摘要
随着全球金融市场之间联系的加深,金融风险通过各种渠道的传递愈加频繁。为有效防范金融风险的跨市场冲击,维护金融市场稳定,利用汇改以来2006年10月至2018年10月的数据,基于误差修正模型与TARCH模型,实证研究了汇率、国际资本市场变动与中国股市的长期关系和时变动态关系。结果表明,汇率、国际资本市场变动与中国股市波动呈现明显的时变性,汇率的下降即人民币的升值,造成了中国股价的下跌。国际资本市场与中国股市之间存在着长期稳定的正向关系,特别是美国股市的大幅下跌对中国股市冲击的概率更大。此外,国际资本市场金融风险对中国股市的冲击力度存在较为明显的“杠杆效应”。
With the deepening of the relationship between the global financial markets,financial risks are transmitted more and more frequently through various channels.In order to effectively prevent the cross-market impact of financial risks and maintain the stability of financial market,this paper empirically studies the exchange rate based on the error correction model and TARCH model,using the data from October 2006 to October 2018 since the exchange rate reform.The long-term and time-varying dynamic relationship between the changes of international capital market and Chinese stock market are analyzed.The results show that the exchange rate,international capital market changes and the volatility of Chinese stock market are obviously time-varying,and the decline of exchange rate which means the appreciation of RMB,results in the decline of Chinese stock price.As for the International capital,there is a long-term,stable positive relationship between the market and Chinese stocks,especially the sharp decline in U.S.stocks is more likely to hit Chinese stocks.In addition,the impact of international capital market financial risks on China’s stock market has a more obvious“leverage effect”.
作者
曹衷阳
李琳
CAO Zhongyang;LI Lin(School of Finance,Hebei University of Economics and Business)
出处
《当代金融研究》
2019年第4期74-88,共15页
Journal of Contemporary Financial Research
基金
2017年河北省高等学校青年拔尖人才计划项目（BJ2017075）
关键词
金融风险
人民币汇率
股票市场
Financial Risk
RMB Exchange Rate
Stock Market
