發(fā)布時(shí)間：2018-05-04 09:53

  本文選題：上證指數(shù) + 美元指數(shù)�。� 參考：《上海金融》2013年02期

【摘要】：本文利用1994年1月3日到2011年5月4日上證指數(shù)和美元指數(shù)數(shù)據(jù),發(fā)現(xiàn)階段一(1994年—2004年)上證指數(shù)和美元指數(shù)走勢(shì)基本一致,而階段二(2005年至今)兩者走勢(shì)相反。計(jì)量分析表明:階段一中上證指數(shù)和美元指數(shù)并不存在協(xié)整關(guān)系,而階段二中兩者存在協(xié)整關(guān)系;從均值溢出看,階段一中美元指數(shù)與上證指數(shù)基本不存在相互影響,階段二中兩者則存在顯著的相互影響,上證指數(shù)對(duì)美元指數(shù)的影響更強(qiáng);從波動(dòng)溢出看,階段一中美元指數(shù)對(duì)上證指數(shù)波動(dòng)存在較強(qiáng)影響,階段二中上證指數(shù)對(duì)美元指數(shù)波動(dòng)影響顯著。從上證指數(shù)與美元指數(shù)聯(lián)動(dòng)的傳導(dǎo)渠道看,人民幣匯率只能解釋次貸危機(jī)前美元指數(shù)與上證指數(shù)關(guān)系。大宗商品價(jià)格變化基本可以解釋階段一中美元指數(shù)與上證指數(shù)關(guān)系。2005年后美元貶值導(dǎo)致的全球流動(dòng)性膨脹加速,致使大宗商品的金融產(chǎn)品屬性更加明顯,上證指數(shù)和美元指數(shù)影響加劇,兩者走勢(shì)趨向背離。
[Abstract]:Based on the data of Shanghai Stock Exchange Index and US dollar index from January 3, 1994 to May 4, 2011, this paper finds that the trend of stage one (1994-2004) is basically consistent with that of US dollar index, while the trend of stage 2 (2005 to present) is opposite. The econometric analysis shows that there is no cointegration relationship between the Shanghai Stock Exchange Index and the US Dollar Index in stage one, but there is a cointegration relationship between them in the second stage, and from the perspective of average spillover, there is no interaction between the US dollar Index and the Shanghai Stock Exchange Index in the first stage. The second stage has significant interaction, and the Shanghai stock index has a stronger impact on the US dollar index, and from the perspective of volatility spillover, the US dollar index of stage one has a strong impact on the volatility of the Shanghai Stock Exchange Index. The second stage of the Shanghai Stock Exchange Index has a significant impact on the volatility of the dollar index. From the transmission channel of the linkage between the Shanghai Stock Exchange Index and the US dollar index, the RMB exchange rate can only explain the relationship between the US dollar index and the Shanghai Stock Exchange Index before the subprime mortgage crisis. The changes in commodity prices can basically explain the relationship between the first dollar index and the Shanghai stock exchange index. The global liquidity inflation caused by the depreciation of the dollar accelerated after 2005, making the attributes of financial products of commodities even more obvious. The Shanghai Stock Exchange Index and the dollar index impact intensified, the trend of deviation between the two.
【作者單位】： 南京審計(jì)學(xué)院金融學(xué)院;
【分類號(hào)】：F224;F831.51;F832.51

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本文編號(hào)：1842583