"不规则"联动汇率与股价的研究

本研究综述2000年以来的对汇率与股价关系研究的代表性文章,认为即便两者之间存在"不规则"性,但还是可以从"不规则"中寻找出相对规律。这就需要模型设定约束条件。不仅要考虑经济体(或国家)和地区的对外经济的开放度和金融市场的成熟度,而且还考虑汇率波动(风险贴水)与股市涨跌(引起货币需求变化)各自为对方扮演的角色(时间段上)。由于两个市场定价的内生性使得现在的理论模型都处于"过渡性"。未来的希望寄托在汇率的货币主义分析法与跨期国际资产定价模型的融合。在实证分析方面如何突破协整以及向量自回归之类的框框有待新的非线性工具的开发。

Irregular Correlation between the Exchange Rate and Stock Price

The article briefs on main papers since year 2000 dealing with the relationship between ex- change rate and stock price,and points out that though the two variables has weak correlation,there is still some rules behind it.The research needs to be conducted in specific framework.It requires not only the open- ness extent of the economy and the maturity of financial market,but also the factors like exchange rate fluctu- ation and stock price volatility.All the present models can only serve as transitional ones.Monetary approach and inter-temporal international asset pricing may shed a light on future research.And we also look forward to innovations of original non-linear analyzing model.