人民币汇率制度与股价的关系研究  

Research on the Relationship between RMB Exchange Rate Regime and Stock Price

作　　者：蒲斯纬[1] 许创强[2] 

机构地区：[1]上海证券交易所 [2]渤海银行北京分行

出　　处：《金融监管研究》2012年第11期80-100,共21页Financial Regulation Research

摘　　要：本文在已有文献的基础上,选择上证综指、名义有效汇率、RR的细致分类、人民币兑美元中间价、广义货币供应量和通货膨胀率6个变量,采集1994年1月—2011年12月和2005年8月—2011年12月两个阶段的月度数据构建VAR模型,运用脉冲响应函数和方差分解等技术,分析6类因素对中国股票价格走势的影响。结果表明,人民币汇率制度和汇率的变化会对货币供应量和通货产生一定的影响,从而间接地引起上证综指的变动。另外,上证综指的变化也会在一定程度上引起人民币汇率的波动。Based on relevant studies, we selected 6 variables including the SSE Composite Index, Nominal Effective Exchange Rate, RR-fine classification, the RMB against the U.S. Dollar price, Money Supply and CPI. The data collected to construct a VAR model is divided into two stages: January in 1994 to December in 2011, and August in 2005 to December in 2011. We then apply the pulse response function and variance decomposition in the analysis of the influence of these 6 factors on the trend of Chinese stock price. The results show that RMB exchange rate regime and exchange rate changes could influence the currency supply, which will cause the SSE Composite Index changes indirectly. In addition, the SSE Composite Index changes can cause the fluctuation of RMB exchange rate as well.

关 键 词：汇率制度 股票价格 汇率波动 

分 类 号：F832.6[经济管理—金融学] F832.51F224