人民币汇率、利率与资产价格的联动关系研究

Rate,Interest Rate and the Stock Prices

比较研究2005年及2010年两次汇改前后中国汇率、利率和股票价格之间的联动关系,结果表明,在汇改前后三者的关系发生了显著的变化。在第一次汇改之前,中国的外汇市场与货币市场之间存在长期稳定的双向因果关系,但这种关系在汇改之后不复存在。在汇率和股价之间,人民币汇率波动始终是造成中国股市巨幅波动的单向格兰杰原因,而股票价格对人民币汇率的影响较小,并且这种效应在二次汇改之后表现的更为明显。

This paper,with theoretical and empirical approach, studies the linkage relationship of exchange rate, interest rate and asset price in China before and after the exchange rate regime reform in 2005 and the second exchange rate regime reform in 2010. The results show that the relationship of the three variables has changed before and after the first exchange rate regime reform. And before the first reform, there is a bidirectional Granger cause relationship between the exchange rate and interest, but after the reform this relation- ship disappeared. The expectation of RMB appreciation is the Granger cause of the rise of stock price, although the relationship has been weak after the reform, and the impact of stock price changes on RMB exchange rate is small. And the effect got strengthened after the second exchange rate regime reform.