近期汇率体制改革后股价与汇率的联动效应及其检验  

Analyzing and Testing the linkage effect between Stock and Exchange Rate after the exchange-rate system reform

作　　者：李泽广[1] 高明生[1] 

机构地区：[1]南开大学经济学院金融系,天津300071

出　　处：《现代财经（天津财经大学学报）》2007年第10期7-12,共6页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：在全球外部失衡的宏观背景下,伴随着中国经济体制市场化和金融深化进程的加快,股票价格同汇率波动的相关性日益增强。根据从理论层面阐释二者相互作用的潜在机制和渠道,并采用中国的数据利用协整分析,发现在汇率体制改革(2005年7月21日)之后,二者的波动存在稳定的协整关系和双向的因果关系。因此,应理顺二者的互动机制需要推进各方面的综合改革,理顺这两个核心变量的互动机制,保持经济高效和健康发展。The relationship between fluctuations of stock price and exchange rate becomes closer in the background of global external imbalance with the paces of deeper financial liberalization. This article clarifies the inner channels of interaction between stock price and exchange rate. By using data of China, co integration relation between exchange rate and stock price has been found, and there is also pairwise granger cause between these two variables. Besides of which, this article also use impulse function to find out the inner mechanism and dvnamical adiustrnent nrocess.

关 键 词：汇率 股票价格 联动效应 实证分析 

分 类 号：F830.73[经济管理—金融学]