Research on the Relationship between RMB Exchange Rate and the Price of Stock Market of China

【摘要 (中文/英文)】 汇率是一国货币的对外价格,而股价又被视为一国经济发展情况的风向标。在这两者中,前者代表着一国经济的对外均衡,是该国外汇市场的价格;后者代表着该国经济中资本市场的均衡,是一国资本市场的价格。由于这两个金融子市场在一国金融体系中占有重要位置,又相互联系,因此这两个重要的经济变量之间必然存在着联系。对于开放经济体而言,汇率与股价之间的紧密联系和相互影响又关系着一国经济的稳定和发展,因此研究汇率与股票市场价格之间的关系具有重要的理论意义和现实意义。 随着我国市场经济体制改革的逐步深入以及金融市场的开放程度不断加大,人民币汇率与中国股票市场价格之间的联系会越来越紧密。该论文就在这种大前提下,首先对汇率与股价关系进行了理论和定性的研究,其次采用计量经济学手段对人民币汇率与中国股票市场价格进行了实证检验,最后在以上研究的基础上提出了相关的政策建议。 文章首先给出了研究汇率与股票市场价格关系的背景和意义,并对现有的国内外研究成果进行了总结。其次研究了汇率与股价关系的理论基础,并定性地分析了汇率与股票市场价格相互影响在空间上的传导机制和途径。在国别分析比较的基础上在时间维度对汇率与股价相互作用的阶段进行...更多了分析。再次利用计量经济学手段对人民币汇率与上证综合指数之间的关系进行了实证检验,并建立了相应的误差修正模型。最后在前文研究的基础上,结合我国实际情况对人民币汇率与中国股票市场价格相互影响进行了分析,并提出了相关的对策建议。 

 The exchange rate is the price of the currency abroad, while the price of the stock market is the signal of one country’s economy. Both the exchange rate and the price of the stock market mean the equilibrium of the economy. For a developed country, the relationship between the exchange rate and the price of the stock market relate to the stabilization of the economy development. For these reasons, it is important to have some research on the relationship between the exchange rate and the price of the stock market. Because of the reform of Chinese economical system and the openness of the Chinese financial markets, the relationship between the RMB exchange rate and the price of the stock market is closer than before. This paper has some researches on the theory about the exchange rate and the price of the stock market, and then makes the way on how the two variables influence each other clearly. Some econometrician methods are used to draw the conclusions. At last, the paper gives some suggestions on the development of the exchange market and the stock market of China. The paper gives the essence of the research on the relationship between the exchange rate and the price of the stock market, and picks up the existing researches. Then it reviews the theory about the exchange rate and the price of the stock market, and elaborates on the way how the two variables influence each other. The paper also has some comparisons about the relationship between the exchange rate and the price of the stock market of different countries. In the paper the econometrician model on the RMB exchange rate and the index of the stock market of China is built. The last part puts forward the suggestions of further development of the exchange market and the stock market of China.

【关键词 (中文/英文)】 人民币汇率; 股价; 升值

Exchange Rate of RMB; Stock Price; Appreciation