外文翻譯------人民幣升值對(duì)股價(jià)的影響

1、<p>　　本科畢業(yè)論文外文原文</p><p>　　外文題目：The Impact of Renminbi Appreciation on Stock Prices in China </p><p>　　出 處：Emerging

2、 Markets Finance & Trade </p><p>　　作 者：Chien-Chung Nieh and Hwey-Yun Yau </p><p>　　ABSTRACT: Sin

3、ce removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China’s trade surplus,

4、less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and mo

5、mentum threshold error-correction model (M-TECM</p><p>　　KEY WORDS: asymmetric causality, exchange rates, momentum threshold error-correction model (M-TECM), stock prices.</p><p>　　China’s curre

6、ncy, the renminbi (RMB), which for the previous decade was tightly pegged at RMB8.28 to the U.S. dollar, was revalued to RMB8.11 per U.S. dollar on July 21,2005. Following removal of the peg, due in part to political pre

7、ssure from the United States and the United Kingdom, the Chinese authorities also announced that the renminbi would be pegged to a basket of foreign currencies, rather than being strictly tied to the U.S. dollar (USD), a

8、nd it would be allowed to float within a narrow</p><p>　　The revaluation of the RMB/USD exchange rate has marked a new era of a managed floating exchange rate system. The significance of exchange rate system

9、 reform is that the shift to a flexible exchange rate regime, especially the adoption of a currency band that refers to a basket of currencies, provides the monetary authorities with a certain degree of freedom in implem

10、enting policies. The new system would most likely act as a crawling peg, rather than being strictly fixed, allowing China greater </p><p>　　However, it was also argued that further RMB appreciation might bri

11、ng a significant decline in China’s exports. Hence, Chinese policymakers have been facing the dilemma of choosing between the two options (i.e., RMB appreciation vs. depreciation). Credible, gradual RMB appreciation is r

12、ecommended as an alternative strategy (see Kutan and Tsai 2007).</p><p>　　Although much attention has been focused on trade flows, Chinese policymakers face a similar dilemma in terms of the impact of expect

13、ed renminbi appreciation on domestic financial markets, in particular, the stock market. For instance, if the exchange rate appreciates, exporters are likely to lose competitiveness on international markets, causing a dr

14、op in profits and hence in stock prices. On the other hand, depreciation of the renminbi is likely to cause importers to lose competitiveness on do</p><p>　　Due to the mutual effects of exchange rates on sto

15、ck prices, the impact of recent</p><p>　　changes in the renminbi on domestic stock prices is an important concern in policy circles and among investors. The purpose of this paper is to address these issues a

16、nd examine whether an asymmetric causal relationship exists between the RMB/USD exchange rate and stock prices since removal of the peg.</p><p>　　Literature Review</p><p>　　The issue of whether

17、stock prices and exchange rates are related has long been studied. Two major theories, the traditional and portfolio approaches, are applied to test the dynamic relationship between exchange rates and stock prices. The t

18、raditional approach argues that a depreciation of domestic currency makes local firms more competitive, which leads to an increase in exports, and consequently raises stock prices. The traditional approach implies that e

19、xchange rates lead stock prices. The po</p><p>　　Empirical evidence using both approaches has yielded no consensus on the validity of either theory. For example, Mok (1993) found weak bidirectional causality

20、 between stock prices and exchange rates, while Bahmani-Oskooee and Sohrabian (1992) and Nieh and Lee (2001) argued for bidirectional causality between stock prices and exchange rates in the short run, but not in the lon

21、g run. In addition, some studies found a weak or no association between stock prices and exchange rates (e.g., Bartov and </p><p>　　More recently, it has been suggested that some of the mixed results may be

22、driven by extensive use of linear conventional time-series methodologies, which fail to consider information across regions, and thus lead to inefficient estimations and lower testing power. Recent studies therefore allo

23、w for a nonlinear causal relationship between the two variables and also use threshold cointegration methods, which further allow for nonlinear adjustment to long-run equilibrium (Balke and Fomby 1997).</p><p&

24、gt;　　Methodology</p><p>　　This paper employs threshold cointegration techniques as elaborated by Enders and Granger (1998) and Enders and Siklos (2001), which extend the residual-based, two-stage estimation

25、method developed by Engle and Granger (1987). The difference between them lies in the formulation of linearity and nonlinearity from their second stage of unit-root tests. The nonlinear model of Enders and Granger (1998)

