人民幣升值對(duì)股價(jià)的影響

1、本科畢業(yè)論文外文原文外文題目：The Impact of Renminbi Appreciation on Stock Prices in China 出 處：Emerging Markets Finance & Trade 作 者：Chien-Chung Nieh and Hwey-Yun Yau ABSTRACT: Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers

2、have raised concerns about the impact of such a policy change on Chinas trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration

3、 and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U.S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Pol

4、icy and the broader implications of the findings are discussed.KEY WORDS: asymmetric causality, exchange rates, momentum threshold error-correction model (M-TECM), stock prices.Chinas currency, the renminbi (RMB), which for the previous decade was tightly pegged at RMB8.28 to the U.S. dollar, was re

5、valued to RMB8.11 per U.S. dollar on July 21,2005. Following removal of the peg, due in part to political pressure from the United States and the United Kingdom, the Chinese authorities also announced that the renminbi would be pegged to a basket of foreign currencies, rather than being strictly tie

6、d to the U.S. dollar (USD), and it would be allowed to float within a narrow 0.3 percent daily band against this basket.The revaluation of the RMB/USD exchange rate has marked a new era of a managed floating exchange rate system. The significance of exchange rate system reform is that the shift to a

7、 flexible exchange rate regime, especially the adoption of a currency band that refers to a basket of currencies, provides the monetary authorities with a certain degree of freedom in implementing policies. The new system would most likely act as a crawling peg, rather than being strictly fixed, all

8、owing China greater flexibility either through adjustments in the crawling peg regime that has involved the basket of currencies or through reweighting of the basket. Observers have frequently suggested that the yuan is undervalued, often on the basis of purchasing power parity arguments (Cline 2005

9、; Goldstein 2004; Goldstein and Lardy 2006), contributing to growing large trade surpluses and portfolio capital inflows. As investment (both domestic and foreign) boomed in 20034 and inflation accelerated, some argued that rapid RMB appreciation would be helpful in dealing with the increasing press

10、ure of domestic inflation on the economy (Frankel 2007; McKinnon 2006).However, it was also argued that further RMB appreciation might bring a significant decline in Chinas exports. Hence, Chinese policymakers have been facing the dilemma of choosing between the two options (i.e., RMB appreciation v

11、s. depreciation). Credible, gradual RMB appreciation is recommended as an alternative strategy (see Kutan and Tsai 2007).Although much attention has been focused on trade flows, Chinese policymakers face a similar dilemma in terms of the impact of expected renminbi appreciation on domestic financial

12、 markets, in particular, the stock market. For instance, if the exchange rate appreciates, exporters are likely to lose competitiveness on international markets, causing a drop in profits and hence in stock prices. On the other hand, depreciation of the renminbi is likely to cause importers to lose

13、competitiveness on domestic markets (consumers may not be able to afford “higher priced” imported products), causing a decline in profits and hence in stock prices.Due to the mutual effects of exchange rates on stock prices, the impact of recentchanges in the renminbi on domestic stock prices is an

14、important concern in policy circles and among investors. The purpose of this paper is to address these issues and examine whether an asymmetric causal relationship exists between the RMB/USD exchange rate and stock prices since removal of the peg.Literature ReviewThe issue of whether stock prices an

15、d exchange rates are related has long been studied. Two major theories, the traditional and portfolio approaches, are applied to test the dynamic relationship between exchange rates and stock prices. The traditional approach argues that a depreciation of domestic currency makes local firms more comp

16、etitive, which leads to an increase in exports, and consequently raises stock prices. The traditional approach implies that exchange rates lead stock prices. The portfolio approach, on the contrary, argues that an increase in stock prices induces investors to demand more domestic assets and thereby

17、causes appreciation of the domestic currency, which implies that stock prices lead exchange rates. The “stock-oriented” model of exchange rates by Branson (1983) views the exchange rate as serving to equate supply and demand for assets such as stocks and bonds.Empirical evidence using both approache

18、s has yielded no consensus on the validity of either theory. For example, Mok (1993) found weak bidirectional causality between stock prices and exchange rates, while Bahmani-Oskooee and Sohrabian (1992) and Nieh and Lee (2001) argued for bidirectional causality between stock prices and exchange rat

19、es in the short run, but not in the long run. In addition, some studies found a weak or no association between stock prices and exchange rates (e.g., Bartov and Bodnar 1994; Fernandez 2006; Franck and Young 1972).More recently, it has been suggested that some of the mixed results may be driven by ex

20、tensive use of linear conventional time-series methodologies, which fail to consider information across regions, and thus lead to inefficient estimations and lower testing power. Recent studies therefore allow for a nonlinear causal relationship between the two variables and also use threshold coint

