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MBA论文_国际油价、人民币汇率与中国股市间动态关系研究

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更新时间:2023/1/4(发布于陕西)

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摘要
摘要
原油被称为工业的“血液”,是现代经济的命脉,我国作为世界第一大原油进口
国和第二大原油消费国,原油对我国经济发展的重要性不言而喻。近年来,随着原油
金融属性的不断凸显,国际原油市场与金融市场的联动性日益加深,而研究原油与我
国股市的关系不能忽视人民币汇率。
本文运用 TVP-VAR模型结合时变脉冲响应函数探究国际原油价格、人民币汇率
与我国股市之间的动态关系,探究不同金融市场之间的信息传递,有助于投资者规避
投资风险,为监管者提供政策建议。本文研究发现,国际油价、人民币汇率与股价间
的动态关系随着国际经济、金融条件的变化而变化,三者之间的关系具有时变特征。
第一,国际油价和股价的互动方面,从实证结果来看,国际油价和我国股价之间具有
较强的相关性。在 2020年之前,国际油价对我国股价的影响基本为正向影响,但在
2020年之后国际油价对我国股价的影响转变为负向。而我国股价对国际油价有正向
拉动作用。第二,国际油价和人民币汇率的互动方面,总体来看,国际油价与人民币
汇率之间的相关性较为微弱。国际油价对人民币汇率的影响在 2016年之前大多为负
向,而在 2016年之后,国际油价度人民币汇率的影响基本为正向。与之不同的是,
人民币汇率对国际油价的影响一直为负向。第三,人民币汇率和股价的互动方面,股
价对人民币汇率的影响在短期内有显著的时变特征,中长期的影响比较微弱。另外,
人民币汇率提高导致股价下跌,人民币汇率对股价的影响在短期的时变特征并不明显,
而中长期的时变特征更为显著。
通过对国际油价、人民币汇率与我国股市间动态关系的研究,本文提出以下建议,
第一,中国要逐步完善原油期货市场,提高在国际原油市场上的话语权,并积极争取
原油的国际定价权;第二,继续推进汇率市场化,坚持推广人民币结算,加速推进人
民币国际化;第三,投资者要依据市场变化灵活选择投资组合,制定合理的投资策略;
第四,中国应大力发展新型能源,积极寻找替代能源,减少对原油的依赖。
关键词:油价,汇率,股票价格,TVP-VAR模型
I

ABSTRACT
ABSTRACT
As the world's largest importer and second largest consumer of crude oil, the importance of
crude oil to China's economic development is self-evident. In recent years, as the financial
attributes of crude oil have become more prominent, the linkage between the international
crude oil market and the financial market has deepened, and the relationship between crude
oil and China's stock market cannot be ignored in the study of the RMB exchange rate.
This paper uses TVP-VAR model combined with time-varying impulse response function to
explore the dynamic relationship between international crude oil price, RMB exchange rate
and China's stock market, to explore the information transmission between different
financial markets, which helps investors to avoid investment risks and provides policy
suggestions for regulators. This paper finds that the dynamic relationship between
international oil price, RMB exchange rate and stock price changes with international
economic and financial conditions, and the relationship between the three has time-varying
characteristics. First, in terms of the interaction between international oil prices and stock
prices, the empirical results show that there is a strong correlation between international oil
prices and China's stock prices. Before 2020, the impact of international oil prices on China's
stock prices is basically positive, but after 2020 the impact of international oil prices on
China's stock prices changes to negative. And China's stock price has a positive pulling effect
on international oil price. Second, in terms of the interaction between international oil prices
and RMB exchange rate, in general, the correlation between international oil prices and
RMB exchange rate is relatively weak. The impact of international oil prices on the RMB
exchange rate was mostly negative until 2016, while after 2016, the impact of international
oil prices degree the RMB exchange rate was largely positive. In contrast, the impact of the
RMB exchange rate on international oil prices has been negative. Third, in terms of the
interaction between the RMB exchange rate and stock prices, the impact of stock prices on
the RMB exchange rate has significant time-varying characteristics in the short term and a
relatively weak impact in the medium to long term. In addition, an increase in the RMB
exchange rate leads to a decrease in stock prices. The time-varying characteristics of the
impact of the RMB exchange rate on stock prices are not significant in the short run, while
the time-varying characteristics are more significant in the medium and long run.
Through the study of the dynamic relationship between international oil prices, RMB
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