利率、股价和汇率关联的实证研究
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摘要
利率是一国货币市场上资金的对内价格,汇率是货币市场上资金的对外价格,股价是一种重要的资产价格,利率、股价和汇率之间的关系,体现了货币市场和资本市场之间的关系。货币市场和资本市场是一国中央银行货币政策的重要传导中介,一个货币政策传导效率高的国家,其货币市场和资本市场之间应该具有较强的关联性。而货币市场和资本市场间关系密切程度的测度,可以通过研究利率、股价和汇率等金融变量之间的关联得到。已有文献主要侧重于上述变量的两两之间关系的研究,本文在现有文献的基础上,将利率、股价和汇率三个金融变量纳入一个系统,采用结构化向量自回归模型、多元VAR-MGARCH模型、ITH方法、BOOTSTRAP方法等多种模型和方法实证研究变量相互之间的关联性,并将Branson的三资产模型加入股票扩充为四资产模型,分析外生变量对利率、股价和汇率所形成的均衡的影响,这是对已有研究的丰富和发展。
中国是一个新兴的发展中大国,中国的金融市场具有转轨金融的特点：一方面金融制度在逐渐完善,资本市场在逐步开放,金融产品的定价在逐步市场化；但是另一方面金融体系的发育还远未达到西方发达市场经济国家的成熟度,金融市场有自己的特色,与经典理论的描述和发达国家的表现不完全一致。利用中国的数据研究利率、股价和汇率之间的关联,测度其关联程度并给出解释和建议,对我国货币当局监管资本市场及提高货币政策传导效率、对投资者的投资决策、对管理层的宏观管理均有一定帮助,具有现实意义。
本文回顾和总结了股价、利率和汇率关联的相关文献和理论,对中国金融市场及其相互之间的关联进行了分析和初步推断,在此基础上运用多种先进的计量和统计方法对股价、利率和汇率相互之间的同步关联、滞后关联和溢出效应进行了实证分析,发现中国的股价、利率和汇率相互之间基本不存在同步和滞后的一阶矩(即均值项)之间的关联,但是存在较明显的二阶矩(即方差项)之间的关联。目前的主要矛盾不是防止金融“传染”的问题,而是进一步加强市场之间的关联的问题,只有这样才有较高的货币政策传导效率和较低的信息漏损。根本还在于加强金融市场制度环境的建设和规范化建设,逐步实现利率市场化、股价市场化和汇率市场化定价,最终使金融产品真正市场化,真实反应金融市场的供求变动和实际状况。全文共分七个部分：
第一部分,导论。该部分首先阐明了股价、利率和汇率之间关联研究的背景与意义,接着是文献综述,然后介绍本文的基本框架与研究方法,最后就本文研究的创新与不足之处进行简要阐述。
第二部分,利率、股价和汇率关联的理论分析。在汇率决定理论的框架内,对利率、股价和汇率两两之间的关系进行了理论上的阐述和分析,具体包括利率和股价关联的理论、利率和汇率关联的理论以及股价和汇率关联的理论三个方面。在这一部分,将Branson (1977)关于汇率决定的三资产模型加入股票,变为四资产模型,用来分析外生冲击对金融变量的影响；另外还利用图示法分析了资产市场均衡的动态调整过程。本章的结论是后面的实证研究的出发点。
第三部分,对中国金融市场及其相互关联的一般认识。分析了中国金融市场的特点,并结合中国金融市场的实际状况,对中国金融市场的利率、股价和汇率的关联作了初步推断。
第四部分,实证研究的主要模型和方法。介绍了本文实证研究部分所运用到的主要计量模型和方法,包括SVAR模型、ITH方法、多元VAR-MGARCH模型、BOOTSTRAP技术、广义矩估计(GMM)等。这些计量方法的共同特点是均需要借助计算机的高速运算能力和专门的计量或统计软件才能实现。
第五部分,利率、股价与汇率的同步关联问题研究。运用SVAR模型、ITH方法和BOOTSTRAP技术研究两变量之间的同步关联。具体用三个两方程模型分别研究了利率和股价间、利率和汇率间及其股价和汇率间的同步影响关系。在模型中,货币市场利率、股票价格和汇率等变量是内生变量,由于内生变量之间的联立性,如果直接对模型进行OLS估计会存在联立性偏差。因此本文运用了Rigobon和Sacks等人发展出的ITH方法对模型的关键系数即同步影响系数进行了估计。接着利用BOOTSTRAP方法,得到参数估计值的分布情况和其他统计特征值。
第六部分,利率、股价和汇率间的滞后关联和溢出效应研究。应用多元VAR-MGARCH模型同时研究了变量之间的先导—滞后关系(lead-lag relationship)和波动溢出效应。先考察了二变量之间的这种滞后关联和溢出效应,然后基于Branson模型的分析框架,在引入外生变量的情况下,考察了利率、股价和汇率三者之间的滞后关联和溢出效应。在本章的结尾,对二元模型和三元模型的估计结果进行了比较和分析,并给出了解释。
第七部分,结论和建议。在这部分,将实证研究的结果与前面章节的理论分析的结论作了对比和综合。然后,就中国货币市场、股票市场和外汇市场的现状,提出了一些建议,最后给出了本文的进一步研究方向。
Interest rates are domestic prices of money,and exchange rates are foreign prices of money,stock prices are important asset prices.The relationships among interest rates,stock prices and exchange rates reflect the linkages between monetary market and capital market.Monetary market and capital market are important transmission medium of monetary policy,there are close relationships between the two markets in one country with high transmission efficiency of monetary policy,the measurement of associated degree between monetary market and capital market can be done by researching on the relationships among interest rates,stock prices and exchange rates.Existing literatures place emphasis on study between two variables,while this article which put interest rates,stock prices and exchange rates together into one model,examines the simultaneous relationships among three variables employing structural VAR model,multi-variate VAR-GARCH model,ITH method,bootstrap method,etc.In addition,the paper expands Branson's three assets portfolio model into four assets model by considering shares into the model,and illustrates the dynamic effects of exogenous variables on the equilibrium of interest rates,stock prices and exchange rates by graphs.In brief,this research enriches and develops the present theories.
