摘要
根据中国政府在国际金融危机爆发后针对外汇市场所采取的不同政策,本文将汇改后时期分成三个阶段,利用协整检验和因果检验的计量方法,研究国际金融危机爆发后中国股票市场和外汇市场的连带关系。实证结果表明汇率制度改革后中国股市与汇市之间存在长期稳定的协整关系,但股票市场和外汇市场间的引导关系在不同的子样本区间内存在差异。
According to different policies taken by the Chinese government in the foreign exchange market after the outbreak of the financial crisis,the paper divides after the exchange rate reform period into three periods,and studies the relationship between stock market and foreign exchange market by use of co-integration test and causal test method.The empirical results show that there exists a long-run co-integration relationship between stock prices and exchange rates,but in different sub-sample interval,the directional relationship of stock market and foreign exchange market is different in this period.
出处
《商业研究》
CSSCI
北大核心
2013年第8期144-150,共7页
Commercial Research
基金
国家自然科学基金项目
项目编号:10901168
