中国股价与汇率非线性累积过程的非对称迭代影响  

Asymmetric Recursive Influence of Nonlinear Accumulation Process of Stock Price and Exchange Rate in China

作　　者：刘柏[1] 张艾莲[1] 

机构地区：[1]吉林大学商学院

出　　处：《国际金融研究》2014年第10期87-96,共10页Studies of International Finance

基　　金：国家社会科学基金项目"完善人民币汇率形成机制及应对升值压力研究"(11BJY141);吉林大学基本科研业务费项目"人民币汇率市场化形成机制及制度模式研究"(2014QY058)

摘　　要：随着中国改革开放程度的深入,金融市场的融通作用越发显现,所以研究中国股票市场与外汇市场之间的互动关系对于理解金融市场化程度具有重要意义。本文通过KSS非线性单位根检验和协整检验表明,中国股票价格与汇率的水平值变化属于非线性累积过程,且两者之间存在长期均衡关系。通过状态空间模型实证检验发现,股市和汇市之间的影响关系是非对称的,其中汇率对股价的影响程度显著,呈现出时变效果的迭代路径。因此,在逐步开放资本市场的进程中,应保持汇率的有管理的离散浮动,建立反周期非对称的金融改革模式平抑市场波动产生的风险冲击和损失代偿。With the development of the opening and reform in China, the financing influence of the financial market is increasingly obvious. In the process of economic growth, the relationship between exchange rate and stock price is very im- portant. Through KSS nonlinear unit root test and cointegration test, the paper finds that the exchange rate and stock price fluctuations are nonlinear accumulation processes, and the relationship between exchange rate and stock price is equilibrium in a long term. Moreover, by using state space model, the paper finds that the influence between stock price and exchange rate is asymmetric. Furthermore, the effect of exchange rate on stock price is obvious, which shows the time-varying iteration path on the basis of the gradual opening of the capital market. Therefore, China should keep the managed floating exchange rate, and establish counter-cyclical asymmetric financial reform mode to restrain risk shock and compensatory damage caused by market fluctuation.

关 键 词：汇率 股票价格 KSS 状态空间模型 

分 类 号：F831[经济管理—金融学]