汇率、利差和股价的关系:基于VaR的实证研究

Relationship between exchange rate, interest rate difference and stock price: A VaR-based empirical study

该文采用2005年7月至2008年9月之间的日数据,利用VaR模型对我国汇率、利差和股价的关系进行实证研究。研究结果表面,名义汇率、股价和利差之间存在协整关系,人民币的升值伴随着本国股价的上涨,中美正利差的扩大伴随着人民币汇率的升值;无论是从短期还是从长期看,汇率变动和利差变动单向地构成股价变动的Granger原因,此外,利差变动短期内还是汇率变化的单向Granger原因。

By using the VaR model and daily data from July 2005 to February 2008, this paper makes an empirical study of the relationship between exchange rate, interest rate difference and stock price. The results show that there exists a long-running co-integration among these variables. The movements of exchange rate and interest rate difference are both long-term and short-term unidirectional Granger causality of stock prices. The variation of interest rate difference is also a unidirectional Granger causality of exchange rate in the shortterm.