China is an emerging economy system,it's financial markets have characteristics of the transition period.On one hand,the financial system is improving gradually,the capital market is more and more open,the pricing of financal products is being determinated gradually by the market more or less,but on the other hand,the financial system is still not perfect comparing with developed countries,that is,China's financial markets have their own features,they are quite different from what are described in classical theories and from the condition of developed countries.There are a great deal of realistic meanings to study linkages among interest rates,stock prices and exchange rates employing Chinese data and samples,because by measuring the degree of correlation and giving explanations and suggestions,it's helpful for the government supervising and regulating the capital market,improving the transmission efficiency of monetary policy,and it is also useful for investors making decisions,for the management adjusting and controlling the economy system.
This dissertation reviews and summaries some related literatures and theories,analyzes China's financial markets and linkages existing among them,and gives a few initial propositions about mutual relationships of financial markets.Based on these,the article gives empirical analysis of the simultaneous relationships,the lead-lag relationships and the spillovers effects among interest rates,stock prices and exchange rates,the paper's finding is as follows:There are almost not the simultaneous relationships and the lead-lag relationships among three variables which are called first moment relationships(expectation items),but there are significant second moment relationships(variance items).So at the present it is not how to prevent financial "contagion" from one market to another,but how to strengthen linkages among markets that we should pay attention to,only in this way we can get high transmission efficiency of monetary policy and have low information leakage.The fundamental countermeasures are taking institutional and regulational designs,pricing interest rates,stock prices and exchange rates by the market really so that prices of financial products can reflect real supply and demand.The paper consists of seven chapters:
Chapter I is the Introduction,this part introduces the research background and sense, reviews the literatures,introduces the basic framework and research method of the paper, and then makes the brief self-evaluation for the innovation and shortages of the research.
