中国A股行业股价波动与人民币汇率的关联性分析

An Analysis of the Relevance Between China’s A-share Industry Stock Price Volatility and RMB Exchange Rate

文章采用2005年10月至2018年10月的日度数据,对人民币汇率与各行业股价之间的关联关系进行了分析。通过格兰杰因果关系检验、误差修正模型和脉冲响应分析得出:汇改以来,除了电信服务外,人民币汇率与其他九个行业股价均表现出格兰杰因果关系;短期内,各行业股价均在滞后1阶与人民币汇率呈现正相关关系,长期却表现出负相关关系;人民币汇率对各行业股价的脉冲响应均不是特别强烈。

This paper uses the daily data from October 2005 to October 2018 to analyze the correlation between the RMB exchange rate and the stock prices of various industries.Through Granger causality test,error correction model and impulse response analysis,the paper comes to the conclusion that since the reform of exchange rate,except for telecom services,the RMB exchange rate and the stock prices of other nine industries all show Granger causality,that in the short term,the stock prices of all industries present a positive correlation with the RMB exchange rate in the first order of lag,but a negative correlation in the long term,and that the impulse response of the RMB exchange rate to the stock prices of various industries is not particularly strong.