基于VECM-MGARCH模型的人民币汇率与牛熊股市关系研究
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引用本文:赵 华.基于VECM-MGARCH模型的人民币汇率与牛熊股市关系研究[J].经济数学,2010,27(4):52-59
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作者单位
赵 华 (1.北京大学 中国金融研究中心北京100871
2.厦门大学 经济学院,福建 厦门361005) 
中文摘要:2005年以来人民币汇率均处于升值过程,而股市却经历了牛、熊市的历程.本文基于VECM-MGARCH模型实证研究了人民币汇率与我国股市处于牛、熊市期间二者之间的动态关系,结果发现,汇率和股价之间不存在线性的相互影响关系.就波动性而言,股市处于牛市期间,二者之间存在相互影响关系;熊市期间,这种非线性关系消失.人民币升值预期的减弱及股市的下跌是导致二者关系变化的主要原因.
中文关键词:VECM  MGARCH  存量导向模型
 
Study on the Relationship between RMB Exchange Rate and Bull and Bear Stock Markets with VECM-MGARCH Model
Abstract:Since 2005 the RMB exchange rate has been in the appreciation process, meanwhile the stock markets have experienced a bull and bear markets. This paper empirically analyzed the dynamic relationships between the RMB exchange rate and China's stock markets,which were in bull and bear periods with VECM-MGARCH model. The results indicate that there is no linear relationship between the exchange rate and stock price. In terms of the volatility, when the stock markets are in a bull market period, there is interaction between the exchange rate and stock price,but this non-linear relationship disappears when the stock markets are in a bear market period. The weakening of the Renminbi appreciation expectation and the stock markets’ decline are the main rensons for the changes of this relationships between the exchange rate and stock prices.
keywords:VECM  MGARCH  stock-oriented model
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