人民币汇率波动的农业股票价格效应研究  

Study on the influence of RMB exchange rate on agricultural stock price

作　　者：李建峰[1] 卢新生[2] 

机构地区：[1]同济大学经济与管理学院,上海200092 [2]上海大学经济管理学院,上海200444

出　　处：《河南农业大学学报》2016年第6期837-843,共7页Journal of Henan Agricultural University

基　　金：国家自然科学基金项目(71173088)

摘　　要：选取2009-11-02—2016-06-30人民币兑美元汇率、人民币兑欧元汇率、上证综合指数、农业板块指数和期货市场指数等数据,运用协整检验、格兰杰因果关系检验以及VAR-BEKK模型,对2008年金融危机后人民币汇率市场和农业股票市场和农产品期货市场之间的互动关系进行实证研究。实证分析发现,人民币汇率市场与农业股票市场和农产品期货市场之间均存在长期均衡的协整关系;汇率与农业股票和期货市场之间存在单向格兰杰因果关系;农业股票市场和期货市场与汇率市场之间存在双向波动溢出效应。In this paper we employ Co-integration analysis,GRANGER test and MGARCH-BEKK model to explore the interaction between the RMB exchange rate market and Chinese agricultural stock market and agricultural futures markets with the dataset covering from November 2,2009 to June 30,2016. Our research finds that there exists long-term equilibrium cointegration between the RMB exchange rate market and agricultural stock market and agricultural futures market. And we also find the presence of unidirectional GRANGER causality between exchange rates and agricultural stock and futures market. In addition,the empirical results also show that there exists bidirectional spillover effect between the exchange rate markets and stock and future markets.

关 键 词：汇率市场 农业板块 期货市场 多元波动率模型 

分 类 号：F832.6[经济管理—金融学] F832.51