人民币汇率与中国股票市场价格传导机制研究

汇率和股价是金融市场上十分重要的两个指标,两者之间存在内在的联系,共同对一国经济产生影响.由于2007年次贷危机爆发前后全球经济金融形势发生了重大变化,本文将样本区间分为次贷危机前后两个阶段分别进行实证研究.研究表明,次贷危机前后人民币汇率和上证A股指数之间均表现为汇率到股价的单向因果关系,并且次贷危机爆发前,人民币汇率与上证A股指数之间的传导表现为经常项目不显著,资本项目显著.次贷危机爆发后则相反,人民币汇率与上证A股指数之间的传导表现为经常项目显著,资本项目不显著.

A Study of the Transmission Mechanism between RMB Exchange Rate and China Stock Price

The exchange rate and the stock price are the two indicators of crucial importance in the financial market,and certain internal relationships exist between them,which,by all means,jointly exert impacts on one economy.Since the global economic and financial situations experienced significant changes before and after the sub-prime crisis,this paper divided the sample interval into two parts and made an empirical analysis respectively.Researches in this paper showed that whether before or after the crisis,the RMB exchange rate and the Shanghai A share index revealed the unidirectional casualty from the exchange rate to the stock price.Moreover,before the crisis,the transmission in current account was not robust while the capital account was robust;after the crisis,however,situations was reversed:the current account turned out to be robust but capital account failed to be robust.