关键词:
汇率
股票价格
向量自回归模型
Johansen协整检验
摘要:
在全球化日益深入的今天,国际间的贸易越来越多,汇率对一国经济的影响也越来越重。而股票市场作为宏观经济的晴雨表,是资产市场的重要组成部分,其受宏观经济的影响是非常剧烈而且直接的。本文选取2009~2023年人民币兑美元汇率中间价、上证综合指数和进出口贸易差额,建立向量自回归模型进行分析,通过Johansen协整检验和格兰杰因果检验等,得出结论:1) Johansen协整检验结果说明人民币兑美元汇率中间价和上证综合指数之间存在从汇率到股票价格的长期协整关系;2) 人民币兑美元汇率中间价对上证综合指数有着一个正向的影响。也就是汇率上升,股票价格上升,汇率下降,股票价格下降,但是股价的变动对汇率的影响不显著。最后根据实证分析的结论,提出了有针对性的政策与建议。In today’s increasingly globalized world, international trade is increasing, and the impact of exchange rates on a country’s economy is also becoming increasingly significant. As a barometer of macroeconomics, the stock market is an important component of the asset market, and its impact from macroeconomics is very severe and direct. This article selects the middle price of the RMB to USD exchange rate, the Shanghai Composite Index, and the import and export trade balance from 2009 to 2023, and establishes a vector autoregressive model for analysis. Through Johansen cointegration test and Granger causality test, the following conclusions are drawn: 1) The Johansen cointegration test results indicate that there is a long-term cointegration relationship between the middle price of the RMB to USD exchange rate and the Shanghai Composite Index from exchange rate to stock price;2) The central parity rate between the Chinese yuan and the US dollar has a positive impact on the Shanghai Composite Index. That is, when the exchange rate rises, stock prices rise, exchange rates fall, and stock prices fall, but the impact of stock price fluctuations on the exchange rate is not significant. Finally, based on the conclusions of empirical analysis, targeted policies and recommendations were proposed.