人民币汇率预期影响股价的微观机理及经验证据

The Microscopic Mechanism and Empirical Evidence of RMB Exchange Rate on Stock Price

研究汇率预期影响股价的微观机理及区制变化,对于预测股价波动和推进人民币汇率的市场化改革具有重大的理论意义。文章首先从资本流动冲击、成本冲击与需求冲击三个层面阐述汇率预期影响股价的理论传导机制,进一步采用1999年1月至2014年12月的月度数据,运用捕捉"结构突变"的傅立叶稳定性检验、平滑转换自回归模型,实证检验了汇率预期在股市环境和汇市环境下对股价收益率所产生的影响。理论分析与实证检验表明:汇率预期在通过资本流动、成本与需求渠道影响股价收益率时,资本流动占主导作用,且在不同的股市与汇市环境中,该影响均具有显著的非对称性及两区制平滑转换跨期效应。

It is of great theoretical significance to predict stock price volatility and promote market-oriented reform of RMB exchange rate for studying the micro mechanism and regime changing of exchange rate expectation. We firstly analyze the theoretical transmission mechanism from three channels of capital,cost and aggregate demand,then further adopt the data between January 1999 and December 2014 with flexible Fourier stationary method which can capture structural breaks,and apply Smooth Transition Auto-regression( STAR) to investigate the nonlinear effect of RMB exchange rate expectation on stock price at different stock markets and exchange rate environments. Theoretical analysis and empirical test show that the capital account shocking is the dominant channel,and the effect is a significant asymmetry and smoothly converting double-regime..