论文部分内容阅读
本文利用协整检验和因果检验的计量方法研究了从2012年11月1日到2014年8月27日中国股市与汇市的关系。通过严密的实证分析发现,在样本区间内,我国股票市场价格和汇率市场价格之间存在稳定的协整关系,人民币的汇率变动对我国股票市场价格变动存在单向的影响。最后,本文利用国际收支的相关理论对这些实证结果作了进一步解释,并提出了相应的政策建议。
This paper studies the relationship between Chinese stock market and foreign exchange market from November 1, 2012 to August 27, 2014 using the co-integration test and causal test. Through rigorous empirical analysis, we find that there is a stable cointegration relationship between the stock market price and the exchange rate market price in the sample interval. The change of the RMB exchange rate has a unidirectional influence on the stock price volatility in our country. Finally, the paper uses the theory of balance of payments to explain these empirical results further, and puts forward the corresponding policy recommendations.