26、 and Enders and Siklos (2001) can be expressed as</p><p>　　Δμt=Itρ1μt-1+(1-It)ρ2μt-1+ΣγiΔμt-1+εt</p><p>　　Equation (1) is basically a regime-switching model—a threshold autoregressive (TAR) mode

27、l of the disequilibrium error, where the test for the threshold of the disequilibriumerror is termed a threshold cointegration test. The result of rejection of the null hypothesis of ρ1 = ρ2 = 0 implies the existence of

28、a cointegration relationship between the variables.</p><p>　　This enables us to proceed with a further test for symmetric adjustment (i.e., H0: ρ1 = ρ2), using a standard F-test. When the coefficients of reg

29、ime adjustment are equal (symmetric adjustment), Equation (1) converges the prevalent augmented Dickey-Fuller (ADF) test. Rejecting both the null hypotheses of ρ1 = ρ2 = 0 and ρ1 = ρ2 implies the existence of threshold c

30、ointegration with asymmetric adjustment. Instead of estimating Equation (1) with the Heaviside indicator depending on the level of μt–</p><p>　　Granger Causality Tests</p><p>　　Given the thresho

31、ld cointegration results, we next apply the Granger causality tests using the advanced momentum threshold error-correction model (M-TECM). The M-TECM is expressed as</p><p>　　ΔYit=α+γ1Zt1+γ2Zt-t+ΣδiΔY1t-i+Σθ

32、iΔY2t-i+νt</p><p>　　Based on Equation (2), Granger causality tests are employed to examine whether all coefficients of DY1,t–i or DY2,t–i are jointly statistically different from zero based on a standard F-t

33、est or whether the γj coefficients of the error-correction term are significant. Because Granger causality tests are sensitive to the selection of lag length, applying the AIC criterion to determine the appropriate lag l

34、engths, we find empirically that the lag lengths of k1 and k2 equal two (i.e., k1 = k2 = 2). </p><p>　　Conclusions and Policy Implications</p><p>　　This paper investigates the causal relationshi

35、p between the renminbi/U.S. dollar exchange rate and stock prices in China since removal of the peg. Our results can be summarized as follows: first, we find a threshold cointegration link between the exchange rate and C

36、hinese stock prices. This finding implies that it is possible to predict one market from another, which is inconsistent with the efficient market hypothesis. Second, there is a discontinuous adjustment to a long-run equi

37、librium in two</p><p>　　The results have important implications. First, policymakers need to consider the</p><p>　　impact of exchange rate changes on financial markets in designing appropriate p

38、olicy</p><p>　　strategies. Given that the exchange rate is no longer fixed, the authorities consider the</p><p>　　impact of exchange rate changes not only on trade flows but also on financial ma

39、rkets.</p><p>　　Second, our results have broader theoretical implications. We find no evidence to support the portfolio approach. On the other hand, although the findings show a unidirectional causal relatio

40、nship running from exchange rates to stock prices in the long run, this does not completely follow using the traditional approach in the literature either. The traditional approach argues that a depreciation of domestic

41、currency makes local firms more competitive, leading to an increase in exports, and conse</p><p>　　譯 文：人民幣升值對(duì)股價(jià)的影響</p><p>　　摘要：自2005年7月取消了人民幣對(duì)美元的盯住制度，中國(guó)已經(jīng)進(jìn)入了一個(gè)浮動(dòng)匯率管理制度的新時(shí)代。許多的觀察家關(guān)注這種政策的變化給中國(guó)的貿(mào)

42、易順差的所帶來(lái)的影響，但較少的人注意到這種政策對(duì)中國(guó)金融市場(chǎng)的影響。本文研究在中國(guó)取消固定匯率制度的前提下，采用協(xié)整和誤差修正模型（M-TECM）研究近期人民幣匯率升值對(duì)股票價(jià)格的影響。從人民幣對(duì)美元的匯率與中國(guó)上證A股之間基于M – TECM模型所得的結(jié)果清楚的表明兩者之間不存在短期的因果關(guān)系以及非對(duì)稱的因果關(guān)系。而且作者通過(guò)廣泛的調(diào)查與討論提出了政策建議。</p><p>　　關(guān)鍵詞：不對(duì)稱的因果關(guān)系，匯率，

43、協(xié)整和誤差修正模型（M-TECM），股票價(jià)格</p><p>　　中國(guó)的貨幣,人民幣在緊緊盯住美元進(jìn)行匯率調(diào)整的10年后，在2005年7月21日人民幣兌美元由原來(lái)的8.28升值8.11。在受到來(lái)自美國(guó)和英國(guó)的政治壓力后，中國(guó)當(dāng)局宣布人民幣將盯住一籃子外幣,而不是單一的被美元綁住,而且每天允許有0.3個(gè)百分點(diǎn)的浮動(dòng)。</p><p>　　人民幣兌美元匯率升值標(biāo)志著我國(guó)進(jìn)入一個(gè)有管理的浮動(dòng)匯率

