“新汇改”后人民币汇率与股价指数的关系研究

Study on the Relationship between RMB Exchange Rate and Stock Price Index after the New Exchange Rate Reform

研究"新汇改"后人民币兑美元汇率与股市的联动效应以及两者的传导机制。文章从国际资本流动和进出口贸易余额两个方面分析股价和人民币汇率的传导机制。运用协整检验验证汇率与股价间存在长期均衡关系;使用格兰杰因果检验证明两者间存在从汇率到股价的单向格兰杰因果关系;运用脉冲响应和方差分解验证汇率对股价的影响大于股价对汇率的影响。建议进一步完善汇率形成机制和股票价格形成机制,建立风险防火墙机制,防范风险在不同市场的转移。

The linkage effects and the transmission mechanism of the RMB exchange rate against the dollar and the stock market after the ＂new exchange reform＂ were studies in the paper. The price of the stock market and the RMB exchange rate conduction mechanism were analyzed from the two aspects of international capital flow and the import and export trade balance. The co-integration test was used to verify the existence of a long-term equilibrium relationship between exchange rate and stock price; the Granger causality test was used to prove that Granger one-way causality exists between the exchange rate and stock price; the impulse response and variance decomposition were used to verify that the influence of exchange rate on stock price is greater than the impact of stock price on the exchange rate. The suggestions were put forward, that is, the formation mechanism of exchange rate and stock price formation mechanism should be further improved, and the risk firewall machine should be established to prevent the transfer of risks in different markets.