汇率波动、外部风险蔓延对我国股市的影响机制研究  

Joint Dynamics of RMB Exchange Rate and the Stock Markets:An Empirical Study Based on Endogenous Structural Break

作　　者：姚宏伟[1] 张彤 

机构地区：[1]中国民生银行西安分行 [2]陕西秦农银行总行

出　　处：《财务与金融》2016年第4期20-25,共6页Accounting and Finance

摘　　要：基于结构突变的新视角,重新审视人民币汇率、中美股市和利差因素之间的相互影响机理。通过内生变结构协整检验实证发现,样本期内几个金融子市场间的长期均衡关系出现了两次结构突变,汇率与股市间的关系符合流量导向型模型,汇率始终处于主动地位,存在着从汇率到股价的非对称性价格溢出效应;而在市场间联动性上,存在从美国股市到国内股市的非对称性价格溢出效应;全球金融危机是协整关系出现第一次结构突变的直接原因,而这种市场间的相互影响机制则在突变之后逐渐减弱。Based on perspectives of structural break, this paper the interaction mechanism of the RMB exchange rate, Sino-US stock markets and interest rate differentials. Through endogenous variable structure cointegration empirical study, we find that the long-term equilibrium relationship of several financial sub-markets appears twice structural breaks during the sample period, the relationship between the exchange rate and the stock market is in line with the flow-oriented model, the exchange rate is always in the driving position, there is asymmetric spillover effect from the exchange rate to stock prices; and there is asymmetric price spillover effect from the US stock market to domestic stock market in the market linkage; the global financial crisis is the direct reason of the first structure break of eointegration relations, but the interaction mechanism between the markets has weakened after the structural break.

关 键 词：金融市场 风险传递 结构突变 协整检验 

分 类 号：F830[经济管理—金融学]