Chapter His theoretical analysis on the relationships among interest rates,stock prices and exchange rates. This part theoretically analyzes and interpretes relationships among the interest rate, stock prices and exchange rates based on exchange rate determination theories, including the linkage between interest rates and stock prices,bewteen interest rates and exchange rates as well as bwteen stock prices and exchange rates. In this chapter's end, I expand Branson's (1977) three-asset model on the exchange rate determination by including shares into the model,that is,the new model is a four asset model,then I illustrate the financial market's equilibrium and dynamic changes,make aconclusions about theoretical expectations of the relationship among variables.The conclusions of this chapter are the starting point for empirical research.
Chapter III is a general description about financial markets in China.The chapter analyzes the character of China's financial markets,theoretically examines the linkage among the interest rate,stock prices and exchange rates in China.
Chapter IV is the interpretation about models and methods employed in empirical research. The chapter introduces some econometric methods applied to the dissertation, including ITH methods, SVAR model, VAR-GARCH model, bootstrap techniques, the Generalized Moment Estimation (GMM) and so on.
ChapterⅤis an empirical study on the simultaneous relationships among interest rates,stock prices and exchange rates, I introduce a series of diagnostic testing methods and give tests of time series. Then I figure out a two-equation simultaneous model which is based on the improved SVAR model, the improved SVAR means allowing the existence of heteroscedasticity in the residuals.Thirdly,I estimate the model by the ITH method, bootstrap technology, GMM methods and so on,get values of coefficients ofβand a,which indate respectively the response coefficient of the interest rate to stock prices and stock prices to the interest rate. Using the same method,I give a research on the simultaneous relationship between the interest rate and exchange rates,between stock prices and exchange rates.
ChapterⅥis about the lead-lag relationships and the spillovers effects among interest rates,stock prices and exchange rates.In the first place I examine the lead-lag relationships,price and volatility spillovers effects between the interest rate and stock prices,between the interest rate and exchange rates,between stock prices and exchange rates and among three variables respectively employing VAR-MGARCH model.Then I sums up and ends with some explations and suggestions. At the end of this chapte,I compare the difference of estimation results between two variables model and three variables model,and give an analysis and explanation on this sort of difference.
ChapterⅦis conclusions and suggestions.I combine results of SVAR model and VAR-MGARCH model, and have a comparison between theoretical analysis and empirical research. Then I give some suggestions and directions for further study.
