人民币有效汇率变动与股市波动性关联效应的实证研究

文章首先从理论上分析了汇率对股市的作用机制，然后构建多因素VAR模型，验证了有效汇率、M1、利率r、以及净出口NETEX与沪深300指数之间的短期相关关系，采用格兰杰因果关系检验、脉冲响应函数和方差分解的方法证明了汇率变动是股票收益率波动的重要影响因素，同时得出在短期内货币供应量机制以及利率机制对股市的作用比较显著，而外贸机制虽然短期内不显著，但在长期内作用更加深远剧烈。

An empirical study on the relationship between RMB effective exchange rate and stock market volatility: evidence from China

The relationship between foreign exchange market and stock market is of great significance to the stable development of a country''s economy.In order to study this relationship,this paper theoretically analyzes the mechanism of exchange rate to the stock market,then builds multivariate VAR model and verifies the short-term relationship between the effective exchange rate,M1,the interest rate R,and net exports NETEX and Hushen 300 index.Granger causality test,impulse response function and variance decomposition methods prove that exchange rate is the important factor on the volatility of stock returns.Money supply mechanism and interest mechanism to stock market are significant in short term.Foreign trade system is more significant in long term.