人民币汇率政策推出时机抉择: 汇率与股指相关性视角

通过构建T-Copula-GARCH模型从人民币汇率与股市指数相关性视角，分析我国深化金融市场改革开放背景下汇率政策推出时机抉择。结果表明：人民币兑美元、日元汇率贬值时，上证指数下降；而人民币兑美元、日元汇率升值时，上证指数上涨。人民币兑欧元汇率、人民币指数升值时，上证指数下降；而人民币兑欧元汇率、人民币指数贬值时，上证指数上涨。人民币兑美元汇率与上证指数相关性波动趋势跟人民币指数与上证指数相关性波动趋势基本相反，人民币兑日元、欧元汇率与上证指数相关性波动趋势跟人民币指数与上证指数相关性波动趋势基本相同。股票市场趋势性上涨后，我国外汇市场和股票市场关联性进一步降低。因此，为弱化外汇市场和股票市场联动风险，人民币兑美元、日元汇率的改革措施应选择在股票市场趋势性上涨阶段推出，尤其是人民币兑美元汇率改革措施的推出；人民币兑欧元汇率的市场化改革对时机窗口要求不高，故在人民币汇率市场化改革中可优先推行人民币兑欧元汇率市场化改革；人民币汇率综合改革措施则可选择在股票市场趋势性上涨阶段推出。

The Timing of the Implementation of Exchange Rate Policy: A Perspective of the Correlation Between the RMB Exchange Rate and the Stock Market Index

By constructing T-Copula-GARCH model, the timing of the implementation of the exchange rate policy in the background of deepening financial market reform and opening up is analyzed from the perspective of the correlation between RMB exchange rate and the stock market index. The study shows that the Shanghai Composite index fell as the RMB exchange rate against the US dollar and the yen depreciated, while it rose as the RMB exchange rate against the US dollar and the yen appreciated. Besides, the Shanghai Composite Index fell when the RMB exchange rate against the euro and the RMB index appreciated, while it rose when the RMB exchange rate against the euro and the RMB index depreciated. The trend of the correlation and fluctuation between the RMB exchange rate against the US dollar and the Shanghai Composite Index is basically opposite to the correlation and fluctuation between the RMB index and the Shanghai Composite Index. And it is basically the same trend of the correlation and fluctuation between the RMB exchange rate against the yen, the RMB exchange rate against the euro and the Shanghai Composite Index as that of the RMB index and the Shanghai Composite Index. After the stock market rose, the correlation between China''s foreign exchange market and the stock market was further reduced. Thus, in order to weaken the linkage risk of the foreign exchange market and the stock market, the reform of the RMB exchange rate against the US dollar and the RMB exchange rate against the yen should be introduced on the rising stage of stock market, particularly the reform of the RMB exchange rate against the US dollar. Since the reform of marketization of the RMB exchange rate against the euro has low demand on opportunity, the reform of marketization of the RMB exchange rate against the euro can be carried out prior to the reform of marketization of the RMB exchange rate. And the comprehensive RMB exchange rate reform can be introduced on the rising stage of stock market.