人民币汇率与股票价格波动溢出效应的MV-GARCH分析

摘要

基于二元VAR-BEKK-MVGARCH模型，以人民币兑美元汇率(RMB/USD)与上证综合指数每日收盘价为样本，分析了汇率制度改革后人民币汇率与A-股市场价格的波动溢出效应。我们的研究表明，汇率制度改革后，人民币兑美元汇率(RMB/USD)与中国A股市场股票价格指数之间的一阶价格溢出效应表现不明显，但存在显著的双向高阶波动溢出效应，且汇率市场对股票市场表现出更为强烈波动溢出效应。%T his paper investigates the impact of the spillover effect between RMB exchange rate and stock price after exchange rates reform in virtue of the VAR-BEKK-MVGARCH model. Our empirical analysis is based on the data from Shanghai A- share market and RMB exchange rates (RMB against US dollar RMB/USD). We have found that there are no price spillover effects between RMB exchange rate against US dollar and stock price, but a bi-directional volatility spillovers effect between RMB/USD and stock price, and the volatility spillover effect of RMB exchange rate to stock price is more significant than stock price to RMB exchange rate.