应用M o rlet小波时频相关性分析对中国股价和汇率间的连动关系进行实证研究。该方法既能分析时域维度上的结构性转变，又能分析频域上的短期、中期和长期相关性。研究结果表明，中国股价只在短期（一年以内）与汇率存在正相关关系，且股价是导致该时期内汇率波动的重要因素。最后，本文认为，要想在人民币国际化进程中保持汇率稳定，就应该要求中国股市健康平稳发展。%This paper employed wavelet analysis to examine the relationship between stock prices and exchange rate in China .Wavelet analysis takes into account the simultaneous examination of correlation , causality and periodicity in both the time and frequency domains .We do find the positive correlation be‐tween the two ,and stock prices lead to the fluctuation of exchange rate in the time domain ,and they only correlate with each other in the short run (within a year) in the frequency domain .These findings provide important implications that China's stock market should foster a healthy and stable development if we want to stabilize the exchange rate in the path of RMB's internationalization .
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