QFII、人民币汇率与股票价格的动态关系——基于TVP-SV-VAR模型的实证分析

The Dynamic Relationship between QFII,RMB Exchange Rate and Stock Prices——An Empirical Test based on TVP-SV-VAR Model

在人民币汇率形成机制不断完善,资本项目逐步开放的背景下,QFII制度（合格境外机构投资者）的实施,为国际资本流入提供了非常便利的渠道。该文以QFII作为代表,通过构建国际资本流动、汇率与股票价格的联动模型,并引入TVP-SV-VAR实证模型,讨论汇改后2005年8月-2017年6月QFII、人民币汇率与股票价格之间的联动关系。研究发现：三者的联动关系呈现出明显时变性特征,且在不同时间与不同政策背景下的影响程度均不同。最后提出完善QFII管理机制、优化我国股票市场投资者结构、推进人民币汇率改革、加强短期国际资本监控与加快人民币国际化进程一系列政策建议。

With the continuous improvement of RMB exchange rate formation mechanism and the gradual opening of capital account,international capital has been flowing into China and the pressure of appreciation on RMB has risen.When international capital flows into the domestic stock market,stock prices will be influenced.QFII（Qualified Foreign Institutional Investors）provides convenient ways for international capital.This paper sets QFII as a representative to study the relationship.By building the dynamic model of international capital flows,exchange rate and stock prices,and employing TVP-SV-VAR model and the monthly data from August,2005 to June,2017,we analyze the dynamic relationship between QFII,RMB exchange rate and stock prices.The empirical results show that the relationship of QFII,RMB exchange rate and stock price shows obvious time-varying characteristics,with the impact differing under the background of different time and different policies.Finally,a series of policy suggestions are put forward,such as improving QFII management mechanisms,optimizing the structure of investors,promoting RMB exchange rate reforms,strengthening short-term international capital monitoring and accelerating the RMB internationalization.