汇率预期、中美息差及央行外汇干预对股票价格的影响  

The Impact of RMB Exchange Rate Expectation, Interest Rate Differential and Central Bank Intervention on Stock Price

作　　者：江春[1] 司登奎[2] 李小林[3,4] 

机构地区：[1]武汉大学金融研究中心 [2]武汉大学 [3]中国海洋大学 [4]青岛银行

出　　处：《国际金融研究》2016年第6期36-51,共16页Studies of International Finance

基　　金：国家自然科学基金项目“中国利率、汇率与央行资产负债及货币供应之间的交互影响:实证分析与政策意涵”(71373187);中国博士后科学基金项目“中国利率和汇率市场化对物价的影响及其政策意涵研究(2015M570608)”;青岛社科规划项目“利率市场化冲击下中小银行信用风险防控研究”(QDSKL150507);山东省社会科学规划项目“新常态下山东征信体系建设与区域金融风险防控研究”(15DJJJ20)的资助

摘　　要：随着我国金融自由化改革的全面深入,我国资本市场与国际资本市场之间的联系愈发紧密。本文通过构建开放经济条件下的两国模型,并结合无抛补利率平价理论以及考虑投资者异质性的股价动态调整方程对人民币汇率预期、外汇市场干预与中美息差影响股价的作用机理进行分析。在此基础上,文章进一步采用2006年10月至2015年8月的数据以及Logistic平滑转换误差修正模型(STECM)进行实证检验。研究结果显示,人民币汇率预期、外汇市场干预和中美息差对股价的影响存在显著的区制异质性,而且汇率预期变化对股价的影响最大,其次是央行外汇干预,而中美息差对股价的影响最小。在人民币出现较大幅度贬值预期的条件下,贬值预期的进一步增强及息差缩小或是"倒挂"均会导致股价下跌,此时央行的负向外汇干预有"止跌"作用,但该作用较小且不显著;而当人民币处于小幅贬值或是升值预期的环境中,升值预期的进一步增强及息差扩大会导致股价上涨,而此时央行大幅的正向外汇干预可能会助长股市泡沫的产生。该结论意味着,在我国资本账户不断开放以及汇率和利率市场化深入推进的过程中,强化汇率预期的管理、完善利率调控机制以及保持适度的央行外汇市场干预对于减少国际资本的投机并进而防范股票市场的异常波动具有非常重要的作用。The capital market in China and international capital market are closely linked with the reform of China＇s financial liberalization. This paper constructed an open economy model and analysed the theoretical transmission mechanism of RMB exchange rate expectation, foreign exchange market intervention and interest rate differential to stock price with Uncovered Interest Rate Parity and investors ＇heterogeneity. The paper further used the data from October 2006 to August 2015 and the Logistic smooth transition error correction mode （STECM） to carry out the empirical test. The results show that there exists significant heterogeneity impact of RMB exchange rate Expectation, foreign exchange market intervention on stock price, and the impact of exchange rate expectation is the largest and followed by foreign market intervention, the interest rate differential is the smallest. In the condition of RMB depreciation substantially, the further increasing of depreciation ex- pectation and the interest rate differential narrowing will cause the price to fall, the central bank＇s negative foreign interven- tion will prevent the price from falling, but the effect is small and not significant. However, in the environment of slight depreciation or appreciation expectation, the appreciation expectation further enhance and interest differential widen will cause stock price to rise, the positive intervention of central bank will contribute the stock market bubble. The conclusion implies that strengthen exchange rate expectation, improve interest rate adjustment mechanism and appropriate central bank foreign exchange market intervention will reduce speculation and further prevent abnormal fluctuations in the process of capital account opening and exchange rate and interest rate marketization.

关 键 词：汇率预期 中美息差 央行外汇市场干 预股价 STECM 

分 类 号：F831[经济管理—金融学]