汇率波动对股价区制转换的影响——基于LSTR模型的分析  

The Impact of Fluctuation in Exchange Rate on the Regime Switching of Stock Price——An Analysis Based on LSTR Model

作　　者：屠年松[1] 王浩[1] 

机构地区：[1]昆明理工大学管理与经济学院

出　　处：《金融论坛》2017年第5期62-71,共10页Finance Forum

基　　金：国家自然科学基金项目(41461026);云南省人民政府与中国社会科学院合作项目(SYHZ2014004)

摘　　要：本文在人民币汇率浮动区间扩大和"沪港通"的背景下,基于LSTR模型研究汇率波动对股价区制转换的影响,结论为:汇率对股价的影响存在区制转换,即在不同汇率波动区间,股票收益率波动有两种不同的机制,这两种机制的转换发生在汇率波动率等于0.08238时。为防范系统性金融风险发生,应加强对国际游资的监管和适时引导汇率预期。Based on the LSTR model, the author of this paper analyzes the impact of fluctuation in exchange rate on the regime switching of stock price in the context of the expansion of RMB exchange rate fluctuation range and the ＂Shanghai-Hong Kong Stock Connect Program＂. The following is the conclusion of the paper： there is a regime switching relating to the impact of exchange rate on stock price, which indicates that there are two mechanisms of fluctuation in the return of stocks in different exchange rate fluctuation ranges, and the two mechanisms switch at the exchange rate fluctuation of 0.082 38. To prevent the systemic financial risks, it＇s needed to strengthen the supervision of international hot money and guide exchange rate expectations timely.

关 键 词：汇率 股价 LSTR 区制转换 国际游资 外汇管理 

分 类 号：F832.51[经济管理—金融学] F832.6