金融危机背景下汇率、利率与股价的关联效应
摘要
股价指数是国民经济的“晴雨表”,能够灵活地反映实体经济的细微变化；而汇率是货币的国际价格,汇率的变动反映货币国际购买力的变化,也反映本币国际购买力的经济基本面的变化；利率是单位货币在单位时间内的利息水平,利率的变化反映一国货币政策的变化。汇率、利率和股价是重要的金融子市场,可以反映一国经济实力和货币政策的重要指标,它们之间存在内在的关联,汇率、利率的波动可能导致股价的波动,反之亦然。
汇率与股价的关联效应,一直以来都成为学术界和投资界的关注焦点。蕴含在关联效应里的相关关系和因果关系,在不同时期、不同国家的样本表现中,都各有所异。本文侧重研究金融危机发生后,2007年6月到2009年6月中国汇率、利率与股价指数呈现的关联效应,即相关程度如何,进一步它们之间影响程度如何。本文在汇率、利率与股价关联效应的国内外文献结论之梳理基础上,对其关联效应的产生原因和表现形式分布进行了变化科学视角、切换变量视角的详细阐述,利用西方经济学、国际经济学和行为金融学的观点分别阐释了汇率与股价关联效应的产生原因,基于汇率制度不同、利率机制不同和股市制度的不同分别比较了汇率、利率与股价的表现形式。
本文重点在于理论分析的基础上,利用相关性分析、Granger因果检验、误差修正模型、脉冲响应函数等计量模型来逐步展开人民币汇率与股价的动态关系的实证分析,本文考虑到金融危机为背景,选取的变量是人民币对美元汇率、一年期存款利率、上证综合指数,和美国道琼斯工业平均指数。通过建立上述模型进行实证分析,得出各变量在金融危机后特殊的关联效应,主要有如下结论：一、我国金融市场上汇率与股票价格的关系在金融危机冲击下符合传统理论解释,即汇率变动导致股票价格的变化；二、我国金融市场上股票价格变动对汇率没有影响；三、美国股市波动对我国股市的短期冲击力度要大于人民币汇率对股市的影响,而且美国股市与我国股市之间存在联动效应。说明金融危机可以通过股票市场对我国造成不利影响；四、利率调整对股票价格基本上没有影响,但对汇率造成短期冲击。针对这些结论,本文结合中国金融市场情况展开多层次的原因探讨。进一步研究汇率变动对股市中行业效应的影响,为投资者提出利用汇率与股价的关联效应进行趋势投资。最后,在政策建议部分,本文结合金融危机的影响,对汇率、利率与股价关联效应提出了一些建议：进一步推进人民币汇率形成机制改革,加快发展外汇市场；构建国际资本向证券市场流动的动态监控与预警机制；发展规范的证券市场以消除汇率变动造成的负面影响。
Stock index is the national economy's weatherglass, which can flexibly reflect the entity economy's subtle change. While the exchange rate is international currency's price, the movement in exchange rates reflects the change of monetary international purchasing power, also reflects the change of domestic economic fundamentals. Interest rate is the interest level of unit currency in unit time; the change in interest rates reflects monetary policy's change. Exchange rate, interest rate and share price is important financial submarket, which is an important index that can reflect the nation economic strength and monetary policy. There are inner link between them, the fluctuation of exchange rates, interest rate can cause share price fluctuations, and vice versa.
Effects associated with the stock exchange, has been the focus of academia and the investment community for a long time. Correlation effect contains in the correlation and causality, at different times, the performance of different countries in the sample is all somewhat different. This research focuses on the financial crisis, during 2007 to June 2009, China's exchange rate, interest rate and stock index on the association effect, i.e. relevant to what extent, and further how the influence between them. In this paper, the exchange rate, interest rate and stock price effects associated with literature conclusions, its causes and effects associated with the performance forms of a change in the distribution of scientific perspective, switch variables detailed perspective, the use of Western economics, international economic and behavioral finance point of view, respectively, illustrates the effect of exchange rate and stock price associated causes of exchange rate system based on different mechanisms for different interest rates and stock market system and compares the different exchange rates, interest rates and stock price performance form.
