人民币升值对股价的影响.doc

本科毕业论文外文原文 外文题目：The Impact of Renminbi Appreciation on Stock Prices in China 出 处：Emerging Markets Finance Trade 作 者：Chien-Chung Nieh and Hwey-Yun Yau ABSTRACT: Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China’s trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U.S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Policy and the broader implications of the findings are discussed. KEY WORDS: asymmetric causality, exchange rates, momentum threshold error-correction model (M-TECM), stock prices. China’s currency, the renminbi (RMB), which for the previous decade was tightly pegged at RMB8.28 to the U.S. dollar, was revalued to RMB8.11 per U.S. dollar on July 21,2005. Following removal of the peg, due in part to political pressure from the United States and the United Kingdom, the Chinese authorities also announced that the renminbi would be pegged to a basket of foreign currencies, rather than being strictly tied to the U.S. dollar (USD), and it would be allowed to float within a narrow 0.3 percent daily band against this basket. The revaluation of the RMB/USD exchange rate has marked a new era of a managed floating exchange rate system. The significance of exchange rate system reform is that the shift to a flexible exchange rate reg