中日两国汇率与股价指数的联动性分析  

Analysis of Comovements between Exchange Rates and Stock Prices:The case of China and Japan

作　　者：庞晓波[1] 李艳会[2] 

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]吉林大学商学院,吉林长春130012

出　　处：《现代日本经济》2010年第2期21-27,共7页Contemporary Economy OF Japan

基　　金：985工程项目吉林大学"经济分析与预测哲学社会科学创新基地"(985CXJD006);教育部人文社会科学重点研究基地重大项目"金融变迁中经济稳定增长与和谐发展条件识别和风险预警"(06JJD790012)

摘　　要：随着汇率限制和资本流动障碍的解除,一国的汇率与股市价格之间呈现出一种联动性。在对以利率为核心中介要素的传导机制进行理论分析的基础上,运用计量方法进行实证检验发现,外汇汇率与股市价格之间存在长期负相关关系。在长期内,我国上证综指是汇率变动的Granger原因。借鉴日本经验,我们不仅要看到人民币温和升值对股票市场价格的积极效应,同时更要重视股市泡沫破灭后的严重后果。中国可以采取循序渐进的汇率改革方式,坚持汇改的主动性、可控性以及渐进性,根据国际国内经济情况的变化适时、适度、逐步完善汇率机制,严控异常国际资本的流入,同时加强股市监管,努力营造公开、公正、透明的证券市场,为人民币将来的完全国际化提供一个市场制度基础。Deregulation in exchange rates and international capital flow may generate a comovement between exchange rates and stock prices of a country. This study conducts a theoretical analysis of the transmission mechanism with interest rates as the intermediate variable. ative association between foreign exchange rates and stock Empirical results show a significant long -run neg- prices. For China, the long - run Granger causality runs from Shanghai Stock Index to RMB rates. The lessons of Japan suggest that positive effects of RMB appre- ciation on share prices can be followed with serious consequences upon the burst of stock market bubble. A gradual approach may ensure the initiality, controllability and graduality of the exchange rate reforms. China should control the pace of the reform progress according to the changing international and domestic economic situations, tighten restrictions on abnormal capital inflow and strengthen the market supervision, in order to build an open, fair and transparent securities market as well as the institutional fundamentals for RMB internationalization.

关 键 词：汇率 股价指数 JOHANSEN协整检验 VEC模型 GRANGER因果关系 

分 类 号：F833.313[经济管理—金融学]