投资者情绪、股价与汇率变动的非线性联动效应研究

Research on the Nonlinear Co-Movement among Investor Sentiment,Stock Price and Exchange Rate Change

本文在开放经济框架下构建了包含投资者情绪、股价与汇率变动的内生动态系统,并从理论层面刻画了三者之间的非线性联动效应。进一步地,采用TVP-SV-BVAR模型进行实证研究,结果表明,投资者情绪对股价的影响在短期内明显,而对汇率的影响具有滞后性,股价变动不仅会对汇率起到直接影响,同时,还会通过影响投资者情绪对汇率产生间接"叠加"效应,即投资者情绪在股价与汇率之间发挥着"助推器"作用。鉴于投资者情绪、股价与汇率变动之间的互动机制在异质性环境下显著不同,货币当局可加强公众沟通和预期引导,并以此维持人民币汇率在合理、均衡的区间内波动。

This paper aims to analyze the nonlinear co-movement effects among investor sentiment, stock price and exchange fluctuation, and to explain the underlying micro mechanism behind such co-movement effects. We constructed a nonlinear dynamic system consisting of investor sentiment, stock price and exchange rate fluctuation, and used a TVP-SVBVAR model to undertake an empirical investigation from the perspective of global and multiple scenarios. Based on the result,firstly, investor sentiment has a significant effect on stock price only in the short term, and its effect on exchange rate has the nature of hysteresis and persistence. Secondly, stock price not only has a direct impact on exchange rate, but also has an indirect impact through affecting investor sentiment, while investor sentiment can enhance the co-movement effect between stock price and exchange rate. This paper figures out the dynamic relationship among investor sentiment, stock price and exchange rate,and explains the reasons behind the"super marginal"phenomenon of the interaction between the foreign exchange market and the capital market from the perspective of historical evolution. Our findings can provide important policy implications for monetary authority in stabilizing investor sentiment, promoting the orderly development of capital market, and improving the formation mechanism of RMB exchange rate.