摘要/Abstract

汇率和股票价格一直是金融领域研究的热点，通过构建包含人民币汇率与股票价格的二元MS-VAR模型，选取2005年7月至2014年12月的月度数据，系统考察了不同区制下人民币汇率与股票价格之间的非线性互动关系。结果显示：人民币汇率与股票价格之间存在显著的区制转换特征。在不同状态下，两者的动态关系有所不同。两区制下，人民币升值会引起股票价格上升，股票价格也对人民币汇率具有正向反馈效应，但区制1下的响应幅度明显小于区制2下的响应幅度。

Exchange rates and stock prices has been a hot issue in the financial sector research ，applying binary MS-VAR model contained RMB exchange rate and stock price, based on the monthly data between the July of 2005 to the December of 2014,examined the nonlinear relationship between RMB exchange rate and stock price in different regimes. The result shows there is a significant switching characteristic between RMB exchange rate and stock price and the dynamic relationship between them is not same under the different status. RMB appreciation will lead to the rise of stock price and the stock price also has a positive feedback to RMB exchange rate. However, the amplitude of response in regime 1 is significantly less than it in regime 2.