美元指数和美国股指对人民币汇率水平及波动的溢出效应研究——基于金融市场日度数据的实证分析  

Research on the Spillover Effect of US Dollar Index and US Stock Index over the Level and Fluctuation of RMB Exchange Rate——Empirical Analysis Based on Daily Data of Financial Market

作　　者：陆前进[1] 罗婧怡 李欣 LU Qianjin;LUO Jingyi;LI Xin(School of Economics,Fudan University,Shanghai 200433)

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《贵州商学院学报》2025年第1期31-50,共20页Journal of Guizhou University Of Commerce

基　　金：国家社会科学基金一般项目“人民币国际化与货币政策的跨国溢出效应研究”(23BJY122)。

摘　　要：基于CEIC数据库2006—2023年日度金融市场数据,采用ARDL协整模型分析美元指数和美国股指于人民币对美元汇率的溢出效应。美元指数对人民币对美元汇率发挥显著正向影响,美国股指对人民币汇率发挥显著负向影响。美元指数上升引致人民币贬值,美国股指上升拉动人民币升值。人民币对美元汇率受到冲击后会快速回归均衡。GARCH(1,1)模型显示美元指数和美国股指的波动会加剧人民币对美元汇率的波动。通过适时调整汇率政策,丰富汇率管理政策工具箱,深化汇率市场化改革,发挥汇率“自动稳定器”功能,加强跨境资本流动监测预警,提高人民币国际化水平,以保持人民币汇率相对稳定。Based on the daily financial market data in the CEIC database from 2006 to 2023,this paper uses the ARDL cointegration model to analyze the spillover effect of the US dollar index and the US stock index on the exchange rate of RMB over US dollar.The US dollar index has a significant positive impact on the exchange rate of RMB over US dollar,while the US stock index has a significant negative impact on the RMB exchange rate.The rise of the US dollar index led to the devaluation of RMB,while the rise of the US stock index led to the appreciation of RMB.The RMB exchange rate against the US dollar will quickly return to equilibrium after being impacted.The GARCH(1,1)model shows that the fluctuation of the US dollar index and the US stock index will aggravate the fluctuation of the RMB exchange rate against the US dollar.Through the timely adjustment of exchange rate policy,enriching the exchange rate management policy toolbox,deepening the market-oriented reform of exchange rate,giving play to the"automatic stabilizer"function of exchange rate,strengthening the monitoring and early warning of cross-border capital flows,and improving the internationalization level of RMB,the relative stability of RMB exchange rate is to be maintained.

关 键 词：美元指数 美国股指 人民币汇率 溢出效应 

分 类 号：F832.6[经济管理—金融学]