摘要
本文基于2005年8月至2010年6月的月度数据,利用协整检验和向量误差修正模型研究了次贷危机发生前后人民币名义有效汇率与股票价格之间的联动关系。实证结果表明,次贷危机发生前中国股市与汇率之间存在正向的长期均衡关系,且两者之间在长期互为因果关系;在次贷危机发生后两者之间则是反向的长期均衡关系,股价波动在长期内是人民币名义有效汇率变动的单向Granger原因。最后本文基于人民币名义有效汇率的计算方法及其影响因素,利用资产组合平衡模型、国际贸易等相关理论对实证结果进行了分析。
Based on the monthly data from August 2005 to June 2010,the empirical analysis has been done on the relationship between the nominal effective exchange rate（NEER）and stock prices before and after the subprime crisis using the Cointegration test analysis and Vector error correction model（VECM）.Research has found that there exists a positive long-run equilibrium relationship between China＇s stock market and exchange rate before subprime crisis,and two variables are pairwise granger cause in the long-run.After subprime crisis the relationship is a negative long-run equilibrium,and there is unidirectional Granger causality from stock prices to NEER in the long-run.Finally,based on formula and influence factors of NEER,the paper gives the analysis of empirical results using portfolio balance approach,international trade theory and so on.
出处
《技术经济与管理研究》
北大核心
2011年第9期70-75,共6页
Journal of Technical Economics & Management
基金
教育部人文社会科学研究规划项目(10YJAGW015)
