摘要
本文建立了由上证综指、汇率、利率与道.琼斯指数构成的多变量VAR模型,运用Granger因果检验、脉冲响应函数与方差分解技术分析了金融危机背景下外汇市场与股票市场关系。实证分析结果表明:我国金融市场上汇率变动对股票价格有明显的短期作用,而股票价格变动对汇率没有影响;美国股市波动对我国股市的短期冲击超过人民币汇率对股市的冲击;我国的利率调整对汇率有短期效应,但对股票价格无影响。
Based on multivariate vector autoregression model including SSE Composite index, exchange rate, interest rate and Dow Jones Industrial Average index, the paper applies Granger causality tests, impulse response function and variance decomposition technique to examine the relationship between foreign exchange markets and stock markets under background of financial crisis. It finds that exchange rates affect stock prices in short-run, whereas stock prices do not impact exchange rates in China. The impact of US equity market on the Chinese equity market is greater than that of RMB exchange rates. There isn＇t the impact of interest rate on stock prices in China, interest rate affects exchange rates in short-run.
出处
《财经论丛》
CSSCI
北大核心
2009年第4期43-49,共7页
Collected Essays on Finance and Economics
基金
浙江省教育厅科研基金资助项目(Y200803259)
浙江财经学院科研基金资助项目(2008YJY05)
