中国汇市与股市间的时变冲击影响研究  

Research on Time-varying Impacts of Impulse Response between China′s Exchange Rate Market and Stock Market

作　　者：曹广喜[1,2] 

机构地区：[1]南京信息工程大学经济管理学院,南京210044 [2]上海财经大学金融学院,上海200433

出　　处：《管理科学》2013年第1期89-100,共12页Journal of Management Science

基　　金：国家自然科学基金(70901044);中国博士后科学基金(20100480577);江苏省高校"青蓝工程"资助项目;江苏省政府留学基金~~

摘　　要：股市和汇市的动态关系研究对于宏观金融政策制定和微观投资决策具有重要参考价值。针对金融时间序列长记忆特征,改进Primiceri时变VAR模型(向量自回归模型),给出长记忆动态VAR模型。基于2005年8月1日至2011年10月20日的人民币对美元汇率、中国上证综合指数和美国标普500指数的日价格数据,利用长记忆动态VAR模型实证分析中国汇市与中美股市间的动态冲击影响关系。实证结果表明,人民币汇率和中国股价收益率序列具有长记忆特征,美国股价收益率具有反持续性特征;存在人民币汇率波动对中美股市波动的单向冲击影响关系,且汇市对股市的冲击持续期为7天左右,前3天的冲击影响具有一定的时变特征,但这种时变性具体表现为结构突变特征;人民币汇率波动对于股市冲击影响的时变性在短期与汇率机制改革政策有关,在长期与金融环境剧变有关。The study on the dynamic relationship between stock market and exchange rate market can provide important reference value to the macro-financial policy setting and micro-investment decision making. Taking the long memory character of financial time series into account, long memory dynamic VAR （Vector Auto-regression） model is proposed to improve the time-varying pa- rameter VAR model stated by Primiceri （2005）. Based on the long memory dynamic VAR model, dynamic relationships of im- pulse response among China＇s exchange rate market and stock markets in the United States and China are empirical analyzed by using the daily close prices of RMB nominal exchange rate and stock prices of Shanghai stock exchange composite index and S＆P 500 index from August 1,2005 to October 20,2011. The results show that long memory characteristics exist in China＇s exchange rate market and stock market while anti-persistence feature exists in the US stock market and there is a significant directional im- pulse response of stock markets in the United States and China to RMB exchange rate shocks. These impulse responses present time-varying characteristics in the first three days with the characteristics of structural breaks and last about 7 days totally. The results also indicate that the time-varying characteristics of impulse response of stock markets to RMB exchange rate shocks is re- lated to the RMB exchange rate mechanism reform in the short terul and the drastic changes in financial environment in the long term.

关 键 词：人民币汇率 长记忆 脉冲响应 时变性 动态VAR模型 

分 类 号：F830[经济管理—金融学]