CAJ | 학술논문

本文以我国2005年7月21曰汇率形成机制改革为界，分别分析了我国2001年1月2日-2005年7月20日（I段）和2005年7月21日-2007年12月28日（Ⅱ段）人民币兑美元汇率中间价与上证综指收盘价之间的关系。结果表明实行有管理的浮动汇率制后，人民币兑美元汇率对上证综指有着显著的短期动态影响，且两变量序列之间存在协整关系；人民币兑美元汇率与上证综指间存在显著的双向波动溢出，且波动溢出均存在不对称性。实行有管理的浮动汇率制后，两市场间的波动溢出效应更为显著。
본문이아국2005년7월21왈회솔형성궤제개혁위계，분별분석료아국2001년1월2일-2005년7월20일（I단）화2005년7월21일-2007년12월28일（Ⅱ단）인민폐태미원회솔중간개여상증종지수반개지간적관계。결과표명실행유관리적부동회솔제후，인민폐태미원회솔대상증종지유착현저적단기동태영향，차량변량서렬지간존재협정관계；인민폐태미원회솔여상증종지간존재현저적쌍향파동일출，차파동일출균존재불대칭성。실행유관리적부동회솔제후，량시장간적파동일출효응경위현저。
The paper analyzes the relationship between the central parity of the RMB exchange rate against the US dollar and the closing prices in Shanghai Stock Exchange composite index during the period of January 2nd, 2001 to December 28th, 2007. With the reform of RMB exchange rate regime as the line of demarcation, the period is divided into two phases, i.e. from January 2nd, 2001 to July 21 st, 2005 is the first phase and from July 21 st, 2005 to December 28th, 2007 the second phase. The conclusions are as follows： first, after the implementation of the managed floating RMB exchange rate regime, the RMB exchange rate against the US dollar exerts a noticeable influence on the Shanghai Stock Exchange composite index, there exists a kind of co-integration relationship between them. Second, they have a significant two-way volatility spillover effect; they are asymmetric.