汇率与股价关系研究最新进展述评

经济评论2010年第3期ECONOMICREVIEWNo.32010李晓峰叶文娱*:有关汇率与股价关系的最新研究,归纳起来主要有四个发展方向:一是传统宏观经济一般均衡分析方法的拓展,在以往的开放宏观经济均衡模型中将汇率与股价作为宏观经济中重要的解释变量,强化对客观经济运行的考察;二是具有微观基础的均衡分析,包括资产组合平衡与新开放宏观经济两个分析框架下的汇率与股价关系研究;三是从市场的微观结构理论对汇率与股价这两种资产价格进行模型化;四是影响汇率与股价关系的相关因素的分析本文按照这四个方面进行文献梳理,并进行简要评述:汇率股价资本流动,,:,,,,;,,,1997,,,,,-,,,,,,Dimitrova(2005)IS-LM-BPISLMS,M-F,,,Dimitrova,qq,,d,,J,;,;,Dimitrova:,,19901-20048,Hsing(2004,2005,2006)Romer(2000)IS-MP-IA,129*李晓峰,厦门大学金融系,邮政编码:361005;叶文娱,厦门大学金融系,邮政编码:361005,电子信箱:[e-mail]衷心感谢审稿专家的修改意见,当然文责自负,,,Hsing(),(),,Hsing(2004),,:3~4(,),4:(GDP),GDP,Hsing(2005):GDP,1%,GDP0.872%,,,,,,,,,Dimitrova(2005)(2000)M-F-D,,,,,,,,,,,,(),,,,,:;,;,20,,Souriounis(2003)SouriounisRichards(2005)5()3()1.资产组合平衡理论框架下金融市场局部均衡分析,,,,HauRey(2002),,,,,,,,130,;(GDP),HauRey17OECD,HauRey(2004),,(orderflow),,:,?HauRey(2008)65005,,:;;;LorenzoRoberto(2005)HauRey,Lucas(1982):,,,LorenzoRobertoBlanchard(2005),Gyntelberg(2009)2005-2006,2.资产组合平衡理论框架下动态随机一般均衡(DSGE)分析,Lucas(1982),Lucas(1982),Obstfeld(2004):?,,,,,,EngelMatsumoto(2006)DSGE,,:;EngelMatsumoto(2009):,,Chien(2009),,,DSGE,,;,,YauNieh(2006)/19911-20056,,()ObstfeldRogoff(1995),,,PavlovRigobo(2005,2007),,,131,,,,PavlovRigobon(2005),PavlovRigobon(2007),,,25%,8%,,,,HashimotoIto(2004),Purfield(2006),,;,,,,EvansLyons(2002,2003),,,,Dunne(2009),!!!,S&P100CAC401999-20035,S&P10060%CAC4040%,:,,,Gyntelberg(2009),,,,()Mercereau(2006),,,,,,,,,HauRey(2002)(GDP),Saborowski(2009),,!!!!!!()132,BeaudryPortier(2006),Matsumoto(2008),DSGE,();,(),Hatemi-JRoca(2004):,,,:,,,,Azman-Saini(2006),Andersen(2007),:,,,,,,,:(1),,;,,,,;(2);,,(3),:1.,2000:∀#,∀#82.Amato,J.,A.Filardo,G.Galat,iP.Von-Goetz,andFengZhu.2005.ResearchonExchangeRatesandMonetaryPolicy:AnOverview.BISWorkingPaper178.3.Andersen,G.,T.Bollerslev,X.Diebold,andClaraVega.2007.Real-timePriceDiscoveryinGlobalStock,BondandForeignExchangeMarkets.JournalofInternationalEconomics,73:251-277.4.Azman-Sain,iW.N.W.,M.S.Habibullah,S.H.Law,andA.M.Dayang-Afizzah.2006.StockPrices,ExchangeRatesandCausalityinMalaysia:ANote.MPRAPaper656.5.Blanchard,O.,F.Giavazz,iandF.Sa.2005.InternationalInvestors,theU.S.CurrentAccount,andtheDollar.BrookingsPapersonEconomicActivity,1:1-49.6.Cappiello,L.,andA.DeSantisRoberto.2005.ExplainingExchangeRateDynamicsTheUncoveredEquityReturnParityCondition.WorkingPaperSeries529.7.Chai-Anant,Chayawadee,andCorrinneHo.2008.UnderstandingAsianEquityFlows,MarketReturnsandExchangeRates.BISWorkingPaper245.8.Chien,Yi-L,iHaroldL.Cole,andHannoLustig.2009.IstheVolatilityoftheMarketPriceofRiskduetoIntermittentPortfolioRe-balancing.NBERWorkingPaper15382.9.Dimitr,iVayanos,andJiangWang.2009.LiquidityandAssetPrices:AUnifiedFramework.NBERWorkingPaper15215.10.Dimitrova,Desislava.2005.TheRelationshipbetweenExchangeRatesandStockPrices:StudiedinaMultivariateMode.lIssuesinPoliticalEconomy,August,14.1-25.11.Dornbusch,R.,andS.Fischer.1980.ExchangeRatesandtheCurrentAccount.TheAmericanEconomicReview,5:960-971.12.Dunne,P.,H.Hau,andM.Moore.2009.InternationalOrderFlows:ExplainingEquityandExchangeRateReturns.JournalofInternationalMoneyandFinance,12:1-29.13313.Ehrmann,M.,M.Fratzscher,andR.Rigobon.2005.Stocks,Bonds,MoneyMarketsandExchangeRates:MeasuringInternationalFinancialTransmission.NBERWorkingPaper11166.14.Enge,lCharles,andAkitoMatsumoto.2006.PortfolioChoiceinaMonetaryOpen-economyDSGEMode.lNBERWorkingPaper12214.15.Enge,lCharles,andAkitoMatsumoto.2009.InternationalRiskSharing:ThroughEquityDiversificationorExchangeRateHedging.IMFWorkingPaper138.16.Evans,M.,andR.Lyons.2002.OrderFlowsandExchangeRateDynamics.JournalofPoliticalEconomy,110(1):170-180.17.Evans,M.,andR.Lyons.2003.HowisMacroNewsTransmittedtoExchangeRates.NBERWorkingPaper9433.18.Fratzscher,M.,L.Juvena,landL.Sarno.2007.AssetPrices,ExchangeRatesandtheCurrentAccount.ECBWorkingPaper790.19.Gyntelberg,J.,M.Loretan,T.Subhani,jandE.Chan.2009.PrivateInformation,StockMarkets,andExchangeRates.BISWorkingPaper271.20.Gyntelberg,J.,M.Loretan,T.Subhani,jandE.Chan.2009.InternationalPortfolioRebalancingandExchangeRateFluctuationsinThailand.BISWorkingPaper287.21.Hatemi-J,Abdulnasser,andEduardoRoca.2005.ExchangeRatesandStockPricesInteractionduringGoodandBadTimes:EvidencefromtheASEAN4Countries.AppliedFinancialEconomics,15:539-546.22.Hau,H.,andH.Rey.2002.ExchangeRate,EquityPricesandCapitalFlows.NBERWorkingPaper9398.23.Hau,H.,andH.Rey.2004.CanPortfolioRebalancingExplaintheDynamicsofEquityReturns,EquityFlows,andExchangeRates.TheAmericanEconomicReview,94(2):126-133.24.Hau,H.,andH.Rey.2008.GlobalPortfolioRebalancingundertheMicroscope.NBERWorkingPaper14165.25.Hsing,Y.2005.ApplicationoftheIS-MP-IAModeltotheSingaporeEconomyandPolicyImplications.EconomicsBulletin,15(6):1-9.26.Hsing,Y.2006.AnalysisofOutputFluctuationsinTaiwan:AnApplicationoftheIS-MP-ASMode.lInternationalAdvancesinEconomicResearch,12:203-211.27.Hashimoto,Yuko.,andTakatoshiIto.2004.High-FrequencyContagionbetweentheExchangeRatesandStockPrices.NBERWorkingPaper10448.28.Kumar,S.2009.InvestigatingCausalRelationshipbetweenStockReturnwithRespecttoExchangeRateandFII:EvidencefromIndia.MPRAP