人民币汇率与股价联动关系的实证分析.doc

人民币汇率与股价联动关系的实证分析 陈蕾艳 The Empirical Analysis of the Relationship between RMB Exchange Rate and Stock Price Chen, Lei yan 摘 要 汇率和股票市场在一国的经济发展中扮演着重要的角色，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，对国民经济产生巨大的影响；而股市价格指数是一个证券市场整体股价水平的反映，通常成为国民经济的“晴雨表”，能够灵敏地反映实体经济的细微变化。汇率和估价本来分属于外汇市场和证券市场两个不同的范畴，但随着人民币汇率弹性的加大和股市中股权分置改革的深化，汇率和股价的联动关系日趋明显，关于人民币汇率与股价的联动关系的研究越来越受到重视。 关于汇率与股价的联动关系，本文从理论和实证分析两方面论述了汇率变动对中国股市影响问题。首先，综述了国内外的学者关于这个课题的理论成果；在实证分析中，本文采用了国内外学者在分析此问题时普遍使用到的平稳性检验、协整方法以及Granger因果检验法。 本文选取了汇率改革以后602个工作日的人民币兑美元的汇率中间价（直接标价法），伤证综合指数，上证A、B股指数，深证综合指数，深证A、B股指数进行检验。结果表明：汇率与股价的联动关系是存在的，总体而言，人民币汇率与股价存在明显的负相关，且汇率对股价的影响大于股价对汇率的影响。另外，在本文的最后，列出了本文的不足以及进一步的研究方向。 关键字：汇率；股价；ADF检验；协整检验；Granger因果检验 Abstract Exchange rate and stock market play a very important role in a country’s economy development .Exchange rate reflects external value of a nation’s currency status and the rate’s change may result in tremendous influence on domestic economy. As to stock price index ,it manifests the whole stock price of the stock market, and is usually regarded as “weatherglass ” of economy . Exchange rate and stock price originally belong to two different sphere—foreign exchange market and stock market. However with the increase of the flexibility of RMB exchange rate and the deepen of the innovation of the capital stock right , the linkage relation between exchange rate and stock price tend to become obvious ,and the study on the problem become more and more important. To make clear the linkage relation between exchange rate and stock price, this text discuss the matter from two aspects –theory and demonstration. Firstly ,the text collect the theory fruits on this problem of scholars from our nation or abroad; and then ,as to the demonstration, the text has used economic modles and methods (including unit root test, Johansen cointegration test, Granger causality test) which have been widely used national and abroad. This text collect 601 RMB\USD exchange rates (dir