44、制度的新時(shí)代。匯率浮動(dòng)管理制度的意義在于從一個(gè)固定的匯率制度到一個(gè)靈活的匯率制度的轉(zhuǎn)變,特別是對(duì)人民幣采取一籃子貨幣的政策，為貨幣當(dāng)局實(shí)施貨幣政策提供了一定的自由。新制度的實(shí)施使得人民幣匯率是不斷變化的,而不是被嚴(yán)格固定住,使中國(guó)的匯率制度通過(guò)調(diào)整所盯住的貨幣籃子或者把除權(quán)的貨幣從貨幣籃子中除去而具有更大的彈性。</p><p>　　專家認(rèn)為人民幣的價(jià)值往往因?yàn)槿找嬖鲩L(zhǎng)的巨大的貿(mào)易盈余和證券投資熱錢流入而使得購(gòu)買

45、力平價(jià)參數(shù)而被低估(克萊因2005年，戈?duì)柎奶?004；戈?duì)柎奶购屠?006年)。作為在2003 - 2004年和通貨膨脹加速時(shí)期進(jìn)行投資的投資者（包括國(guó)內(nèi)和國(guó)外）,有些人認(rèn)為人民幣升值將會(huì)有助于處理國(guó)內(nèi)通貨膨脹的壓力，加快其解決的速度（弗蘭克爾2007；麥金農(nóng)2006）。但也有人認(rèn)為,人民幣進(jìn)一步升值可能會(huì)帶來(lái)中國(guó)企業(yè)出口的下降。因此,中國(guó)的政策制定者們一直在面臨著在這兩者之間進(jìn)行選擇的困境 (即,人民幣是升值還是貶值)。值得慶幸的

46、是,人民幣漸進(jìn)升值是可以作為一個(gè)替代戰(zhàn)略（見Kutanand Tsai 2007）</p><p>　　在許多人的注意力都被集中在貿(mào)易流量的變化上時(shí),中國(guó)的決策者面臨著預(yù)期人民幣升值會(huì)對(duì)國(guó)內(nèi)金融市場(chǎng),特別是證券市場(chǎng)產(chǎn)生的不利影響。例如,如果匯率升值,出口商可能會(huì)失去在國(guó)際市場(chǎng)上的競(jìng)爭(zhēng)力,使利潤(rùn)下降,從而使得股票價(jià)格下降。另一方面, 人民幣貶值可能導(dǎo)致進(jìn)口商失去對(duì)國(guó)內(nèi)市場(chǎng)的競(jìng)爭(zhēng)力（消費(fèi)者可能 無(wú)法承受“高

47、價(jià)”進(jìn)口產(chǎn)品），導(dǎo)致利潤(rùn)下降，因此使股票價(jià)格下降。</p><p>　　由于匯率與股價(jià)的相互作用,最近的人民幣匯率變化對(duì)國(guó)內(nèi)股票價(jià)格的影響是政策制定者和投資者要重點(diǎn)關(guān)注的。本文的目的是解決人民幣兌美元的浮動(dòng)匯率與股價(jià)之間是否存在不對(duì)稱的因果關(guān)系的問(wèn)題。</p><p><b>　　文獻(xiàn)</b></p><p>　　對(duì)股票價(jià)格和匯率是否有關(guān)的問(wèn)題

48、的研究已經(jīng)很長(zhǎng)時(shí)間了。其中兩個(gè)主要的理論方法是傳統(tǒng)方法和組合的方法,這兩個(gè)方法都被廣泛應(yīng)用于研究匯率和股票的價(jià)格的關(guān)系上。傳統(tǒng)方法認(rèn)為本幣貶值,導(dǎo)致出口增加,從而提高股票價(jià)格，讓本地公司更有競(jìng)爭(zhēng)力。傳統(tǒng)方法的結(jié)論意味著匯率的變化會(huì)引起股票價(jià)格的變化。而投資組合的方法,恰恰相反,認(rèn)為股票價(jià)格的增加會(huì)導(dǎo)致投資者要求更多的國(guó)內(nèi)貨幣,造成國(guó)內(nèi)的貨幣的升值,這意味著是股票價(jià)格的變化會(huì)引起匯率的變化。由布蘭森(1983) 提出“證券化”模式的觀點(diǎn),

