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本文以2010年4月30日到2014年4月30日的上证指数和人民币兑美元汇率中间价的日度数据为样本数据,通过Johansen协整检验、误差修正模型和Granger因果检验等计量研究方法对我国证券市场的股票波动和人民币汇率之间的关系进行研究。通过分析研究结果发现:我国证券市场的股票价格波动和人民币汇率间存在长期均衡关系,并且在直接标价法下,上证指数与人民币兑美元汇率呈正向变化趋势,即上证指数上升,人民币兑美元汇率中间价上升,人民币贬值;上证指数下降,人民币兑美元汇率中间价下降,人民币升值;而且上证指数和人民币兑美元汇率中间价是互为Granger因果的关系,从显著性水平来看,上证指数波动对人民币兑美元汇率的影响要大于人民币兑美元汇率变化对上证指数的影响。
Based on the daily data of the Shanghai Composite Index and the central parity rate of Renminbi against the U.S. dollar from April 30, 2010 to April 30, 2014, the paper uses Johansen cointegration test, error correction model and Granger causality test Research on the relationship between stock volatility and RMB exchange rate in China’s securities market. Through the analysis of the research results, it is found that there is a long-term equilibrium relationship between stock price volatility and RMB exchange rate in China’s securities market. Under the direct quotation method, the exchange rate of Shanghai Stock Exchange and Renminbi against the US dollar shows a positive trend. That is, the SSE Index rises, The central parity rate rose, the RMB devaluation; the Shanghai Composite Index dropped, the central parity of RMB against the US dollar fell, the RMB appreciation; and the Shanghai Composite Index and the RMB exchange rate against the US dollar is mutually Granger causal relationship, from a notional level, the Shanghai Composite Index volatility The impact of the RMB exchange rate against the US dollar is greater than the impact of the exchange rate change of the RMB against the US dollar on the Shanghai Composite Index.