21、egration methods, which further allow for nonlinear adjustment to long-run equilibrium (Balke and Fomby 1997).MethodologyThis paper employs threshold cointegration techniques as elaborated by Enders and Granger (1998) and Enders and Siklos (2001), which extend the residual-based, two-stage estimatio

22、n method developed by Engle and Granger (1987). The difference between them lies in the formulation of linearity and nonlinearity from their second stage of unit-root tests. The nonlinear model of Enders and Granger (1998) and Enders and Siklos (2001) can be expressed ast=It1t-1+(1-It)2t-1+it-1+tEqu

23、ation (1) is basically a regime-switching modela threshold autoregressive (TAR) model of the disequilibrium error, where the test for the threshold of the disequilibriumerror is termed a threshold cointegration test. The result of rejection of the null hypothesis of 1 = 2 = 0 implies the existence o

24、f a cointegration relationship between the variables.This enables us to proceed with a further test for symmetric adjustment (i.e., H0: 1 = 2), using a standard F-test. When the coefficients of regime adjustment are equal (symmetric adjustment), Equation (1) converges the prevalent augmented Dickey-

25、Fuller (ADF) test. Rejecting both the null hypotheses of 1 = 2 = 0 and 1 = 2 implies the existence of threshold cointegration with asymmetric adjustment. Instead of estimating Equation (1) with the Heaviside indicator depending on the level of t1, the decay could also be allowed depending on the pre

26、vious periods change in t1. The Heaviside indicator could then be specified as It = 1 if Dt1 and It = 0 if Dt1 . According to Enders and Granger (1998), this model is especially valuable when the adjustment is asymmetric, such that the series exhibits more “momentum” in one direction than the other.

27、 This model is then termed a momentum threshold autoregressive (M-TAR) model. The TAR model is used to capture a deep-cycle process if, for example, positive deviations are more prolonged than negative deviations. On the other hand, the M-TAR model allows autoregressive decay to depend on Dt1. As su

28、ch, M-TAR representation may capture sharp movements in a sequence. As there is generally no presumption as whether to use the TAR or M-TAR model, the recommendation is to select the adjustment mechanism by a model selection criterion such as the Akaike information criterion (AIC) or the Schwarz Bay

29、esian criterion (SBC).Granger Causality TestsGiven the threshold cointegration results, we next apply the Granger causality tests using the advanced momentum threshold error-correction model (M-TECM). The M-TECM is expressed asYit=+1Zt1+2Zt-t+iY1t-i+iY2t-i+tBased on Equation (2), Granger causality t

30、ests are employed to examine whether all coefficients of DY1,ti or DY2,ti are jointly statistically different from zero based on a standard F-test or whether the j coefficients of the error-correction term are significant. Because Granger causality tests are sensitive to the selection of lag length,

31、 applying the AIC criterion to determine the appropriate lag lengths, we find empirically that the lag lengths of k1 and k2 equal two (i.e., k1 = k2 = 2). The results clearly illustrate that no short-run causal relationship exists between EX and CHStock (insignificant to reject both H0: 1=2= 0 and H

32、0: 1=2= 0). Besides, there also exists a unidirectional causality running from EX to CHStock in the long run, when the difference in the previous disequilibrium term is above the threshold value of 0.0048. (H0: 1 = 2 = 1 = 0 is rejected at the 10 percent significance level.) On the other hand, the n

33、ull hypotheses of1=2=1= 0，1=2=2= 0 and 1=2=2= 0cannot be rejected. Furthermore, the significant finding rejecting the null hypothesis of 1= 2 in CHStock is consistent with the finding of our previous M-TART estimations and reconfirms the existence of an asymmetric causal relationship between the two

34、 variables considered. Nonetheless, the empirical results of conventional ECM estimations show that CHStock and EX are bidirectional causal related in the long run; whereas, there exists a unidirectional causality running from EX to CHStock in the short run.Conclusions and Policy ImplicationsThis pa

35、per investigates the causal relationship between the renminbi/U.S. dollar exchange rate and stock prices in China since removal of the peg. Our results can be summarized as follows: first, we find a threshold cointegration link between the exchange rate and Chinese stock prices. This finding implies

36、 that it is possible to predict one market from another, which is inconsistent with the efficient market hypothesis. Second, there is a discontinuous adjustment to a long-run equilibrium in two separate regimes, indicating an asymmetric causal relationship between the two variables considered. Third

37、, there exists a unidirectional causal relationship running from exchange rates to stock prices in the long run, suggesting that RMB/USD appreciation has a significant impact on stock prices. In particular, the estimated results show that the speed of the adjustment process toward equilibrium is fas