49、認(rèn)為匯率為股票和債券的資產(chǎn)化提供服務(wù)。使用這兩種方法的實(shí)證研究都取得了結(jié)論，但兩者的所取得的結(jié)論無(wú)法達(dá)成一致有效的意見。例如,莫(1993)發(fā)現(xiàn)股票價(jià)格和匯率是弱雙向因果關(guān)系,而Bahmani-Oskooee和Sohrabian (1992)和Nieh和Lee(2001)主張股票價(jià)格和匯率在短期內(nèi)是雙向因果關(guān)系,但從長(zhǎng)遠(yuǎn)來(lái)說(shuō)不是這樣的。此外,一些研究者發(fā)現(xiàn)股票價(jià)格和匯率之間存在弱的或不存在相關(guān)關(guān)系(例如, 協(xié)會(huì)，Bartov和博德納爾1

50、994；費(fèi)爾南德斯2006; Franck和楊1972)。最近,也有一些研究者發(fā)現(xiàn)廣泛的使</p><p><b>　　方法</b></p><p>　　本文既推廣了由恩格爾和格蘭杰(1987)發(fā)現(xiàn)的二階段估計(jì)法，又運(yùn)用了由Enders和Granger(1998)和Enders和Siklos(2001)研究制定的協(xié)整檢驗(yàn)。前后兩者之間的差別在于對(duì)他們的二階段單位根中變

51、量的線性和非線性的測(cè)試。恩德斯和格蘭杰(1998) 和恩德斯和Siklos(2001)的非線性模型可以表示為一個(gè)：</p><p>　　Δμt=Itρ1μt-1+(1-It)ρ2μt-1+ΣγiΔμt-1+εt</p><p>　　方程(1)基本上是一個(gè)有不平衡誤差自回歸模型, 其中用于測(cè)試變量是否平衡的檢驗(yàn)被稱為協(xié)整檢驗(yàn)。而拒絕原假設(shè)為ρ1=ρ2=0意味著變量之間存在著協(xié)整關(guān)系。這使得我

52、們能夠在原假設(shè)ρ1=ρ2=0的基礎(chǔ)上的進(jìn)一步測(cè)試進(jìn)行調(diào)整。無(wú)論是拒絕ρ1=ρ2= 0還是ρ1=ρ2都意味著零假設(shè)的存在，說(shuō)明兩者之間存在數(shù)據(jù)非對(duì)稱的問(wèn)題，需要進(jìn)行整合和調(diào)整。</p><p>　　對(duì)數(shù)據(jù)的協(xié)整檢驗(yàn)允許在μt-1前一段時(shí)間進(jìn)行而不是只在單一在μt-1的水平上進(jìn)行，而在μt-1的水平上時(shí)一般進(jìn)行希維賽德指標(biāo)公式（1）對(duì)數(shù)據(jù)進(jìn)行檢驗(yàn)。希維賽德公式的指標(biāo)可以指定為如果Δμt≥τ，則It=1，或者Δμt≤τ

53、時(shí)，It=0。恩德斯和Granger（1998）的研究表明，這個(gè)模型對(duì)調(diào)整不對(duì)稱的數(shù)據(jù)特別有用，因此這個(gè)系列的模型比其他的模型更加有“發(fā)展的勢(shì)頭”。這個(gè)模型是當(dāng)時(shí)稱為有限制的自回歸模型（M-TAR）。這個(gè)M-TAR模型用來(lái)描述循環(huán)過(guò)程的，舉個(gè)例子來(lái)說(shuō)，正偏差要比負(fù)偏差持續(xù)的時(shí)間要長(zhǎng)的時(shí)候，這個(gè)模型就對(duì)正偏差的數(shù)據(jù)進(jìn)行調(diào)整。因此，M-TAR模型代表可以對(duì)一組有劇烈的序列波動(dòng)的數(shù)據(jù)進(jìn)行檢驗(yàn)。在對(duì)匯率與股價(jià)指數(shù)的研究中一般不存在選擇是使用TA

54、R模型還是M-TAR模型的問(wèn)題，因?yàn)檠芯空呓ㄗh在使用赤池信息準(zhǔn)則（AIC）或施瓦茨貝葉斯準(zhǔn)則（SBC）后再來(lái)選擇模型來(lái)對(duì)數(shù)據(jù)進(jìn)行調(diào)整。</p><p><b>　　格蘭杰因果關(guān)系檢驗(yàn)</b></p><p>　　通過(guò)整合，我們?cè)俅问褂肎ranger因果關(guān)系檢驗(yàn)，即誤差修正模型（M - TECM）。M-TECM的表示為</p><p>　　ΔYi

