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本文阐述开放经济条件下汇率与股价的传导机制,采用ARCH模型分析美元/人民币汇率和上证指数的关系,发现上证指数与美元/人民币汇率具有长期均衡关系,汇率领先于股价;汇改前后美元/人民币与上证指数的收益率表现出相反的变化方向,是成本价格支撑和心理预期综合作用的结果。
This paper describes the conduction mechanism of exchange rate and stock price under the condition of an open economy. By using the ARCH model to analyze the relationship between the USD / RMB exchange rate and the SSE Index, it finds that the SSE Index has a long-term equilibrium relationship with the USD / RMB exchange rate and the exchange rate is ahead of the stock price. The yield of the RMB and the Shanghai Composite Index show the opposite direction of change, which is the result of the combined effect of cost price support and psychological expectation.