This article focuses on theoretical analysis, using correlation analysis, Granger causality tests, error correction model, impulse response function measurement models such as the RMB exchange rate and stock prices to gradually expand the dynamic relationship between the empirical analyses. We consider the background of the financial crisis, select the main variable is the exchange rate of RMB against the U.S. dollar, the Shanghai Composite Index, there are other two research variables: one-year deposit rate and the U.S. Dow Jones Industrial Average index. Through the establishment of an empirical analysis of the model obtained after the financial crisis of the variables associated with the special effects, we get the following main conclusions:firstly, China's financial market, the relationship between exchange rate and stock prices under the impact of the financial crisis, meets the traditional theory of interpretation that the exchange rate changes lead to changes in stock prices; secondly, stock price movements in financial markets have no effect on the exchange rate; thirdly, the U.S. stock market volatility on the stock market's short-term impact of the intensity is greater than the impact of the RMB exchange rate on the stock market, and the U.S. stock market and the China Stock Market between the linkage effects. That the financial crisis the stock market can adversely affect China; fourthly, interest rate adjustments have little effect on stock price, but it has short-term impact on the exchange rate. In response to these conclusions, this paper discusses multi-level possibilities according to China's financial market. We still research the stock market effect of exchange rate movements, making some suggestions for investors to use of the exchange rate and stock price effects associated with trends in investments. Finally, in policy recommendations part, combination of financial crisis, the exchange rate, interest rate and stock price effects associated with the proposal put forward in three areas:to further promote the reform of RMB exchange rate formation mechanism, accelerating the development of the foreign exchange market; building international capital flows to the stock market dynamic monitoring and early warning mechanisms; developing standardized securities market in order to eliminate the negative impact of exchange rate changes.
汇率与股价的关联效应,一直以来都成为学术界和投资界的关注焦点。蕴含在关联效应里的相关关系和因果关系,在不同时期、不同国家的样本表现中,都各有所异。本文侧重研究金融危机发生后,2007年6月到2009年6月中国汇率、利率与股价指数呈现的关联效应,即相关程度如何,进一步它们之间影响程度如何。本文在汇率、利率与股价关联效应的国内外文献结论之梳理基础上,对其关联效应的产生原因和表现形式分布进行了变化科学视角、切换变量视角的详细阐述,利用西方经济学、国际经济学和行为金融学的观点分别阐释了汇率与股价关联效应的产生原因,基于汇率制度不同、利率机制不同和股市制度的不同分别比较了汇率、利率与股价的表现形式。
本文重点在于理论分析的基础上,利用相关性分析、Granger因果检验、误差修正模型、脉冲响应函数等计量模型来逐步展开人民币汇率与股价的动态关系的实证分析,本文考虑到金融危机为背景,选取的变量是人民币对美元汇率、一年期存款利率、上证综合指数,和美国道琼斯工业平均指数。通过建立上述模型进行实证分析,得出各变量在金融危机后特殊的关联效应,主要有如下结论：一、我国金融市场上汇率与股票价格的关系在金融危机冲击下符合传统理论解释,即汇率变动导致股票价格的变化；二、我国金融市场上股票价格变动对汇率没有影响；三、美国股市波动对我国股市的短期冲击力度要大于人民币汇率对股市的影响,而且美国股市与我国股市之间存在联动效应。说明金融危机可以通过股票市场对我国造成不利影响；四、利率调整对股票价格基本上没有影响,但对汇率造成短期冲击。针对这些结论,本文结合中国金融市场情况展开多层次的原因探讨。进一步研究汇率变动对股市中行业效应的影响,为投资者提出利用汇率与股价的关联效应进行趋势投资。最后,在政策建议部分,本文结合金融危机的影响,对汇率、利率与股价关联效应提出了一些建议：进一步推进人民币汇率形成机制改革,加快发展外汇市场；构建国际资本向证券市场流动的动态监控与预警机制；发展规范的证券市场以消除汇率变动造成的负面影响。
Stock index is the national economy's weatherglass, which can flexibly reflect the entity economy's subtle change. While the exchange rate is international currency's price, the movement in exchange rates reflects the change of monetary international purchasing power, also reflects the change of domestic economic fundamentals. Interest rate is the interest level of unit currency in unit time; the change in interest rates reflects monetary policy's change. Exchange rate, interest rate and share price is important financial submarket, which is an important index that can reflect the nation economic strength and monetary policy. There are inner link between them, the fluctuation of exchange rates, interest rate can cause share price fluctuations, and vice versa.
Effects associated with the stock exchange, has been the focus of academia and the investment community for a long time. Correlation effect contains in the correlation and causality, at different times, the performance of different countries in the sample is all somewhat different. This research focuses on the financial crisis, during 2007 to June 2009, China's exchange rate, interest rate and stock index on the association effect, i.e. relevant to what extent, and further how the influence between them. In this paper, the exchange rate, interest rate and stock price effects associated with literature conclusions, its causes and effects associated with the performance forms of a change in the distribution of scientific perspective, switch variables detailed perspective, the use of Western economics, international economic and behavioral finance point of view, respectively, illustrates the effect of exchange rate and stock price associated causes of exchange rate system based on different mechanisms for different interest rates and stock market system and compares the different exchange rates, interest rates and stock price performance form.
