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本文利用我国主要贸易伙伴对人民币的双边汇率和双边贸易流编制了八个主要工业制造业的分行业名义有效汇率,比较分析了其统计特征和影响因素,并将其运用到股票市场,分析了分行业名义有效汇率对分行业股票收益率的影响。研究结果表明:首先,八个行业的名义有效汇率在长期内走势趋同,但是其相对数值以及波动程度存在一定差异。其次,美元、欧元和日元对各行业名义有效汇率的影响程度依次递减,各影响因素的作用程度在不同时期和不同行业间均存在较大的差异。第三,汇率变动对不同行业股票市场的影响各不相同。第四,相对于加总的有效汇率,分行业有效汇率对股票收益率变动的解释力度更强,该研究结果验证了编制分行业名义有效汇率的必要性。
In this paper, the nominal exchange rate of the eight major industrial manufacturing sectors of the eight major industrial manufacturing industries is compiled based on bilateral exchange rates and bilateral trade flows of China’s major trading partners. The statistical characteristics and influencing factors of the three major industrial manufacturing industries are compared and analyzed, and their application to the stock market is analyzed. The Impact of Substandard Nominal Effective Exchange Rate on Stock Returns of Sub-sectors. The results show that: First of all, the nominal effective exchange rates of eight industries tend to converge in the long run, but there are some differences between the relative values and the degree of volatility. Second, the impact of the U.S. dollar, euro and yen on the nominal effective exchange rates of various industries in decreasing order of magnitude, the extent of the role of the various influencing factors in different periods and between different industries are quite different. Third, the impact of changes in exchange rates on the stock markets in different industries varies. Fourthly, relative to the total effective exchange rate, the effective exchange rate of the sub-sector explains the change of the stock return more strongly. The result of the study verifies the necessity of formulating the nominal effective exchange rate of the sub-sector.