国际金融危机下人民币汇率与股价联动关系研究

Study on the Linkage Relation between RMB Exchange Rate and Stock Prices under the Background of International Financial Crisis

基于国际贸易说、J曲线理论和国际资本流动理论,本文对国际金融危机背景下人民币汇率与股价的联动关系进行了理论分析,并通过协整分析、格兰杰因果关系检验和脉冲响应函数等计量方法进行了实证检验和解释。研究结果表明,人民币汇率与中国股票价格在长期具有均衡关系,在短期存在误差修正机制;在国际金融危机背景下两者之间高度正相关,通常股票价格先下跌,随之人民币汇率波动加剧;人民币汇率波动对股票价格影响较大,而股票价格波动对人民币汇率影响相对较小。

Based on the international trade theory, J-curve theory and the international capital flow theory, the linkage relationship between RMB exchange rate and stock prices under the background of international financial crisis is theoretically analyzed. The linkage relation is empirically analyzed and explained by co-integration, Granger causality test, impulse re- sponse function and so on. The results show that an equilibrium relationship exists between RMB exchange rate and stock prices in China in long term and an error correction mechanism exists between them in short term. In addition, the study also finds that there is a high positive correlation between RMB exchange rate and stock prices in China under the background of international financial crisis. Usually the stock prices fall first, followed by the increasing fluctuation of the RMB exchange rate. The impact of the fluctuation of the RMB exchange rate on stock prices is comparatively larger than the impact of stock price changes on RMB exchange rate.