人民币汇率形成机制改革后的股价和汇率相关性研究

通过协整检定、向量误差修正模型和VEC格兰杰因果检定,使用2005年7月22日~2007年4月27日的日交易数据,实证考察了人民币汇率形成机制改革之后,人民币兑美元汇率与我国国内股价之间的关系。结果发现,人民币兑美元汇率与上证综合指数间存在协整关系,达到了长期均衡;股票价格和汇率间存在着由人民币兑美元汇率到上证综合指数单向的长期和短期因果关系,不存在由上证综合指数到人民币兑美元汇率长期的或者短期的因果关系,人民币兑美元汇率是上证综合指数变化长期的和短期的原因之一。

Correlation between the Stock Prices and Exchange Rates after Reforming RMB' Exchange Rate Systems

An analysis of long-run and short-run association between the share market and the exchange rates in China was carried out through cointegration,vector error correction modeling technique and VEC Granger causality tests,in which daily data covering July 2005 to April 2007 was used.The results show a cointegration relationship and long run equilibrium between the two variables in China.It is found that there is unidirectional causality from exchange rates to stock prices in both the short-run and long-run,implicating for investors,policy makers and academicians.