摘要
汇率和股价是宏观经济中非常重要的两个变量,它们的变动对金融稳定有重要的影响。本文基于动态条件相关系数-自回归条件异方差模型(DCC-GARCH)实证检验了人民币汇率和股价之间的传导机制,实证结果表明:(1)2008年金融危机以来,我国汇率的变动会通过经常账户使股价发生变化,人民币贬值会使股价上涨,汇率和股价之间的关系符合流量导向模型;(2)随着经常账户规模的增加,汇率对股价的影响会越来越大。结合我国实际,本文提出加强人民币汇率预期管理、完善衍生品市场建设、建立国际资本流动监管体系、优化股票市场投资者结构等政策建议。
Exchange rate and stock price are two very important variables in macro-economy,their changes have an important impact on financial stability.Based on DCC-GARCH model,this paper empirically examines the transmission mechanism between RMB exchange rate and stock price.Empirical results show that,(1)after the 2008 financial crisis,changes in exchange rate will change stock price through current account,RMB depreciation will increase stock price,the relationship between exchange rate and stock price is in line with the flow-oriented model;(2)with the increasing size of current account,the impact of exchange rate on stock price will become more and more significant.Combining with the reality of China,this paper puts forward some policy suggestions,such as strengthening the expected management of RMB exchange rate,improving the construction of derivatives market,establishing the supervision system of international capital flow,and optimizing the structure of investors in the stock market.
作者
王胜
赵春晨
Wang Sheng;Zhao Chunchen(School of Economics and Management,Wuhan University,Wuhan 430072,China)
出处
《工业技术经济》
CSSCI
北大核心
2020年第4期54-62,共9页
Journal of Industrial Technological Economics
