汇率与股票价格的关系:理论前沿与实证研究综述

The Relationship between Exchange Rate and Stock Price:the Review of Theoretical and Empirical Research

汇率与股价关系的理论研究主要从两个方向进行,一是将汇率、股价与其它宏观变量一起纳入到一般均衡的分析框架,二是从外汇市场微观结构的角度,通过考察国际间证券投资与套利行为从而在汇率与股价之间建立联系。对于两者之间关系的实证研究,则主要分为相关性检验与因果关系检验。从目前的研究成果看,无论是理论上还是实证上,对于股价和汇率关系的研究,都远未达成共识。

The relationship between exchange rate and stock price can be studied theoretically from two threads： one is to integrate exchange rate, stock price and other maro-economic variables into general equilibrium framework; the other is to develop the integrated analysis of exchange rates, equity prices, and international equity portfolio flows in the framework of forex microstrncture. The empirical study about the exchange rate and stock price can be carried out through correlation test and causality test. From the existing literature, the relationship between exchange rate and stock price has not gained common conclusion theoretically and empirically.