人民币汇率弹性调整对我国汇市与股市关系的影响——基于长记忆VAR-(BEKK)MVGARCH模型

Impact of the Adjust of the RMB Exchange Rate Elasticity on the Relationship between the Exchange Rate Market and Stock Market in China——Based on Long Memory VAR-(BEKK)MVGARCH Model

针对金融时间序列的长记忆和尖峰肥尾特征,建立残差服从t分布的长记忆VAR-(BEKK)MVGARCH模型,并基于2005汇改后的人民币/美元汇率和上证综指日数据,实证分析了人民币汇率弹性调整对我国汇市和股市关系的影响,结果表明:我国汇市和股市的均值溢出效应虽不是很显著,但存在显著的汇市对股市的单向波动溢出效应,且这种波动溢出效应具有动态起伏性.人民币汇率弹性政策调整虽然没有改变我国汇市和股市间相关性较弱的总体特征,但具有短期冲击影响。人民币汇率弹性的收窄增强了我国股市对汇市的均值溢出效应,减弱了我国汇市对股市的短期波动溢出效应,而人民币汇率弹性的增加则促进了我国汇市和股市的双向波动溢出。

Taking the characteristics of ＇long memory＇ and ＇high kurtosis and fat tail＇ of financial time series into account, the long memory VAR-（BEKK）MVGARCH model with t distribution is proposed. Based on this model, the impact of the adjust of RMB exchange rate elasticity on the relationship between exchange rate market and stock market in China is empirical analyzed, using the daily data of RMB/USD exchange rate and Chinese stock market from August 1, 2005 to October 10, 2011. As empirical result shown, mean spillover effect is not very significant, but the unidirectional volatility spillover effect by exchange rate market to stock market in China exists significantly and presents dynamic changes. Although the adjust of RMB exchange rate elasticity did not change the feature of weak correlation between RMB exchange rate market and stock market in China, it gave short-term shocks to this correlation. Narrowing the RMB exchange rate flexibility enhanced the unidirectional mean spillover by stock market to exchange rate market while it weakened the unidirectional volatility spillover by exchange rate to stock market in China. In contrast, the increase in the RMB exchange rate flexibility could promote the bidirectional volatility spillover between exchange rate market and stock market in China.