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本文使用集总平均经验模态分解方法 (EEMD)将上证综指和人民币兑美元汇率分解为波动频率不同的分量,并在对各分量进行分析的基础上将其划分为短期分量、中长期分量和趋势项后,采用滚动窗口相关系数、状态空间模型实证研究了两者之间动态传导机制。结果发现,趋势项决定了两者的长期走向,是其内在特征的体现,中长期分量反映了重大事件对两者变动趋势的影响,短期分量反映了市场上噪音对两者变动趋势的影响;汇率和上证综指之间存在相互传导机制,不论是短期分量、中长期分量还是趋势项,汇率对股市的传导大于股市对汇率的传导,且两者的短期分量和中长期分量的传导随着国家政策和外界环境的变动而变动,趋势项基本不受外界环境的影响。
In this paper, the EMRD method is used to decompose the exchange rate of the Shanghai Composite Index and the RMB against the US dollar into different frequency components. Based on the analysis of each component, the exchange rate is divided into short-term components, medium-long-term components And trend items, the paper uses the rolling window correlation coefficient and the state space model to empirically study the dynamic conduction mechanism between the two. The results show that the trend term determines the long-term trend of both, which is the manifestation of its intrinsic characteristics. The medium and long term components reflect the impact of major events on the trend of the two. The short-term component reflects the impact of noise on the trend of the two. The exchange rate and the Shanghai Composite Index exist between the mutual conduction mechanism, both short-term components, long-term or trend items, the exchange rate on the stock market is greater than the stock market on the exchange rate of conduction, and the short-term and long-term components of both conduction along with National policies and changes in the external environment changes, the trend of basic items from the external environment.