38、ter in the Shanghai A-share stock market.The results have important implications. First, policymakers need to consider theimpact of exchange rate changes on financial markets in designing appropriate policystrategies. Given that the exchange rate is no longer fixed, the authorities consider theimpac

39、t of exchange rate changes not only on trade flows but also on financial markets.Second, our results have broader theoretical implications. We find no evidence to support the portfolio approach. On the other hand, although the findings show a unidirectional causal relationship running from exchange

40、rates to stock prices in the long run, this does not completely follow using the traditional approach in the literature either. The traditional approach argues that a depreciation of domestic currency makes local firms more competitive, leading to an increase in exports, and consequently raising sto

41、ck prices. On the contrary, the empirical results shown in this paper reveal that the appreciation of exchange rates leads stock prices because most companies listed on the Chinese A-share stock market are importers rather than exporters.譯 文：人民幣升值對(duì)股價(jià)的影響摘要：自2005年7月取消了人民幣對(duì)美元的盯住制度，中國(guó)已經(jīng)進(jìn)入了一個(gè)浮動(dòng)匯率管理制度的新時(shí)代

42、。許多的觀察家關(guān)注這種政策的變化給中國(guó)的貿(mào)易順差的所帶來(lái)的影響，但較少的人注意到這種政策對(duì)中國(guó)金融市場(chǎng)的影響。本文研究在中國(guó)取消固定匯率制度的前提下，采用協(xié)整和誤差修正模型（M-TECM）研究近期人民幣匯率升值對(duì)股票價(jià)格的影響。從人民幣對(duì)美元的匯率與中國(guó)上證A股之間基于M TECM模型所得的結(jié)果清楚的表明兩者之間不存在短期的因果關(guān)系以及非對(duì)稱的因果關(guān)系。而且作者通過(guò)廣泛的調(diào)查與討論提出了政策建議。關(guān)鍵詞：不對(duì)稱的因果關(guān)系，匯率，協(xié)整和誤差修正模型（M-TECM），股票價(jià)格中國(guó)的貨幣,人民幣在緊緊盯住美元進(jìn)行匯率調(diào)整的10年后，在2005年7月21日人民幣兌美元由原來(lái)的8.28升值8.11。在受

43、到來(lái)自美國(guó)和英國(guó)的政治壓力后，中國(guó)當(dāng)局宣布人民幣將盯住一籃子外幣,而不是單一的被美元綁住,而且每天允許有0.3個(gè)百分點(diǎn)的浮動(dòng)。人民幣兌美元匯率升值標(biāo)志著我國(guó)進(jìn)入一個(gè)有管理的浮動(dòng)匯率制度的新時(shí)代。匯率浮動(dòng)管理制度的意義在于從一個(gè)固定的匯率制度到一個(gè)靈活的匯率制度的轉(zhuǎn)變,特別是對(duì)人民幣采取一籃子貨幣的政策，為貨幣當(dāng)局實(shí)施貨幣政策提供了一定的自由。新制度的實(shí)施使得人民幣匯率是不斷變化的,而不是被嚴(yán)格固定住,使中國(guó)的匯率制度通過(guò)調(diào)整所盯住的貨幣籃子或者把除權(quán)的貨幣從貨幣籃子中除去而具有更大的彈性。專家認(rèn)為人民幣的價(jià)值往往因?yàn)槿找嬖鲩L(zhǎng)的巨大的貿(mào)易盈余和證券投資熱錢流入而使得購(gòu)買力平價(jià)參數(shù)而被低估(克萊因

44、2005年，戈?duì)柎奶?004；戈?duì)柎奶购屠?006年)。作為在2003 - 2004年和通貨膨脹加速時(shí)期進(jìn)行投資的投資者（包括國(guó)內(nèi)和國(guó)外）,有些人認(rèn)為人民幣升值將會(huì)有助于處理國(guó)內(nèi)通貨膨脹的壓力，加快其解決的速度（弗蘭克爾2007；麥金農(nóng)2006）。但也有人認(rèn)為,人民幣進(jìn)一步升值可能會(huì)帶來(lái)中國(guó)企業(yè)出口的下降。因此,中國(guó)的政策制定者們一直在面臨著在這兩者之間進(jìn)行選擇的困境 (即,人民幣是升值還是貶值)。值得慶幸的是,人民幣漸進(jìn)升值是可以作為一個(gè)替代戰(zhàn)略（見(jiàn)Kutanand Tsai 2007）在許多人的注意力都被集中在貿(mào)易流量的變化上時(shí),中國(guó)的決策者面臨著預(yù)期人民幣升值會(huì)對(duì)國(guó)內(nèi)金融市場(chǎng),特別是證

