我国汇率与股价关联性的变化及影响因素——基于MS-VAR模型的分析

On the Changes of Relevance and Contributing Factors between Exchange Rate and Stock Price in China-Based on the Analysis of MS-VAR Model

运用MS-VAR模型对我国汇率与股价的相关性进行区制划分,证实了我国汇率与股价关联性处于"一波三折"的动态变化。此外对汇率与股价关联性动态变化的影响因素进行实证分析,结果发现资本市场的发达程度(股票市值/GDP)、汇率制度的弹性对关联性变化的影响很大。

This paper distributes the relevance between exchange rate and stock price into zones by using MS-VAR model, confirming that the relevance is varying dynamically. In addition, an empirical analysis of the factors contributing to dynamic changes shows that the development level of capital market （ stock market capitalization / GDP） , and the elasticity of exchange rate have a big effect on the relevance changes.