股票价格、汇率和利率关系的实证研究——基于沪市股指、人民币汇率和存款基准利率  

Empirical Study on the Relationship of Stock Price,Exchange rate and Deposit Interest Rate

作　　者：魏佳[1] 荆雯[1] 杨昆元[1] 

机构地区：[1]昆明理工大学管理与经济学院,云南昆明650093

出　　处：《江苏商论》2012年第8期157-160,共4页Jiangsu Commercial Forum

摘　　要：本文通过对我国沪市股票价格指数、人民币汇率和存款基准利率三个变量运用VAR模型、VEC误差修正模型、Granger因果检验、脉冲响应函数和方差分解等方法进行实证研究,得出了以下结论:人民币汇率和存款基准利率对于股票价格指数均有不同程度的影响,而汇率变化对于股指变化的影响更大。同时股票价格指数对于汇率的变化也有一定程度的影响,而我国存款基准利率的调整则不受股票价格指数变化的影响。This article is on three variables including China＇s Shanghai Stock - price index, the Renminbi exchange rate and deposit interest rate, using VAR models, VEC model of error correction, Granger causality test, the impulse response function and variance decomposition methods for empirical research. The following conclu- sions are drawn： Both RMB exchange rate and the deposit interest rate have impact on stock price indices, while the exchange rate changes takes a greater effect. At the same time the stock price indices also has a certain de- gree of influence on the exchange rate changes, while deposit interest rate adjustments in our country is not un- der the influence of change of stock price index.

关 键 词：VAR模型 股票价格指数 人民币汇率 存款基准利率 

分 类 号：F832.51[经济管理—金融学]