在岸与离岸人民币汇差利差对在岸股票价格的非对称传递效应:基于NARDL模型的经验证据

Asymmetric Transmission Effects of Onshore-offshore Exchange Difference and Interest Rate Spread on the Stock Market:Based on NARDL model

文章在构建在岸与离岸人民币汇差、利差对在岸股票市场影响理论模型的基础上,采用NARDL模型研究了在岸与离岸人民币汇差、利差对中国股票市场的长期和短期影响程度及非对称传递效应。研究发现:在岸与离岸人民币汇差的存在显著提高了境内股票收益率,而利差的影响在样本期内不显著,故离岸市场的发展主要通过汇率渠道对中国股票市场产生影响;在长期,无论正向累积还是负向累积,在岸与离岸汇差对股票收益率的影响系数均为0. 255,不存在非对称性,但在短期,当离岸汇率高于在岸汇率时,汇差对股市的影响程度大于在岸汇率高于离岸汇率时汇差的影响程度,呈现出明显的非对称性;在岸与离岸汇差冲击对资本流动、资本流动冲击对股票收益率不同提前期的时变脉冲响应函数值均基本为正,说明了在岸与离岸汇差主要通过资本流动渠道对股市产生影响。

Firstly,theoretical model concerning the effect of exchange difference and interest rate spread on the stock market is established.Then,the newly developed NARDL model is employed to investigate the asymmetric transmission effect of exchange difference and interest rate spread on the stock market of our country.The study reveals that:the exchange difference significantly improves the stock return rate,while the influence of interest rate spread is not significant in the sample period.So the development of offshore market makes influence on China's stock market mainly through the exchange rate channel.In the long term,the impact coefficients of exchange difference on stock returns are 0.255 no matter positive or negative cumulative accumulation without asymmetry.However,in the short run,when the offshore exchange rate is higher than the onshore,the effect of exchange difference on stock market is greater than the degree of influence when the onshore exchange rate is higher than the offshore,showing obvious non symmetry.The impulse-response function of exchange difference on capital flows and capital flow impact on stock returns are all positive with different lead times,which means exchange difference further improves stock returns through capital flow.