中国是一个新兴的发展中大国,中国的金融市场具有转轨金融的特点：一方面金融制度在逐渐完善,资本市场在逐步开放,金融产品的定价在逐步市场化；但是另一方面金融体系的发育还远未达到西方发达市场经济国家的成熟度,金融市场有自己的特色,与经典理论的描述和发达国家的表现不完全一致。利用中国的数据研究利率、股价和汇率之间的关联,测度其关联程度并给出解释和建议,对我国货币当局监管资本市场及提高货币政策传导效率、对投资者的投资决策、对管理层的宏观管理均有一定帮助,具有现实意义。
本文回顾和总结了股价、利率和汇率关联的相关文献和理论,对中国金融市场及其相互之间的关联进行了分析和初步推断,在此基础上运用多种先进的计量和统计方法对股价、利率和汇率相互之间的同步关联、滞后关联和溢出效应进行了实证分析,发现中国的股价、利率和汇率相互之间基本不存在同步和滞后的一阶矩(即均值项)之间的关联,但是存在较明显的二阶矩(即方差项)之间的关联。目前的主要矛盾不是防止金融“传染”的问题,而是进一步加强市场之间的关联的问题,只有这样才有较高的货币政策传导效率和较低的信息漏损。根本还在于加强金融市场制度环境的建设和规范化建设,逐步实现利率市场化、股价市场化和汇率市场化定价,最终使金融产品真正市场化,真实反应金融市场的供求变动和实际状况。全文共分七个部分：
第一部分,导论。该部分首先阐明了股价、利率和汇率之间关联研究的背景与意义,接着是文献综述,然后介绍本文的基本框架与研究方法,最后就本文研究的创新与不足之处进行简要阐述。
第二部分,利率、股价和汇率关联的理论分析。在汇率决定理论的框架内,对利率、股价和汇率两两之间的关系进行了理论上的阐述和分析,具体包括利率和股价关联的理论、利率和汇率关联的理论以及股价和汇率关联的理论三个方面。在这一部分,将Branson (1977)关于汇率决定的三资产模型加入股票,变为四资产模型,用来分析外生冲击对金融变量的影响；另外还利用图示法分析了资产市场均衡的动态调整过程。本章的结论是后面的实证研究的出发点。
第三部分,对中国金融市场及其相互关联的一般认识。分析了中国金融市场的特点,并结合中国金融市场的实际状况,对中国金融市场的利率、股价和汇率的关联作了初步推断。
第四部分,实证研究的主要模型和方法。介绍了本文实证研究部分所运用到的主要计量模型和方法,包括SVAR模型、ITH方法、多元VAR-MGARCH模型、BOOTSTRAP技术、广义矩估计(GMM)等。这些计量方法的共同特点是均需要借助计算机的高速运算能力和专门的计量或统计软件才能实现。
第五部分,利率、股价与汇率的同步关联问题研究。运用SVAR模型、ITH方法和BOOTSTRAP技术研究两变量之间的同步关联。具体用三个两方程模型分别研究了利率和股价间、利率和汇率间及其股价和汇率间的同步影响关系。在模型中,货币市场利率、股票价格和汇率等变量是内生变量,由于内生变量之间的联立性,如果直接对模型进行OLS估计会存在联立性偏差。因此本文运用了Rigobon和Sacks等人发展出的ITH方法对模型的关键系数即同步影响系数进行了估计。接着利用BOOTSTRAP方法,得到参数估计值的分布情况和其他统计特征值。
第六部分,利率、股价和汇率间的滞后关联和溢出效应研究。应用多元VAR-MGARCH模型同时研究了变量之间的先导—滞后关系(lead-lag relationship)和波动溢出效应。先考察了二变量之间的这种滞后关联和溢出效应,然后基于Branson模型的分析框架,在引入外生变量的情况下,考察了利率、股价和汇率三者之间的滞后关联和溢出效应。在本章的结尾,对二元模型和三元模型的估计结果进行了比较和分析,并给出了解释。
第七部分,结论和建议。在这部分,将实证研究的结果与前面章节的理论分析的结论作了对比和综合。然后,就中国货币市场、股票市场和外汇市场的现状,提出了一些建议,最后给出了本文的进一步研究方向。
Interest rates are domestic prices of money,and exchange rates are foreign prices of money,stock prices are important asset prices.The relationships among interest rates,stock prices and exchange rates reflect the linkages between monetary market and capital market.Monetary market and capital market are important transmission medium of monetary policy,there are close relationships between the two markets in one country with high transmission efficiency of monetary policy,the measurement of associated degree between monetary market and capital market can be done by researching on the relationships among interest rates,stock prices and exchange rates.Existing literatures place emphasis on study between two variables,while this article which put interest rates,stock prices and exchange rates together into one model,examines the simultaneous relationships among three variables employing structural VAR model,multi-variate VAR-GARCH model,ITH method,bootstrap method,etc.In addition,the paper expands Branson's three assets portfolio model into four assets model by considering shares into the model,and illustrates the dynamic effects of exogenous variables on the equilibrium of interest rates,stock prices and exchange rates by graphs.In brief,this research enriches and develops the present theories.
