中国股价与汇率的连动关系——基于Morlet小波时频相关性分析  

The Relationship between Stock Prices and Exchange Rate in China:A Time-and Frequency-Varying Approach

作　　者：苏志伟[1] 姚宗良[1] 

机构地区：[1]中国海洋大学经济学院,山东青岛266100

出　　处：《中国海洋大学学报（社会科学版）》2016年第4期72-79,共8页Journal of Ocean University of China(Social Sciences)

摘　　要：应用Morlet小波时频相关性分析对中国股价和汇率间的连动关系进行实证研究。该方法既能分析时域维度上的结构性转变,又能分析频域上的短期、中期和长期相关性。研究结果表明,中国股价只在短期(一年以内)与汇率存在正相关关系,且股价是导致该时期内汇率波动的重要因素。最后,本文认为,要想在人民币国际化进程中保持汇率稳定,就应该要求中国股市健康平稳发展。This paper employed wavelet analysis to examine the relationship between stock prices and exchange rate in China. Wavelet analysis takes into account the simultaneous examination of correlation, causality and periodicity in both the time and frequency domains. We do find the positive correlation be- tween the two, and stock prices lead to the fluctuation of exchange rate in the time domain, and they only correlate with each other in the short run （within a year） in the frequency domain. These findings provide important implications that China＇s stock market should foster a healthy and stable development if we want to stabilize the exchange rate in the path of RMB＇s internationalization.

关 键 词：股价 汇率 小波相关性 时域 频域 

分 类 号：F224.0[经济管理—国民经济]