 本文以相關的基本理論作為文章的邏輯起點,首先闡述了有關匯率的決定理論以及股價的決定理論,然后介紹了關于二者相關性的兩個經(jīng)典的理論模型——流量導向模型和股票導向模型,這兩個模型是當前研究股價和匯率相關性的基礎模型。此外,本文還在已有的理論基礎上擴展了蒙代爾——弗萊明模型,從理論上進一步分析在開放經(jīng)濟條件下股價與匯率之間的相關性,使得我們能夠更好地理解兩個市場之間的相互影響機制。接下來,本文從利率、貨幣供應量、資本流動、心理預期等多種角度分析了外匯市場與股票市場的傳導機制。緊接著是本文的實證分析部分,本文選取從2005年7月22日至2013年8月8日的日數(shù)據(jù)作為文章的樣本數(shù)據(jù),利用VAR模型以及MGARCH——BEKK模型對匯率與股價進行均值溢出效應分析和波動溢出效應分析。均值溢出效應分析的實證結果表明人民幣兌美元匯率和股價之間存在正向的長期協(xié)整關系,二者之間具有雙向的格蘭杰因果關系,脈沖響應函數(shù)分析顯示二者之間的長期影響關系比較微弱且匯率對于股價的影響比較大；MGARCH——BEKK模型的實證結果表明外匯市場與股票市場之間存在著明顯的波動溢出效應,且匯率對于股價的風險傳遞比較大。兩者之間的關系更傾向于流量導向模型,說明與發(fā)達國家相比,我國的外匯市場和股票市場還需要進一步完善。文章的最后一部分是本文的政策建議,根據(jù)前面的實證分析,本文提出了完善我國外匯市場以及股票市場的相關措施,希望通過不斷推進改革提升兩個市場的市場化水平,增強市場活力,為我國經(jīng)濟的發(fā)展提供良好的金融環(huán)境。 由于外匯市場和股票市場的劇烈波動,且相互之間的關系也是復雜多變,從而使得對于二者之間相關性的研究也變得尤為迫切。探尋匯率和股價之間的相互聯(lián)系不僅能了解在開放經(jīng)濟條件下二者之間的運行機制,更重要的為我國化解潛在的金融風險,更好地促進中國的經(jīng)濟改革特別是金融領域的改革,增強經(jīng)濟發(fā)展的活力提供一定的理論支持。
[Abstract]:In twenty-first Century, due to the process of economic globalization accelerating and communication technology, especially the growing popularity of the network, the global financial liberalization was significantly improved. The stock market and foreign exchange market as an important part of the financial market, the mutual contact between the two with the improvement of the level of freedom is increasingly close. In China in April 2005 the reform of non tradable shares, then in July the formation mechanism of exchange rate reform, the two reform measures, greatly enhance the stock market and foreign exchange market development, and the Shanghai Composite Index rose sharply, the yuan dollar exchange rate has continued to rise, in anticipation of currency appreciation, a large number of international hot money into China, also contributed to the current round of the big bull market. However, a financial crisis There was no parallel in history. quickly swept the world, the global economy in the U.S. economy Hard hit, Chinese economy can not be an exception, because foreign trade continues to deteriorate, China's economy has received great influence, the Shanghai Composite Index fell sharply, has now entered a period of adjustment. The shock volatility and stock market, the RMB exchange rate against the dollar tends to be stable during this period, maintained at a level of about 6.80 until 2010 06, the central bank once again on the RMB exchange rate formation mechanism reform, further increase the elasticity of exchange rate fluctuations, the RMB exchange rate against the dollar once again into a slightly upward channel. During this period, A stock market continued to shock adjustment and a slight downward trend, still in a bear market.
In this paper, the basic theory as the logical starting point of the thesis, firstly expounds the decision about exchange theory and price decision theory, and then introduces two classical theoretical model on the relationship between these two variables: flow oriented model and stock oriented model, the two model is the basic model of current research the correlation between stock prices and exchange rates. In addition, this article also based on the existing theory extends the Mundell Fleming model, further analysis of the correlation between stock price and exchange rate in open economy condition in theory, so that we can better understand the interaction mechanism between the two markets. Next, this article from the interest rate, money supply, capital flows, psychological expectations the various analyses the transmission mechanism of foreign exchange market and stock market. Then is the empirical analysis part, this paper selects from 2005 7 22 August to August 8, 2013 on the sample data of this paper, by using VAR model and MGARCH BEKK model analysis of mean spillover effect and the volatility spillover effect on the exchange rate and stock price analysis. The empirical analysis results show that the mean spillover effect of RMB against the U.S. dollar has long-term positive cointegration relationship between exchange rate and stock price, with two-way Grainger, the causal relationship between the two, the long-term effects between the impulse response function analysis showed that the relationship between the two is relatively weak and the exchange rate for the stock price impact is relatively large; the empirical MGARCH BEKK model results show that there are obvious volatility spillover effects between foreign exchange market and the stock market, and the exchange rate for the stock price risk transfer relationship is relatively large. Among the more inclined to flow oriented model shows that, compared with the developed countries, China's foreign exchange market and the stock market The need for further improvement. The last part is the policy suggestions according to the above analysis, empirical analysis, this article proposed consummates our country foreign exchange market and the stock market related measures, hope that through the level of market promotion and continue to promote the reform of the two markets, enhancing the vitality of the market, provide good financial environment for the development of China's economy.
Due to sharp fluctuations in the foreign exchange market and the stock market, and the relationship between each other is complex, which makes the research on the correlation between the two has become particularly urgent. To explore the relationship between exchange rate and stock price can not only understand the operation mechanism between the open economy of the two, more important for China to resolve the potential the financial risk, to better promote the China economic reform especially the reform of the financial sector, to enhance the vitality of economic development to provide certain theoretical support.

【學位授予單位】：西北大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6;F832.51

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