“汇改”能提升人民币有效汇率与股价的联动性吗

Can the Exchange Rate Reform Improve the Interaction Between RMB Effective Exchange Rate and the Stock Price

采用VAR模型探究自"汇改"以来人民币有效汇率与股价之间的联动关系,并对其在不同时期的表现方式和成因进行对比,实证结果表明:在人民币纳入特别提款权(SDR)前,人民币有效汇率与股价之间不存在长期协整关系,而纳入后协整关系逐步显现,这表明二者的联动关系逐步增强,我国股市开放性正不断提高;纳入SDR后,人民币有效汇率对上证综合指数与深圳成分指数的冲击均为负向的,但二者对人民币有效汇率变动的响应存在不同状况。

In order to explore the linkage between RMB effective exchange rate and stock price,the dynamic correlation between China’s stock market and foreign exchange market has been established by using the VAR model.The results show that there is no long-term cointegration relationship between the exchange rate and the stock price before the RMB is included in the SDR,and the cointegration relationship gradually appears after the inclusion.This states clearly that the openness of China’s stock market is constantly improving,the linkage between the two gradually strengthened.And after the RMB is included in the SDR,the impact of CNEER on SSE and SZSE are negative,while the response of SSE and SZSE to the CNEER change is different.