55、t=α+γ1Zt1+γ2Zt-t+ΣδiΔY1t-i+ΣθiΔY2t-i+νt （2）</p><p>　　基于對(duì)方程（2），通過(guò)格蘭杰因果關(guān)系檢驗(yàn)來(lái)研究ΔY1，t-i或ΔY2，t-i，是否符合零標(biāo)準(zhǔn)的F檢驗(yàn)是很重要的。由于格蘭杰因果檢驗(yàn)是滯后長(zhǎng)度的敏感性檢驗(yàn)，因此允許使用AIC準(zhǔn)則來(lái)確定適當(dāng)?shù)臏箝L(zhǎng)度，根據(jù)經(jīng)驗(yàn)我們發(fā)現(xiàn)，滯后長(zhǎng)度是K1和k2的結(jié)果都等于二（K1= k2=2）。</p>&l

56、t;p>　　結(jié)果清楚地表明，人民幣匯率與中國(guó)股票價(jià)格在短期內(nèi)存在因果關(guān)系（拒絕零假設(shè)：δ1=δ2= 0和θ1=θ2= 0）此外，從長(zhǎng)期來(lái)看，人民幣匯率與股價(jià)當(dāng)在長(zhǎng)期不平衡的協(xié)整等于0.0048的時(shí)候存在單向因果關(guān)系。（零假設(shè)：θ1=θ2=γ1= 0在百分之十的顯著水平下被拒絕。）另一方面，零假設(shè)為δ1=δ2=γ1= 0，δ1=δ2=γ2= 0，θ1=θ2=γ2= 0不能被拒絕。此外，研究者還發(fā)現(xiàn)，在中國(guó)股市中拒絕零假設(shè)γ1=γ2的

57、研究結(jié)果與我們以前的M-TAR模型的結(jié)果達(dá)到一致，再次確認(rèn)了兩個(gè)變量之間存在非對(duì)稱因果關(guān)系。然而，咋使用傳統(tǒng)ECM方法得出的實(shí)證結(jié)果表明，從長(zhǎng)遠(yuǎn)來(lái)看，中國(guó)股市與匯率是雙向的因果關(guān)系，從短期來(lái)看，是匯率影響股價(jià)的單向因果關(guān)系。</p><p><b>　　結(jié)論與政策建議</b></p><p>　　本文考察了除去我國(guó)一直盯住美元的匯率時(shí)期外，人民幣對(duì)美元的匯率與股價(jià)之間

58、的因果關(guān)系。我們的結(jié)果可以概括如下:第一,我們發(fā)現(xiàn)中國(guó)的匯率與股價(jià)之間存在一個(gè)協(xié)整關(guān)系。這個(gè)發(fā)現(xiàn)意味著, 這與有效市場(chǎng)假說(shuō)不一致，它是一個(gè)可以預(yù)測(cè)的市場(chǎng)。第二,說(shuō)明兩個(gè)不同的制度需要一段持續(xù)的長(zhǎng)期均衡的調(diào)整,這表明研究?jī)烧咧g的因果關(guān)系需要考慮不對(duì)稱因素。第三,兩者之間存在單向因果關(guān)系，即匯率變化對(duì)股價(jià)的影響，從長(zhǎng)遠(yuǎn)來(lái)看，這表明人民幣兌美元的匯率升值對(duì)我國(guó)股市的價(jià)格變化產(chǎn)生重大的影響。計(jì)算結(jié)果表明, 特別是在對(duì)上證A股股票市場(chǎng)的股價(jià)格的

59、影響更加的重大。</p><p>　　研究結(jié)果對(duì)以下方面都有著重要的影響。首先,決策者需要考慮匯率變化對(duì)金融市場(chǎng)的影響，從而制定恰當(dāng)?shù)恼?。鑒于匯率不再是固定的,政策當(dāng)局不僅需要考慮匯率變化對(duì)貿(mào)易流量的影響,還要考慮匯率的變化對(duì)金融市場(chǎng)的影響。第二,我們的結(jié)果具有更廣泛的理論意義。我們發(fā)現(xiàn)還沒有有力的證據(jù)來(lái)支持整個(gè)投資組合的方法。另一方面,雖然調(diào)查結(jié)果表明了匯率對(duì)股價(jià)是單向定向因果關(guān)系,但從長(zhǎng)期的角度看，這并沒有