This article focuses on theoretical analysis, using correlation analysis, Granger causality tests, error correction model, impulse response function measurement models such as the RMB exchange rate and stock prices to gradually expand the dynamic relationship between the empirical analyses. We consider the background of the financial crisis, select the main variable is the exchange rate of RMB against the U.S. dollar, the Shanghai Composite Index, there are other two research variables: one-year deposit rate and the U.S. Dow Jones Industrial Average index. Through the establishment of an empirical analysis of the model obtained after the financial crisis of the variables associated with the special effects, we get the following main conclusions:firstly, China's financial market, the relationship between exchange rate and stock prices under the impact of the financial crisis, meets the traditional theory of interpretation that the exchange rate changes lead to changes in stock prices; secondly, stock price movements in financial markets have no effect on the exchange rate; thirdly, the U.S. stock market volatility on the stock market's short-term impact of the intensity is greater than the impact of the RMB exchange rate on the stock market, and the U.S. stock market and the China Stock Market between the linkage effects. That the financial crisis the stock market can adversely affect China; fourthly, interest rate adjustments have little effect on stock price, but it has short-term impact on the exchange rate. In response to these conclusions, this paper discusses multi-level possibilities according to China's financial market. We still research the stock market effect of exchange rate movements, making some suggestions for investors to use of the exchange rate and stock price effects associated with trends in investments. Finally, in policy recommendations part, combination of financial crisis, the exchange rate, interest rate and stock price effects associated with the proposal put forward in three areas:to further promote the reform of RMB exchange rate formation mechanism, accelerating the development of the foreign exchange market; building international capital flows to the stock market dynamic monitoring and early warning mechanisms; developing standardized securities market in order to eliminate the negative impact of exchange rate changes.
引文
[1]高铁梅.计量经济分析方法与建模[M].清华大学出版社,2008,302-348
[2]易丹辉.数据分析与Eviews应用[M].国统计出版社,2005：201-214
[3]古扎拉蒂.计量经济学(第四版)[M].北京：中国人民大学出版社,2005：184-232
[4]姜波克.国际金融学[M].高等教育出版社,]999：163-179
[5]王爱俭.20世纪国际金融理论研究：进展与评述[M].中国金融出版社,2005年：75-92
[6]克鲁格曼.汇率的不稳定性[M].北京大学出版社,2000年：60-80
[7]张晓峒.Eviews使用指南与案例[M].机械工业出版社,2007：128-133
[8]马薇.协整理论与应用[M].南开大学出版社,2004年：89-109
[9]Chris Brooks.金融计量经济学导论[M].西南财经大学出版社,2005年：327-373
[10]Branson,W.H:Macroeconomic Determinants of Real Exchange Rate Risk[J]. Cambridge University Press,Cambridge,MA,1983
[1]陈然方.论汇率和股价的相互作用与影响[J].财经理论与实践,1999, (2)
