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我国股价和汇率的关联:基于VARMGARCH模型的研究严武金涛:本文基于VARMGARCH模型,分别选择人民币对美元欧元和日元等不同外币的汇率,研究了我国股价和汇率之间的关联实证研究表明,存在一定程度的从人民币对欧元汇率到股指的价格溢出效应,存在人民币对欧元汇率和人民币对日元汇率到股指的波动溢出效应,但人民币对美元汇率和股指之间既不存在明显的价格溢出效应,也不存在明显的波动溢出效应总体来说,当前我国股票价格和汇率之间的内在关联性并不强为实现货币政策的有效传导,应采取措施加强股市和汇市两个市场的有机联系:股票价格汇率价格溢出波动溢出VARMGARCH:严武,江西财经大学金融与统计学院,中澳亚太资本市场研究中心教授,330013;金涛,江西财经大学金融与统计学院博士生,桂林电子科技大学应用科技学院副教授,541002:F8315:A:10028102(2010)020019061985!,,,1990,,2090,,,,:!!,,,,,(),,,:,FranckYoung(1972);Aggarwal(1981)1974-1978,BahmaniOskooeeSohrabian(1992),AbdallaMurinde(1997)1985-1994,4,1920102,,(,2009)(,2007;,2007)(2006),,,;,(2007),20057,,,,,?,,VARMGARCH,()yt=(St,Ext)∀,St,Extp(VAR):yt=c+#pi=1Biyt-i+dDumt+t(1)Bi=bi,11bi,12bi,21bi,22,Dumt,2005721,01,d=(d1,d2)∀pAIC,(MGARCH)BEKK∃(1)t=(1t,2t)∀:t|t-1~N(0,#t)(2),t-1t-1,#ttGARCH(1,1),GARCH(1,1)BEKK:#t=C∀0C0+A∀11t-1∀t-1A11+G∀11#t-1G11(3)(),,2001123120091130,,wind1905,%St=100(lnPt-lnPt-1),Pt,100ExusdEx20Finance&TradeEconomics,No2,2010∃%Baba(1990)GARCH,,GARCHBEKK,,eurExjpy1VAR(6)MGARCH(1,1)(1):St,Exusd(2):St,Exeur(3):St,Exjpyb1,22-0063*b1,22-0050**b5,210022***b4,110056**b3,120096*b6,11-0064***b4,210003**b6,11-0072***b6,210018**b6,11-0063**b6,21-0017**d10221***d10241**d10253***d2-0049*a110288***a110276***a110245***a220384***a210093**a120011*g110946***a220208***a210118***g120004***g110957***a220210***g220852***g220973***g110965***g12-0004**g21-0045***g220964***StExusdStExeurStExjpy064406280495077805800993066810000522035903860219:******1%5%10%;!1LjungboxQP,2ArchLMP(),:(1)St,Exusd;(2)St,Exeur;(3)St,Exjpy,AICVAR,,VARJBLjungboxQLMarchGARCH,ARCH,VARGARCHSPLUSGARCH(q,p)q,p,:(1),,VAR(67)MGARCH(1,1),ARCH;(2)(3),6,VARMGARCH∃,VAR(6)MGARCH(1,1),1%1,bi,11bi,12bi,21bi,22,(1)Bi,ibi,11,bi,22,bi,12(),bi,21d1d2,a11a12a21a22(3)A11,a11a22ARCH,;a12(),a21g11g12g21g22(3)G11g11g22GARCH,,;g12(),g21(),LjungboxQ,0!,P,P,;LMARCH,0ARCH!,P2120102∃%VAR-MGARCH,,122&∋(,)∗&,,+(4)!∋to!,1to22to1,,*!,,+1to2(4)*!∗∋(,21+&)∋∗(1.St2.Exusd+(4),-(6)-(1)+1to2(4)*1to2*+1.St2.Exeur-(6)-(1)-1to2(6)*+2to1(3)2to1+1.St2.Exjpy-(6)+1to2(5,6)2to11to2*+-2&,,;,,),,,∋*!,,∃,?,(),?90%,25%,3%,1990,,,10;2008,,,,,,,,,,,22Finance&TradeEconomics,No2,2010∃,,2∗*!,,,;;,,,,,?1(),,,20089,05%,:2,2005721,2008915,,%!,2(St,,,2005200710,,2001-20054,,20055,,,,,(,:,,,VAR-MGARCH,:∃1.,,,2320102∃,,,2.,3.,,,,,,,,,,,,,,,:,,,,,,,,,,,,,,:1.:,−,,−200932.:,−,20063.:,−,,−2007124.:,−,,−2007105.Abdalla,I.S.A.Murinde,V.,ExchangeRateandStockPriceInteractionsinEmergingFinancialMarkets:EvidenceonIndia,Korea,Pakistan,andPhilippines.AppliedFinancialEconomics,Vol.7,1997,pp25-35.6.Aggarwal,R.,ExchangeRatesandStockPrices:AStudyofU.S.CapitalMarketunderFloatingExchangeRates.AkronBusinessandEconomicReview,Vol12,1981,pp7-12.7.BahmaniOskooee,M.Sohrabian,A.,StockPricesandtheEffectiveExchangeRateoftheDollar.AppliedEconomics,Vol24,1992,pp.459-464.8.Franck,P.,Young,A.,StockPriceReactionofMultinationalFirmstoExchangeRealignments.FinancialManagement,Vol1,1972,pp.66-73.责任编辑:康邑24Finance&TradeEconomics,No2,2010