人民币汇率与中国股市溢出效应研究——基于VAR-GARCH-BEKK扩展模型  

Study on RMB Exchange Rate and Stock Market Spillover Effect in China: Based on VAR-GARCH-BEKK Expansion Model

作　　者：史芳芳[1,2] 任小勋 

机构地区：[1]中国华融资产管理股份有限公司博士后工作站,北京100033 [2]武汉大学经济与管理学院博士后流动站,湖北武汉430072 [3]中国科学院大学经济与管理学院,北京100190 [4]上海证券交易所博士后工作站,上海200120

出　　处：《金融理论与实践》2016年第9期36-40,共5页Financial Theory and Practice

基　　金：国家自然科学基金面上项目"新时期国际资本流动特征及我国跨境资本流动风险预警"(项目批准号:71273257)

摘　　要：2014年3月汇改以来,人民币汇率和国内股票市场联动性明显增强。基于VAR-GARCHBEKK扩展模型实证研究了2014年3月18日到2016年1月15日期间人民币汇率和股指收益率间的关系。研究结果表明,汇率对股市不仅存在显著的均值溢出效应——即前期汇率的贬值会给股市带来收益率均值下行的压力,而且还存在汇率向股市的单向波动溢出效应。The linkage between RMB exchange rate and domestic stock market had an obvious strengthen since the exchange rate reform from March of 2014. This paper made an empirical research on the relationship between RMB exchange rate and stock index return rate from March 18 th of 2014 to Jan 15 th of 2016 based on VAR-GARCH-BEKK expansion model. The result showed that, not only the exchange rate had an obvious average spillover effect on stock market which meant the pre exchange rate devaluation would force the return rate average down, but also the exchange rate had one- way volatility spillover effect on stock market.

关 键 词：汇率 股票市场 VAR-GARCH-BEKK扩展模型 溢出效应 

分 类 号：F832.5[经济管理—金融学]