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人民币汇率与我国股价的非线性因果关系检验 被引量：10

Nonlinear Causality Test of the Relationship between RMB Exchange Rate and Stock Price in China
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摘要 采用2005年汇改后至2010年10月15日的日数据,研究了人民币兑美元名义汇率与我国股市收益间的线性与非线性因果关系。实证结论表明人民币兑美元名义汇率与我国股市收益间存在长期稳定的均衡关系,线性Granger因果关系检验表明存在人民币兑美元名义汇率到我国股市收益的单向因果关系,非线性Granger因果关系检验表明人民币兑美元名义汇率与我国股市收益间存在双向的非线性Granger因果关系,并且这种非线性因果关系很大程度上是由ARCH效应导致的。 The authors use the daily data from July 21th,2005 to October 15th,2010 to investigate the linear and nonlinear causality relationship between nominal RMB/USD exchange rate and China＇s stock market return.The results suggest that there＇s long-run steady equilibrium relationship between RMB/USD and stock return,and the linear Granger causality test reveals the uni-directional causality relationship from RMB/USD to stock return.While the nonlinear Granger causality test suggests the bi-directional causality relationships between RMB/USD and stock return,also the authors find that the nonlinear causality is mainly caused by the ARCH effects.
作者 刘林 倪玉娟
机构地区 厦门大学金融系
出处 《山西财经大学学报》 CSSCI 北大核心 2011年第6期27-35,共9页 Journal of Shanxi University of Finance and Economics
基金 国家社科基金项目"中国外汇储备风险测度及管理研究"(07BJY157) 教育部人文社会科学研究规划基金项目"中国金融稳定理论及政策协调机制构建--基于经济全球化背景的视角"(08JA790110)
关键词 非线性因果关系 H-J检验 M-G模型 ARCH效应 nonlinear causality H-J Test M-G Model ARCH Effects
分类号 F832.5 [经济管理—金融学]
  • 相关文献

参考文献18

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二级参考文献21

  • 1陈雁云,何维达.人民币汇率与股价的ARCH效应检验及模型分析[J].集美大学学报（哲学社会科学版）,2006,9(1):72-75. 被引量：40
  • 2吕江林,李明生,石劲.人民币升值对中国股市影响的实证分析[J].金融研究,2007(06A):23-34. 被引量：80
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共引文献265

同被引文献114

  • 1曹静.人民币升值问题及对我国国民经济的影响[J].山西财经大学学报,2012,34(S1):80-81. 被引量：2
  • 2陈昆亭,龚六堂.粘滞价格模型以及对中国经济的数值模拟——对基本RBC模型的改进[J].数量经济技术经济研究,2006,23(8):106-117. 被引量：153
  • 3吕江林,李明生,石劲.人民币升值对中国股市影响的实证分析[J].金融研究,2007(06A):23-34. 被引量：80
  • 4杨清玲.股价与汇率间联动关系的实证分析[J].发展研究,2007,24(8):36-39. 被引量：18
  • 5Ming-Shiun Pan, Robert Chi-Wing Fok and Y. Angela Liu. Dynamic linkages between exchange rates and stock prices: Evidence from East Asian mar- kets [J]. International Review of Economics & Finance, 2007(16): 503-520.
  • 6Tabak B M. The Dynamic Relationship between Stock Prices and Exchange Rates: Evidence for Brazil [J]. International Journal of Theoretical and Applied Fi- nance, 2006(8): 1377-1396.
  • 7Cees Diks and Valentyn Panchenko. A New Statistic and Practical Guidelines for Nonparametric Granger Causality Testing [J]. Journal of Economic Dy- namic & Control, 2006(30): 1647-1669.
  • 8Dornbusch,R.,Fischer,S.Exchange Rates and the Current Account[J].American Economic Review,1980,70(5):960-971.
  • 9Branson,W.H.Macroeconomic Determinants of Real Exchange Risk[C] // Herring,R.J.Managing Foreign Exchange Risk.Cambridge:Cambridge University Press,1983:33.
  • 10Frankel,J.Monetary and Portfolio-Balance Models of Exchange Rate Determination[C] // Bhandari,J.,Putnam,B.Economic Interdependence and Flexible Exchange Rates.Cambridge:MIT Press,1983:I-8.

引证文献10

二级引证文献17

山西财经大学学报
2011年 第6期

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