CAJ | 학술논문

本文在构建基于异质性投资者的行为金融理论模型的基础上,采用我国2005年汇改以来的月度数据,运用门限协整和带有随机波动率的TVP-VAR模型,实证研究了人民币汇率与我国股票价格之间的长短期非线性动态关系。理论模型结果表明,汇率与股价的联动关系依赖于众多因素,且在均衡状态下汇率与股价的关系是时变的。实证研究发现：（1）人民币兑美元汇率与股票价格存在门限协整关系,且表现出明显的非对称动态调整特征。（2）人民币兑美元汇率和我国股票价格的关系具有明显的时变效应。人民币兑美元汇率与我国股票价格之间的关系并不符合存量导向模型,但在2009年之前符合流量导向模型。（3）人民币兑美元汇率与股票价格之间的关系主要取决于整体的宏观经济环境（例如资本流动和汇率预期）。
본문재구건기우이질성투자자적행위금융이론모형적기출상,채용아국2005년회개이래적월도수거,운용문한협정화대유수궤파동솔적TVP-VAR모형,실증연구료인민폐회솔여아국고표개격지간적장단기비선성동태관계。이론모형결과표명,회솔여고개적련동관계의뢰우음다인소,차재균형상태하회솔여고개적관계시시변적。실증연구발현：（1）인민폐태미원회솔여고표개격존재문한협정관계,차표현출명현적비대칭동태조정특정。（2）인민폐태미원회솔화아국고표개격적관계구유명현적시변효응。인민폐태미원회솔여아국고표개격지간적관계병불부합존량도향모형,단재2009년지전부합류량도향모형。（3）인민폐태미원회솔여고표개격지간적관계주요취결우정체적굉관경제배경（례여자본류동화회솔예기）。
In this paper, on the basis of analysis of a constructed behavior finance model, we apply the threshold co-integration test and the time-varying parameter vector autoregressive model with stochastic volatility（SV-TVP-VAR） to analyze China’s monthly data from July 2005 to June 2013 to investigate the nonlinear long-run and short-run interplays between exchange rate and domestic equity price. The theoretical model suggests that the interactions between exchange rate and equity price are determined by many factors, and the interactions under equilibrium status change over time. The empirical results could be concluded as follows, first, CNY/USD exchange rate and China’s equity price are threshold co-integrated,and the two variables have significant features of asymmetric dynamic adjustment. Second, CNY/USD exchange rate and equity price have obvious time variant relationship, and the relations don’t support the existence of the ‘stock-oriented model’ in China, though the ‘flow-oriented model’ has been testified to be true before 2009. Third, the nexus between CNY/USD exchange rate and equity price are mainly affected by macroeconomic situations, such as international capital flows and expectations of exchange rate.