人民币汇率与股票价格关联性实证分析

A Relevant Empirical Analysis on RMB Exchange Rate and Stock Price

选取1999年—2012年的人民币汇率与股票价格的月度数据,分别以人民币对美元汇率和上证综合指数为代理变量,基于VAR模型得出:人民币对美元汇率和股票价格主要受自身行业因素影响;而在不考虑自身行业因素影响的情况下,上证综合指数对人民币汇率存在单向的因果关系,不存在双向因果关系,符合股票导向理论;另外,通过加入利率和货币供给量作为控制变量建立的多元VAR模型、脉冲响应函数以及方差分解,结论表明人民币汇率对上证综合指数的影响要大于上证综合指数对人民币对美元汇率的波动率影响,符合流量导向理论。

This paper has made an empirical analysis by selecting the time series of monthly data from 1999 to 2012 and using the exchange rate of RMB against the U. S. dollar and Shanghai composite index as proxy variables based on VAR model. Three conclusions can be drawn from the analysis. Firstly,the Shanghai composite index and RMB exchange rate were mainly affected by their own industry factors. Secondly,there exists one-way causal relationship between Shanghai composite index and RMB exchange rate; The last,through taking interest rates and money supply as control variables to establish multivariate VAR model,impulse response function and variance decomposition,the results indicate that the influence of Shanghai composite index to RMB exchange rate is greater than that of RMB exchange rate to Shanghai composite index.