人民币汇率波动对中国股市的影响机制研究

On Mechanism of RMB Exchange Rate to China' s Stock Market

通过协整检验和面板数据回归,检验汇率对股市影响的路径,并从宏观和微观(流动性和行业两个层面)研究二者时间的关系,结果表明人民币汇率与股市之间存在着相关关系,流动性与股市之间为正向相关关系,但是国际热钱与股市之间的相关关系并不显著;同时,汇率对不同行业股指的作用方向和影响程度并不相同,主要取决于行业的成本结构、出口价格弹性和外汇负债情况。但对于人民币汇率波动具体如何影响股市的问题,国内还有进一步深入研究的余地。

Through cointegration and panel data regression, this article inspects the path between exchange rate and stock market on macroscopic and microscopic level （two layers-liquidity and industry ）. The result shows that correlation exists between the exchange rate and the stock market, and the liquidity has a positive relation with the stock market, however the hot money shows no obvious relation with the stock market. Meanwhile, the direction and extend of exchange rate＇ s influence various from industry to industry, which depends on industries＇cost structure, export price elasticity, and foreign liabilities. We have a lot of room to have further research concerning how specifically the exchange rate fluctuations affect stock markets.