人民币升值对上证综合指数影响的实证分析

 [摘 要] 该文首先从理论着手，综合了股票定价模型，净出口函数，J曲线，BP曲线，从理论上说明了本币升值会影响该国的股票市场价格。接着收集了2005年7月21日到2007年4月30日的人民币汇率数据与上证综合指数数据进行了实证分析。通过对数据进行平稳性检验，协整检验，因果检验得出存在汇率价格到股票价格的单向因果关系的结论——即汇率价格变动会影响股票市场，而股票价格波动不影响外汇市场。再结合汇率价格会影响股票价格这一结论，建立了动态模型(ARDL)。模型显示某一日的股票价格主要由前一日的股票价格及前三日的汇率价格决定。紧接着我们对动态模型进行了预测，结论是样本内预测效果很好，样本外预测有较大偏差。最后对ARDL模型进行了ARCH效应测试，证明存在ARCH效应，由是我们就建立了GARCH(1,1)模型。

[关键词] 人民币汇率；上证综合指数；实证分析

The empirical analysis of the RMB appreciation’s effect on Shanghai composite index

Abstract：The article first begins with the theory. comprehensiving the stock prices pricing model, The net export function, the J-curve, and the BP-curve indicates that the appreciation of the RMB will affect the stock market prices. Then we collected data of the RMB exchange rate and the Shanghai composite index from July 21, 2005 to April 30, 2007. Through data stationarity test, cointegration regression test, and causality test we get that the exchange rate will affect the stock market---that is the fluctuations in the exchange rate will effect the stock market and stock price changing do not affect the foreign exchange market. We establish a dynamic model(ARDL) on the above result. The model indicates that the stock price on one day main decided by the stock price of one day before and the exchange rate price of three days before. Then we make a predict with the model, the forecast of in-sample is good and the forecast of out-of-sample have a larger deviations. Finally we do a ARCH effects test on the ARDL model. The result is the model exist ARCH effect, then we set up the GARCH(1,1) model.

Keywords：exchange rate of the RMB；Shanghai composite index；empirical analysis

评论