45、券市場(chǎng)產(chǎn)生的不利影響。例如,如果匯率升值,出口商可能會(huì)失去在國(guó)際市場(chǎng)上的競(jìng)爭(zhēng)力,使利潤(rùn)下降,從而使得股票價(jià)格下降。另一方面, 人民幣貶值可能導(dǎo)致進(jìn)口商失去對(duì)國(guó)內(nèi)市場(chǎng)的競(jìng)爭(zhēng)力（消費(fèi)者可能 無(wú)法承受“高價(jià)”進(jìn)口產(chǎn)品），導(dǎo)致利潤(rùn)下降，因此使股票價(jià)格下降。由于匯率與股價(jià)的相互作用,最近的人民幣匯率變化對(duì)國(guó)內(nèi)股票價(jià)格的影響是政策制定者和投資者要重點(diǎn)關(guān)注的。本文的目的是解決人民幣兌美元的浮動(dòng)匯率與股價(jià)之間是否存在不對(duì)稱的因果關(guān)系的問(wèn)題。文獻(xiàn)對(duì)股票價(jià)格和匯率是否有關(guān)的問(wèn)題的研究已經(jīng)很長(zhǎng)時(shí)間了。其中兩個(gè)主要的理論方法是傳統(tǒng)方法和組合的方法,這兩個(gè)方法都被廣泛應(yīng)用于研究匯率和股票的價(jià)格的關(guān)系上。傳統(tǒng)方

46、法認(rèn)為本幣貶值,導(dǎo)致出口增加,從而提高股票價(jià)格，讓本地公司更有競(jìng)爭(zhēng)力。傳統(tǒng)方法的結(jié)論意味著匯率的變化會(huì)引起股票價(jià)格的變化。而投資組合的方法,恰恰相反,認(rèn)為股票價(jià)格的增加會(huì)導(dǎo)致投資者要求更多的國(guó)內(nèi)貨幣,造成國(guó)內(nèi)的貨幣的升值,這意味著是股票價(jià)格的變化會(huì)引起匯率的變化。由布蘭森(1983) 提出“證券化”模式的觀點(diǎn),認(rèn)為匯率為股票和債券的資產(chǎn)化提供服務(wù)。使用這兩種方法的實(shí)證研究都取得了結(jié)論，但兩者的所取得的結(jié)論無(wú)法達(dá)成一致有效的意見(jiàn)。例如,莫(1993)發(fā)現(xiàn)股票價(jià)格和匯率是弱雙向因果關(guān)系,而Bahmani-Oskooee和Sohrabian (1992)和Nieh和Lee(2001)主張股票價(jià)格和匯

47、率在短期內(nèi)是雙向因果關(guān)系,但從長(zhǎng)遠(yuǎn)來(lái)說(shuō)不是這樣的。此外,一些研究者發(fā)現(xiàn)股票價(jià)格和匯率之間存在弱的或不存在相關(guān)關(guān)系(例如, 協(xié)會(huì)，Bartov和博德納爾1994；費(fèi)爾南德斯2006; Franck和楊1972)。最近,也有一些研究者發(fā)現(xiàn)廣泛的使用線性常規(guī)時(shí)間序列的方法有時(shí)會(huì)出現(xiàn)好壞參半的結(jié)果，這是因?yàn)闆](méi)有考慮到跨區(qū)域的信息交流，從而導(dǎo)致低效的估計(jì)和測(cè)試能力的降低。最近的研究表明兩個(gè)非線性的因果關(guān)系變量之間也是可以在一定的限制下使用協(xié)整方法，進(jìn)一步允許調(diào)整兩者之間的非線性長(zhǎng)期均衡關(guān)系（巴爾克和Fomby 1997）。方法本文既推廣了由恩格爾和格蘭杰(1987)發(fā)現(xiàn)的二階段估計(jì)法，又運(yùn)用了由Enders和Granger(1998)和Enders和Siklos(2001)研究制定的協(xié)整檢驗(yàn)。前后兩者之間的差別在于對(duì)他們的二階段單位根中變量的線性和非線性的測(cè)試。恩德斯和格蘭杰(1998) 和恩德斯和Siklos(2001)的非線性模型可以表示為一個(gè)：t=It1t-1+(1-It)2t-1+it-1+t方程(1)基本上是一個(gè)有不平衡誤差自回歸模型, 其中用于測(cè)試變量是否平衡的檢驗(yàn)被稱為協(xié)整檢驗(yàn)。而拒絕原假設(shè)為1=2=0意味著變量之間存在著協(xié)整關(guān)系。這使得我