China is an emerging economy system,it's financial markets have characteristics of the transition period.On one hand,the financial system is improving gradually,the capital market is more and more open,the pricing of financal products is being determinated gradually by the market more or less,but on the other hand,the financial system is still not perfect comparing with developed countries,that is,China's financial markets have their own features,they are quite different from what are described in classical theories and from the condition of developed countries.There are a great deal of realistic meanings to study linkages among interest rates,stock prices and exchange rates employing Chinese data and samples,because by measuring the degree of correlation and giving explanations and suggestions,it's helpful for the government supervising and regulating the capital market,improving the transmission efficiency of monetary policy,and it is also useful for investors making decisions,for the management adjusting and controlling the economy system.
This dissertation reviews and summaries some related literatures and theories,analyzes China's financial markets and linkages existing among them,and gives a few initial propositions about mutual relationships of financial markets.Based on these,the article gives empirical analysis of the simultaneous relationships,the lead-lag relationships and the spillovers effects among interest rates,stock prices and exchange rates,the paper's finding is as follows:There are almost not the simultaneous relationships and the lead-lag relationships among three variables which are called first moment relationships(expectation items),but there are significant second moment relationships(variance items).So at the present it is not how to prevent financial "contagion" from one market to another,but how to strengthen linkages among markets that we should pay attention to,only in this way we can get high transmission efficiency of monetary policy and have low information leakage.The fundamental countermeasures are taking institutional and regulational designs,pricing interest rates,stock prices and exchange rates by the market really so that prices of financial products can reflect real supply and demand.The paper consists of seven chapters:
Chapter I is the Introduction,this part introduces the research background and sense, reviews the literatures,introduces the basic framework and research method of the paper, and then makes the brief self-evaluation for the innovation and shortages of the research.
Chapter His theoretical analysis on the relationships among interest rates,stock prices and exchange rates. This part theoretically analyzes and interpretes relationships among the interest rate, stock prices and exchange rates based on exchange rate determination theories, including the linkage between interest rates and stock prices,bewteen interest rates and exchange rates as well as bwteen stock prices and exchange rates. In this chapter's end, I expand Branson's (1977) three-asset model on the exchange rate determination by including shares into the model,that is,the new model is a four asset model,then I illustrate the financial market's equilibrium and dynamic changes,make aconclusions about theoretical expectations of the relationship among variables.The conclusions of this chapter are the starting point for empirical research.
Chapter III is a general description about financial markets in China.The chapter analyzes the character of China's financial markets,theoretically examines the linkage among the interest rate,stock prices and exchange rates in China.
Chapter IV is the interpretation about models and methods employed in empirical research. The chapter introduces some econometric methods applied to the dissertation, including ITH methods, SVAR model, VAR-GARCH model, bootstrap techniques, the Generalized Moment Estimation (GMM) and so on.
ChapterⅤis an empirical study on the simultaneous relationships among interest rates,stock prices and exchange rates, I introduce a series of diagnostic testing methods and give tests of time series. Then I figure out a two-equation simultaneous model which is based on the improved SVAR model, the improved SVAR means allowing the existence of heteroscedasticity in the residuals.Thirdly,I estimate the model by the ITH method, bootstrap technology, GMM methods and so on,get values of coefficients ofβand a,which indate respectively the response coefficient of the interest rate to stock prices and stock prices to the interest rate. Using the same method,I give a research on the simultaneous relationship between the interest rate and exchange rates,between stock prices and exchange rates.
ChapterⅥis about the lead-lag relationships and the spillovers effects among interest rates,stock prices and exchange rates.In the first place I examine the lead-lag relationships,price and volatility spillovers effects between the interest rate and stock prices,between the interest rate and exchange rates,between stock prices and exchange rates and among three variables respectively employing VAR-MGARCH model.Then I sums up and ends with some explations and suggestions. At the end of this chapte,I compare the difference of estimation results between two variables model and three variables model,and give an analysis and explanation on this sort of difference.
ChapterⅦis conclusions and suggestions.I combine results of SVAR model and VAR-MGARCH model, and have a comparison between theoretical analysis and empirical research. Then I give some suggestions and directions for further study.
引文
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