人民币汇率与我国股票价格的联动机理研究——以不同市值规模公司的股指为切入点分析  

Research on the Linkage Mechanism Between RMB Exchange Rate and China's Stock Price——Analysis based on stock indices of different market capitalization scales as entry points

作　　者：伏刚 龙锦江 曹建海[3] FU Gang;LONG Jinjiang;CAO Jianhai

机构地区：[1]中国社会科学院大学 [2]南京大学数字经济与管理学院 [3]中国社会科学院工业经济研究所

出　　处：《价格理论与实践》2024年第4期187-193,227,共8页Price:Theory & Practice

摘　　要：保持人民币汇率和股价的稳定,能够有效降低系统性风险,为我国经济高质量发展提供坚实保障。为研究汇率与股价的联动机理,本文采用DCC-GARCH模型,以不同市值公司的股指为切入点,探究汇率—股价关系在大、小市值规模公司所呈现的异质性,并通过VEC模型探究利率差、进出口贸易、资本流动等因素对汇率—股价关系的影响机理。研究结果表明,相比中小市值规模公司,大市值规模公司的股价更容易受到汇率波动的影响;中美利率差持续扩大对股票价格的影响力高于进出口贸易和短期资本流动,这验证了汇率与我国资本市场的联动中存量效应的影响更大;纳入沪深港通的大市值规模公司呈现出异质性,若中美两国之间的利率差和贸易顺差继续扩大,则纳入沪深港通中的大公司股价与汇率的关系越强;我国资产金融化程度越高,汇率对我国股市的影响越小。本文深化了以往的研究,进一步探究了汇率与股价的联动机制,为监管部门政策制定提供了理论参考。Maintaining the stability of the RMB exchange rate and stock price can effectively reduce systemic risks and provide solid guarantees for the high-quality development of China's economy.To study the linkage mechanism between exchange rates and stock prices,this paper adopts the DCC-GARCH model and takes the stock indices of companies with different market values as the entry point to explore the heterogeneity of the exchange rate stock price relationship in large and small market value companies.The VEC model is used to explore the impact mechanism of factors such as interest rate differentials,import and export trade,and capital flows on the exchange rate stock price relationship.The research results indicate that compared to small and medium-sized companies,the stock prices of large market value companies are more susceptible to exchange rate fluctuations;The continuous widening of the interest rate gap between China and the United States has a greater impact on stock prices than on import and export trade and short-term capital flows,which verifies that the stock effect has a greater impact on the linkage between the exchange rate and China's capital market;The large cap companies included in the Shanghai Shenzhen Hong Kong Stock Connect exhibit heterogeneity:if the interest rate differential and trade surplus between China and the United States continue to widen,the relationship between the stock prices and exchange rates of the large companies included in the Shanghai Shenzhen Hong Kong Stock Connect will become stronger;The higher the degree of asset financialization in China,the less impact the exchange rate has on Chinese stock market.This article deepens previous research and further explores the linkage mechanism between exchange rates and stock prices,providing theoretical reference for regulatory authorities to formulate policies.

关 键 词：汇率 股票价格 VEC模型 DCC-GARCH模型 

分 类 号：F832.51[经济管理—金融学] F832.6