CAJ | 학술논문

随着金融一体化的发展，20世纪90年代中期以后股票市场联动的现象日益显著，我国外贸依存度不断提高、金融服务业逐步开放，2005年7月21日人民币汇率形成机制改革以来，汇率浮动区间的扩大是否起到了缓解国际市场冲击的作用成为理论界有待探讨的问题。本文分析了美国股票市场和汇率与我国股票价格之间的作用形式和程度，并对汇率是否起到缓解国际股票市场冲击的作用进行了检验。结果表明，在人民币升值的趋势下，汇率变化在股票市场面临负向冲击时，起到一定的缓冲作用；在股票市场面临正向冲击时，起到的是加速作用。
수착금융일체화적발전，20세기90년대중기이후고표시장련동적현상일익현저，아국외무의존도불단제고、금융복무업축보개방，2005년7월21일인민폐회솔형성궤제개혁이래，회솔부동구간적확대시부기도료완해국제시장충격적작용성위이론계유대탐토적문제。본문분석료미국고표시장화회솔여아국고표개격지간적작용형식화정도，병대회솔시부기도완해국제고표시장충격적작용진행료검험。결과표명，재인민폐승치적추세하，회솔변화재고표시장면림부향충격시，기도일정적완충작용；재고표시장면림정향충격시，기도적시가속작용。
With the development of financial integration, since the middle of 1990s the comovement of stock prices has been striking. China＇s foreign trade dependency has been going up gradually in most recent years,and China＇s financial industry becomes more open than before. Since China announced the switch to a new exchange rate regime on July 21,2005, Shanghai Composite Index rise to records continually.The relationship between stock prices and exchange rates has been one of the primary concerns of international economists.Allowing for comovement of international stock markets ,this paper analyzes the relationship of changes in stock prices and exchange rates in China and changes in stock prices in the U.S. We use VECM technique to analyze the long run and short run effect respectively.