人民币汇率升值与资产价格泡沫的传导机制和实证研究

Transmission Mechanism of Real Exchange Rate Appreciation and Asset Price Bubbles and Empirical Research

文章旨在研究具有资本流动和较低金融市场组织程度的开放经济体中,如果产生某些外部冲击而使得汇率升值,便会产生资产价格泡沫。在传导机制的理论模型推导中,以凯恩斯宏观经济模型为基础,通过模型推导得出实际汇率升值使得均衡收益率上升,股票资产需求迅速增加,进而导致股票价格的快速上涨,形成泡沫。然后通过对人民币汇率升值和上证A股股指变化进行实证研究,并考虑金融危机的影响因素,结果支持了文章的理论分析。

This paper is to show that open economies which have capital mobility and a low degree of organization in financial markets may have bubbles in asset prices if there is an exogenous shock to these economies that produces a real exchange rate appreciation.In the derivation of theory model of the transmission mechanism,on the basis of keynesian macroeconomic model,we conclude that real exchange rate appreciation increases equilibrium rate of profit,cause a sharp increase in demand of equities which will produce an increase in equity prices and form bubbles.Then we have an empirical research on the exchange rate appreciation and changes in equity a price index including the influence of financial crisis,the results also support the analysis of our theory.