基于EEMD和状态空间分析的汇市和股市动态关系研究

A Study of the Dynamic Relationship between Exchange Rates and Stock Prices based on EEMD and State Space Analysis in China

本文使用集总平均经验模态分解方法 (EEMD)将上证综指和人民币兑美元汇率分解为波动频率不同的分量,并在对各分量进行分析的基础上将其划分为短期分量、中长期分量和趋势项后,采用滚动窗口相关系数、状态空间模型实证研究了两者之间动态传导机制。结果发现,趋势项决定了两者的长期走向,是其内在特征的体现,中长期分量反映了重大事件对两者变动趋势的影响,短期分量反映了市场上噪音对两者变动趋势的影响;汇率和上证综指之间存在相互传导机制,不论是短期分量、中长期分量还是趋势项,汇率对股市的传导大于股市对汇率的传导,且两者的短期分量和中长期分量的传导随着国家政策和外界环境的变动而变动,趋势项基本不受外界环境的影响。

This paper presents the results of an empirical research into the dynamic transmission mechanism between the Shanghai composite index and the yuan-US dollar exchange rate, using the Ensemble Empirical Mode, the Ensemble Decomposition Method, the rolling window correlation coefficient and the state space model. Firstly, we decompose the Shanghai composite index and the yuanUS dollar exchange rate into different components. Secondly, they are divided into short-term components, mid- and-long term components and trend components on the basis of an analysis of each component. Finally, we study the relationship between the Shanghai composite index and the yuan-US dollar exchange rate.The results show： the trend component, as a reflection of its inherent characteristics, determines the long-term tendency of the said index and exchange rate; the mid-and-long term components reflect the impact of major events on the two mentioned above; and the short-term components reflect the impact of market noise on the two. There is a mutual transmission mechanism between the said exchange rate and the Shanghai composite index. No matter from the perspective of the short- term components, the mid-and-long term components or the trend components, the impact of exchange rates on the stock market is greater than the impact of stock market on exchange rates. In terms of both short-term and mid-and-long term components, the impacts change when the national policy and external environment change, but the trend components are not influenced by the external environment.