中国外汇市场与股票市场的关联性 ——基于 VAR 与 MS-VAR 模型的实证分析
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摘要
外汇市场与股票市场的关系是全世界各国宏观经济研究的重要议题，尤其在西方的学术界备受关注，但是由于人民币汇率的市场化和股票市场的发展相比较西方国家起步较晚，所以中国学术界针对二者之间关系的研究也相对欠缺。但是伴随着中国金融市场改革的稳步推进，经济开放度日益增强，系统全面地研究中国外汇市场与股市之间的关系成为了当今研究学者很重要的课题之一。本文通过选用 2005 年 7 月到 2020 年 12 月的月度数据作为研究样本，用汇率收益率和股指收益率来衡量外汇市场和股票市场，运用 VAR 模型和 MS-VAR 模型进行实证研究，得到如下研究结论：1) 利用 VAR 模型进行分析发现，外汇市场的波动会影响到股票市场，但是股票市场的波动并不会对外汇市场产生影响；2) 利用 MS-VAR 模型进行分析发现，对不同区制进行区分之后，在经济环境较好时，股票市场与外汇市场具有较强的关联性，但是在经济持续低迷之时，两者之间的关联性较小；3) 从不同区制角度分析，各个区制之间转换频率较低，然而依然存在不同区制之间转化现象，尤其是经济低迷状态时，不同区制之间转化比较频繁。
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Chinese Journal of Social Science and Management Editorial Division
The Office of Research and Development, Panyapiwat Institute of Management
85/1 Moo 2, Chaengwattana Rd., Bang Talat, Pakkred, Nonthaburi 11120, Thailand
Tel. 02 855 01048 E-mail: cjssm@pim.ac.th
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