摘要
基于结构突变的新视角,重新审视人民币汇率、中美股市和利差因素之间的相互影响机理。通过内生变结构协整检验实证发现,样本期内几个金融子市场间的长期均衡关系出现了两次结构突变,汇率与股市间的关系符合流量导向型模型,汇率始终处于主动地位,存在着从汇率到股价的非对称性价格溢出效应;而在市场间联动性上,存在从美国股市到国内股市的非对称性价格溢出效应;全球金融危机是协整关系出现第一次结构突变的直接原因,而这种市场间的相互影响机制则在突变之后逐渐减弱。
Based on perspectives of structural break, this paper the interaction mechanism of the RMB exchange rate, Sino-US stock markets and interest rate differentials. Through endogenous variable structure cointegration empirical study, we find that the long-term equilibrium relationship of several financial sub-markets appears twice structural breaks during the sample period, the relationship between the exchange rate and the stock market is in line with the flow-oriented model, the exchange rate is always in the driving position, there is asymmetric spillover effect from the exchange rate to stock prices; and there is asymmetric price spillover effect from the US stock market to domestic stock market in the market linkage; the global financial crisis is the direct reason of the first structure break of eointegration relations, but the interaction mechanism between the markets has weakened after the structural break.
出处
《财务与金融》
2016年第4期20-25,共6页
Accounting and Finance
关键词
金融市场
风险传递
结构突变
协整检验
Financial Markets, Risk Transmission, Structural Breaks, Cointegration Test
作者简介
姚宏伟，男，陕西渭南人，经济学硕士，中国民生银行西安分行，研究方向：金融市场与金融改革；陕西西安，710000
张彤，女，陕西渭南人，经济学硕士，陕西秦农银行总行，研究方向：金融风险管理
