人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验

RMB Exchange Rate,Short-term International Capital Flows and Stock Price:Retest Based on the Data after Exchange Rate Reform

本文首先引入风险溢价因素,建立了人民币汇率、短期国际资本流动和股票价格相互影响的模型。其次,运用VAR模型实证分析了2005年7月至2011年12月间人民币汇率、短期国际资本流动、货币供给剪刀差和股票价格之间的动态关系。理论分析和实证结果揭示了其动态演化过程:人民币升值会导致短期国际资本获利流出,货币供给剪刀差扩大,股票价格下跌,从而短期资本继续流出,人民币贬值,进而短期资本逢低流入,货币供给剪刀差缩小,股票价格上涨。期间,国际金融危机和欧洲主权债务危机的爆发,导致主要变量非对称地作用于股票价格,危机时期各变量对股票价格的作用明显大于非危机时期。

By introducing the risk premium factor, the paper firstly established the model of the relationship a- mong RMB exchange rate, short -term international capital flows and stock price. Secondly, we analyzed the dynamic relationship among RMB exchange rate, short -term international capital flows, money supply scissors difference and stock price by using VAR model from July 2005 to December 2011. Theoretical analysis and em- pirical results show that RMB appreciation led to the outflow of short - term international capital, the expansion of money supply scissors difference and the decline of stock prices. Then short - term international capital out- flows and RMB depreciates thus short -term international capital inflows and money supply scissors difference becomes narrow, stock price increases. During the period, the international financial crisis and European sovereign debt crisis led to the asymmetric effect on the stock price though main variables. In times of crisis the effect on stock prices was significantly greater than the non - crisis period.