英国金融与投资论文:人民币汇率变动对银行股价格影响的实证研究 [2]
论文作者:英语论文网论文属性:硕士毕业论文 thesis登出时间:2016-02-06编辑:anne点击率:10772
论文字数:20597论文编号:org201602051405252709语种:英语 English地区:英国价格:$ 132
关键词:汇率银行股传动机构VECM
摘要:随着科学技术的发展,全球经济一体化趋势逐渐明朗化。对外汇率与股票价格之间的动态联系一直是由许多专业人士所关注的。
of floating exchange rate system came into working. And from then on, the RMB exchange rate began to fluctuate refer to market supply and demand. Mechanism exchange rate in China was then gradually formed and as China's share reform continued and financial capital project gradually got liberalized, theexternal exchange market and internal stock market began to show their corresponding interaction, in which they got closed through the conduction effects of macroeconomic variables. The consciousness of the interactive relationship between the internal stock market and external exchange market is beneficial to the precaution of external exchange risk andwill help promote the formation of China's exchange rate mechanism and maintain financial market and macroeconomic stability, having a strong practical significance.
Take the theory of the external exchange rate and internal stock price as a foundation, this
dissertation is adopting normative analysis and empirical analysis method of combining the research of the relationship between external exchange rate and bank stock price. First of all, using relevant theories and research results made by scholars in different regions, the essay discusses the basic theory of external exchange rate and stock prices. Then through the international capital flow, international trade, interest rate, the company's performance and expectations between external exchange rate and stock price impact analysis process, by using the software of measurement Eviews 6.0 on RMB exchange rate parity, the daily data for bank stock prices for empirical research of these variables. Through the unit root test, cointegration test, granger causality test, vector error correlation model, impulse response analysis and variance decomposition analysis, verify the correlation of the RMB exchange rate and stock price accord with theoretical analysis, finally put forward the improvement suggestions based on the practical observation.
The basic conclusions of this paper are as the following: a. The exchange rate will affect stock price by international capital, international trade, interest rates, the company's performance, psychological expectations. As the RMB is appreciating, a long-term international capital flow on Chinese stock market and economic development has a positive role. b. when time extends, the connection between external exchange rates and the bank's share price have stable cointegration, in the short run, they both have the bidirectional granger causality. In the long run, when there is appreciation of the RMB, price of bank shares goes up. For a long time, the appreciation of RMB will be beneficial to the development of our commercial bank business, and finally caused commercial Banks' share prices. Between different types of Banks, the RMB external exchange rate shows certain differences on the impact of stock price. Granger causality test results show that the external exchange rate and bank shares are a two-way causal relationship. c. Lag of RMB nominal exchange rate with an inverse relationship between bank stock prices, the empirical results of Error correction model shows that in the short term, the appreciation of the RMB will help stock price to go up, on the other hand, the depreciation of bank shares prices help to fall. d. Exchange rate volatility has a certain impact on the prices of bank shares. Impulse analysis and variance decomposition show that the fluctuation of external exch
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