[2]郭建泉.弹性汇率制度下资本控制的经济效应—基于修正的Dornbusch超调模型的动态学分析[J].经济研究,2003, (5)
[3]汇率变动与证券市场价格波动的相关性分析[J].山西财经大学学报,1999, (1)
[4]蒋振声,金戈.中国资本市场与货币市场的均衡关系[J].世界经济,2001, (10)
[5]石建民.股票市场、货币需求与经济总量[J].经济研究,2001, (5)
[6]孙华妤,马跃.中国货币政策与股票市场的关系[J].经济研究,2003, (7)：44-53
[7]中国证券市场应对人民币升值的措施[J].国际经贸探索,2003, (11)
[8]高雷,何少华,宋顺林.B股指数与美元对人民币汇率的关系研究[J].统计与决策,2005, (2)
[9]陈雁云,何维达.人民币汇率与股价的ARCH效应检验及模型分析[J].集美大学学报：哲学社会科学版,2006,(3)
[10]曲凤杰.人民币汇率改革对资本流动的影响[J].国际金融研究,2005, (9)
[11]吴玲玲.人民币汇率调整对资本市场影响的思考.西南金融,2006, (8)
[12]杨清玲.股价与汇率间联动关系的实证分析.发展研究,2007, (8)
[13]徐莉,石晓春.人民币升值对我国资本市场的影响[J].专题研究,2005, (9)
[14]周新辉,苏均和.人民币升值、加息压力对资本市场的叠加效应研究[J].经济改革,2007, (4)
[15]张志刚.中国B股开放及其对人民币汇率的影响.财经科学,2001, (5)
[16]张碧琼,李越.汇率对中国股票市场的影响是否存在：从自回归分布滞后模型得到的证明[J].金融研究,2002,(7)
[17]李晓,张建平.货币升值与股市价格变动——1985年后的日本与当今中国之比较[J].2006, (1)：35-38
[18]马建会.推行QDII加快我国资本市场国际化的路径思考[J].金融理论与实践.2006, (12)：9-12
[19]武琦.人民币升值对我国股票市场的影响[J].集团经济研究.2007, (5)：172-173
[20]袁冬梅,刘建江.本币升值影响股票市场的理论与实证研究[J].长江理工大学学报(社会科学版),2006, (12)：62-66
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[22]陈雁云,赵惟.人民币汇率变动对中国股票市场的影响[J].现代财经——天津财经学院学报,2006,(3)：17-20
[23]唐建伟.汇率制度选择：理论争论、发展趋势及其经济绩效比较.金融研究,2003, (3)
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[1]廖正娟.人民币汇率变动效应的实证研究.广西：广西师范大学,2008
[2]徐瑞民.部分信息下考虑汇率时带跳的股票价格问题.山东：山东大学,2007
[3]赵莹.人民币汇率与中国股票市场价格关系研究.天津：天津大学,2008
[2]易丹辉.数据分析与Eviews应用[M].国统计出版社,2005：201-214
[3]古扎拉蒂.计量经济学(第四版)[M].北京：中国人民大学出版社,2005：184-232
[4]姜波克.国际金融学[M].高等教育出版社,]999：163-179
[5]王爱俭.20世纪国际金融理论研究：进展与评述[M].中国金融出版社,2005年：75-92
[6]克鲁格曼.汇率的不稳定性[M].北京大学出版社,2000年：60-80
[7]张晓峒.Eviews使用指南与案例[M].机械工业出版社,2007：128-133
[8]马薇.协整理论与应用[M].南开大学出版社,2004年：89-109
[9]Chris Brooks.金融计量经济学导论[M].西南财经大学出版社,2005年：327-373
[10]Branson,W.H:Macroeconomic Determinants of Real Exchange Rate Risk[J]. Cambridge University Press,Cambridge,MA,1983
[1]陈然方.论汇率和股价的相互作用与影响[J].财经理论与实践,1999, (2)
[2]郭建泉.弹性汇率制度下资本控制的经济效应—基于修正的Dornbusch超调模型的动态学分析[J].经济研究,2003, (5)
[3]汇率变动与证券市场价格波动的相关性分析[J].山西财经大学学报,1999, (1)
[4]蒋振声,金戈.中国资本市场与货币市场的均衡关系[J].世界经济,2001, (10)
[5]石建民.股票市场、货币需求与经济总量[J].经济研究,2001, (5)
[6]孙华妤,马跃.中国货币政策与股票市场的关系[J].经济研究,2003, (7)：44-53
[7]中国证券市场应对人民币升值的措施[J].国际经贸探索,2003, (11)
[8]高雷,何少华,宋顺林.B股指数与美元对人民币汇率的关系研究[J].统计与决策,2005, (2)
[9]陈雁云,何维达.人民币汇率与股价的ARCH效应检验及模型分析[J].集美大学学报：哲学社会科学版,2006,(3)
[10]曲凤杰.人民币汇率改革对资本流动的影响[J].国际金融研究,2005, (9)
[11]吴玲玲.人民币汇率调整对资本市场影响的思考.西南金融,2006, (8)
[12]杨清玲.股价与汇率间联动关系的实证分析.发展研究,2007, (8)
[13]徐莉,石晓春.人民币升值对我国资本市场的影响[J].专题研究,2005, (9)
[14]周新辉,苏均和.人民币升值、加息压力对资本市场的叠加效应研究[J].经济改革,2007, (4)
[15]张志刚.中国B股开放及其对人民币汇率的影响.财经科学,2001, (5)
[16]张碧琼,李越.汇率对中国股票市场的影响是否存在：从自回归分布滞后模型得到的证明[J].金融研究,2002,(7)
[17]李晓,张建平.货币升值与股市价格变动——1985年后的日本与当今中国之比较[J].2006, (1)：35-38
[18]马建会.推行QDII加快我国资本市场国际化的路径思考[J].金融理论与实践.2006, (12)：9-12
[19]武琦.人民币升值对我国股票市场的影响[J].集团经济研究.2007, (5)：172-173
[20]袁冬梅,刘建江.本币升值影响股票市场的理论与实证研究[J].长江理工大学学报(社会科学版),2006, (12)：62-66
[21]郭春福,姚兴桓.中国汇率与股票价格联动的实证研究[J].广西金融学院学报,2007,(4)：55-60
[22]陈雁云,赵惟.人民币汇率变动对中国股票市场的影响[J].现代财经——天津财经学院学报,2006,(3)：17-20
[23]唐建伟.汇率制度选择：理论争论、发展趋势及其经济绩效比较.金融研究,2003, (3)
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