人民币汇率贬值对A股市场的影响机制研究

An Empirical Study of the Influence Mechanism of RMB Depreciation on the A-share Market

2015年811汇改之后,人民币汇率贬值引发股市持续下跌。文章构建的分析框架显示:汇率对股市的影响存在基本面渠道、流动性渠道、投资者信心渠道及资产组合调整渠道等四大渠道。现阶段基本面渠道和流动性渠道影响甚微,而投资者信心渠道及资产组合调整是汇率影响股市的主要通道。根据811汇改至2016年6月末的数据进行的实证研究显示:人民币汇率与A股市场之间存在稳定的正相关关系,存在短期波动向长期均衡的反向修正机制,汇率变动是股市涨跌的Granger原因。货币当局应当明确汇率制度市场化改革的方向及目标,有效管理投资者预期,以期稳定市场、降低金融风险。

After the exchange rate reform on August 11, 2015, RMB exchange rate depreciation causes the stock market to fall continually. The analytical framework constructed in this paper shows that exchange rate impacts stock market through four channels： namely fundamental plane, liquidity, investor confidence and portfolio adjustment. Currently, fundamental plane and liquidity have little effects on stock market, while investor confidence and portfolio adjustment are the main factors. This paper chooses the data from August 2015 to June 2016 to make an analysis, and finds that there is a positive correlation between the exchange rate and the stock market, and there is a reverse correction mechanism of short-term fluctuation to long-run equilibrium. Exchange rate is the Granger reason of stock market. Monetary authorities are suggested to give clear directions and goals of the exchange rate system reform, and manage investor expectations, in order to stabilize the market and reduce the financial risk.