牛、熊市状况下人民币汇率与股价关系分析

文章分析了2005年7月人民币汇率改革以后牛熊市下人民币汇率和股票价格的关系,本文发现,在牛市期间,汇率和股票指数在滞后一期上是互为Granger因果关系的,在其余的各滞后期,汇率都是股票指数的Granger原因,而股票指数都不是汇率变动的Granger原因。从两者的互相影响的关系上看,两者在一定程度上互相影响,但是汇率变化对股指变化的影响比股指变化对汇率变化的影响的程度要更深。而在熊市情况下,人民币汇率和股票指数之间不存在协整关系。

RMB exchange rate and share price relation analysis under the surface of Bull Bear market

This paper analyzes the relationship bet-ween RMB exchange rate and the stock prices under the bull and bear market after Chinese exchange rates reform which happened in 2005.The paper finds that in the bull market,exchange rate and stock prices have mutually granger causality relationship in one lag period.In the rest lag period,exchange rate granger cause stock prices,while the stock prices does not Granger cause exchange rate.？Over all,exchange rate and stock prices influence each other to some extent,but exchange rate changes has more impact on the stock prices changes than the stock prices has on the exchange rate.In the bear market,RMB exchange rate and stock prices have no cointegration relationship.