汇改后中国外汇市场与资本市场联动效应——基于集合经验模态分解法

以投资者预期收益变动逻辑起点,构建在不同预期收益下外汇市场与资本市场的联动机制理论模型,进而将2005-2014年按金融市场改革历程划分为4个阶段,通过集合经验模态分解法对中国外汇市场与资本市场的数据进行分解,过滤掉代表资本价格随机波动的短周期分量,提取最具代表联动性的长周期趋势分量。采用VAR-GARCH-BEKK模型对4个阶段两个市场的均值溢出效应和波动溢出效应进行分析,结果显示:受中国经济增长的方式以及外汇管制制度影响,不同阶段两个市场间的溢出效应呈现出不同的特点,虽然总体来看联动强度有一定程度的加强,但是两个市场间"资金价格"传导机制的脆弱性并未获得实质性的改变。因此,只有推进汇率市场化,循序渐进的加快资本项目可兑换,完善人民币汇率形成机制,才能够不断提高货币政策调控的主动性和有效性性,维护国家利益。

The Linkage Effects Between Foreign Exchange Market and Capital Market After Exchange Rate Reform in China-Based on EEMD

Based on the logical starting point of investors'' expected benefits change, this paper built a model of foreign exchange market and capital market theory of linkage mechanism under different expected earnings. Then it derived the long cycle components which reflected the linkage through dividing the time after the exchange rate reform into four stages and exploring the data of Chinese Foreign Exchange Market and capital market based on EEMD. And the spillover effects of these two markets in each stage were analyzed respectively using VAR-GARCH-BEKK model. The results reveal that affected by China''s economic growth mode as well as the foreign exchange control, the spillover effect between two markets different stage presents different characteristics. Although there is a strengthened certain degree of overall linkage intensity, the implementation of price transmission mechanism of the two markets has not been improved in the development of exchange rate reform. Therefore, promoting the exchange rate liberalization, opening the capital account step by step, and improving the RMB exchange rate formation mechanism are the key to improve the initiative and effectiveness of monetary policy and the maintenance of national benefit.