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| 金融危机背景下汇市与股市关系实证研究 | |
| 引用本文： | 李忠,张涤新. 金融危机背景下汇市与股市关系实证研究[J]. 财经论丛, 2009, 0(4) |
| 作者姓名： | 李忠 张涤新 |
| 作者单位： | 浙江财经学院金融学院,浙江,杭州,310018;南京大学商学院,江苏,南京,210093 |
| 基金项目： | 浙江省教育厅科研基金资助项目，浙江财经学院科研基金资助项目 |
| 摘 要： | 本文建立了由上证综指、汇率、利率与道·琼斯指数构成的多变量VAR模型,运用Granger因果检验、脉冲响应函数与方差分解技术分析了金融危机背景下外汇市场与股票市场关系.实证分析结果表明:我国金融市场上汇率变动对股票价格有明显的短期作用,而股票价格变动对汇率没有影响;美国股市波动对我国股市的短期冲击超过人民币汇率对股市的冲击;我国的利率调整对汇率有短期效应,但对股票价格无影响. |
| 关 键 词： | 汇率 股票价格 向量自回归(VAR)模型 脉冲响应函数 方差分解 |
An Empirical Research on the Relationship Between Foreign Exchange Market and Stock Market Under Financial Crisis |
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| LI Zhong,ZHANG Di-xin. An Empirical Research on the Relationship Between Foreign Exchange Market and Stock Market Under Financial Crisis[J]. Collected Essays On Finance and Economics, 2009, 0(4) | |
| Authors: | LI Zhong ZHANG Di-xin |
| Affiliation: | LI Zhong1,ZHANG Di-xin2 (1.School of Finance,Zhejiang University of Fiance , Economics,Hangzhou 310018,China,2.School of Business,Nanjing University,Nanjing 210093,China) |
| Abstract: | Based on multivariate vector autoregression model including SSE Composite index,exchange rate,interest rate and Dow Jones Industrial Average index,the paper applies Granger causality tests,impulse response function and variance decomposition technique to examine the relationship between foreign exchange markets and stock markets under background of financial crisis.It finds that exchange rates affect stock prices in short-run,whereas stock prices do not impact exchange rates in China.The impact of US equity... |
| Keywords: | exchange rate stock price VAR model impulse response function variance decomposition |
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