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本文运用协整检验和差分VAR模型研究了我国宏观调控背景下汇率和股价之间的关系。研究发现,人民币升值与股价之间先后经历了显著的正向变动关系与反向变动关系,二者之间不存在协整关系,只在短期内汇率是A股价格波动的Granger原因。宏观调控对利率、对外贸易和资本流动等三大联系渠道产生了重要影响,对于防范金融风险起到了积极作用。
This paper uses cointegration test and differential VAR model to study the relationship between exchange rate and stock price under the background of macroeconomic regulation and control in our country. The study finds that there is not a cointegration relationship between RMB appreciation and stock price, which has significant positive and negative changes. The exchange rate is only the Granger cause of A-share price fluctuation in the short run. Macro-control has had an important impact on the three major channels of contact such as interest rates, foreign trade and capital flows, playing a positive role in guarding against financial risks.