基于SVAR的人民币汇率对中国证券期货市场收益率的溢出效应研究

Return Spillover Effect of RMB/USD to Chinese Securities and Futures Market Based on SVAR Model

针对人民币对美元汇率(RMB/USD)对中国证券期货市场是否存在收益率溢出效应,分别截取2005-7-21～2008-7-16与2008-7-17～2009-4-30两段中石化股价、上证综指、RMB/USD与上海燃料油期货价格的日收盘数据,构造各变量收益率的四元SVAR模型,短期脉冲响应模拟结果显示:(1)在人民币持续升值阶段,人民币弹性增大能够提高中石化股价与上证综指的收益率,且有利于减小上海燃料油期货价格的波动风险;在RMB/USD持续震荡阶段,RMB/USD波动增大会降低中石化股价与上证综指的收益率,且增大上海燃料油期货价格的波动风险;(2)在两个阶段,收益率溢出效应都存在明显的非对称性,RMB/USD对中石化股价、上证综指与上海燃料油期货价格具备单向的收益率传导机制。中国证券市场对RMB/USD较敏感,因此汇率制度改革应采取审慎原则。

This study＇s objective was to the issue for testing whether RMB /USD has return spillover effect to Chinese securities and Futures Market, intercept two-term date close data of Stock Price for Sinopec, SSE Composite Index, RMB/USD and Shanghai Fuel Oil Futures Price from 2005.7.21st to 2008.7.16th and 2008.7.17th to 2009.4.30th, construct Structural Vector Autoregressive （SVAR） model. Short-term Impulse Respond shows： （ 1 ） In first term, enhance the flexibility of RMB can increase return of Stock Price for Sinopec and SSE Composite Index, and decrease spillover risk of Shanghai Fuel Oil Futures Price; In second term, enhance the volatility of RMB can decrease return of Stock Price for Sinopec and SSE Composite Index, and increase spillover risk of Shanghai Fuel Oil Futures Price; （2） In two-term, return spillover effect shows obvious asymmetry effect, RMB/USD has One-way return Conduction mechanism. China＇s securities market to RMB / USD is sensitive, so the exchange rate system reform should be taken by prudent principle.