我国汇率与股价关联性的变化及影响因素——基于MS-VAR模型的分析  

On the Changes of Relevance and Contributing Factors between Exchange Rate and Stock Price in China-Based on the Analysis of MS-VAR Model

作　　者：叶文娱[1] 

机构地区：[1]厦门大学,福建厦门361005

出　　处：《贵州财经学院学报》2010年第5期47-52,共6页Journal of Guizhou College of Finance and Economics

基　　金：国家自然科学基金项目"基于行为金融理论的人民币汇率及央行干预策略研究"(70873098)

摘　　要：运用MS-VAR模型对我国汇率与股价的相关性进行区制划分,证实了我国汇率与股价关联性处于"一波三折"的动态变化。此外对汇率与股价关联性动态变化的影响因素进行实证分析,结果发现资本市场的发达程度(股票市值/GDP)、汇率制度的弹性对关联性变化的影响很大。This paper distributes the relevance between exchange rate and stock price into zones by using MS-VAR model, confirming that the relevance is varying dynamically. In addition, an empirical analysis of the factors contributing to dynamic changes shows that the development level of capital market （ stock market capitalization / GDP） , and the elasticity of exchange rate have a big effect on the relevance changes.

关 键 词：汇率 股价 MS—VAR 

分 类 号：F830.2[经济管理—金融学]