结构变化、人民币汇率与我国股票价格——理论解释与实证研究  

Structural Changes,CNY/USD Exchange Rate and China's Equity Price:Theoretical Analysis and Empirical Study

作　　者：刘林[1] 孟烨[2] 杨坤[3] 

机构地区：[1]太原理工大学经济管理学院 [2]山西财经大学公共管理学院 [3]太原理工大学现代科技学院

出　　处：《国际金融研究》2015年第5期3-14,共12页Studies of International Finance

基　　金：国家自然科学基金项目(批号:71403179);太原理工大学引进人才科研项目(批号:tyutrc201263a);太原理工大学校基金(批号:2013Z012);2015年山西省优秀青年学术带头人项目的资助

摘　　要：本文在构建基于异质性投资者的行为金融理论模型的基础上,采用我国2005年汇改以来的月度数据,运用门限协整和带有随机波动率的TVP-VAR模型,实证研究了人民币汇率与我国股票价格之间的长短期非线性动态关系。理论模型结果表明,汇率与股价的联动关系依赖于众多因素,且在均衡状态下汇率与股价的关系是时变的。实证研究发现:(1)人民币兑美元汇率与股票价格存在门限协整关系,且表现出明显的非对称动态调整特征。(2)人民币兑美元汇率和我国股票价格的关系具有明显的时变效应。人民币兑美元汇率与我国股票价格之间的关系并不符合存量导向模型,但在2009年之前符合流量导向模型。(3)人民币兑美元汇率与股票价格之间的关系主要取决于整体的宏观经济环境(例如资本流动和汇率预期)。In this paper, on the basis of analysis of a constructed behavior finance model, we apply the threshold co-integration test and the time-varying parameter vector autoregressive model with stochastic volatility（SV-TVP-VAR） to analyze China’s monthly data from July 2005 to June 2013 to investigate the nonlinear long-run and short-run interplays between exchange rate and domestic equity price. The theoretical model suggests that the interactions between exchange rate and equity price are determined by many factors, and the interactions under equilibrium status change over time. The empirical results could be concluded as follows, first, CNY/USD exchange rate and China’s equity price are threshold co-integrated,and the two variables have significant features of asymmetric dynamic adjustment. Second, CNY/USD exchange rate and equity price have obvious time variant relationship, and the relations don’t support the existence of the ‘stock-oriented model’ in China, though the ‘flow-oriented model’ has been testified to be true before 2009. Third, the nexus between CNY/USD exchange rate and equity price are mainly affected by macroeconomic situations, such as international capital flows and expectations of exchange rate.

关 键 词：汇率 股票价格 异质性投资者 门限协整 TVP-VAR 

分 类 号：F831[经济管理—金融学]