外文翻译人民币升值对股价的影响.docx

1、外文翻译人民币升值对股价的影响中文3300字本科毕业论文外文原文外文题目：The Impact of Renminbi Appreciation on Stock Prices in China 出 处：Emerging Markets Finance & Trade 作 者：Chien-Chung Nieh and Hwey-Yun Yau ABSTRACT: Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Althou

2、gh many observers have raised concerns about the impact of such a policy change on Chinas trade surplus, 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 thres

3、hold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U.S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is ba

4、sed on M-TECM. Policy and the broader implications of the findings are discussed.KEY WORDS: asymmetric causality, exchange rates, momentum threshold error-correction model (M-TECM), stock prices.Chinas currency, the renminbi (RMB), which for the previous decade was tightly pegged at RMB8.28 to the U

5、.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 pressure 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

6、being strictly tied to the U.S. dollar (USD), and it would be allowed to float within a narrow 0.3 percent daily band against this basket.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 reform is t

7、hat 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 implementing policies. The new system would most likely act as a crawling peg, rather than being s

8、trictly fixed, allowing China greater flexibility either through adjustments in the crawling peg regime that has involved the basket of currencies or through reweighting of the basket. Observers have frequently suggested that the yuan is undervalued, often on the basis of purchasing power parity arg

9、uments (Cline 2005; Goldstein 2004; Goldstein and Lardy 2006), contributing to growing large trade surpluses and portfolio capital inflows. As investment (both domestic and foreign) boomed in 20034 and inflation accelerated, some argued that rapid RMB appreciation would be helpful in dealing with th

10、e increasing pressure of domestic inflation on the economy (Frankel 2007; McKinnon 2006).However, it was also argued that further RMB appreciation might bring a significant decline in Chinas exports. Hence, Chinese policymakers have been facing the dilemma of choosing between the two options (i.e.,

11、RMB appreciation vs. depreciation). Credible, gradual RMB appreciation is recommended as an alternative strategy (see Kutan and Tsai 2007).Although much attention has been focused on trade flows, Chinese policymakers face a similar dilemma in terms of the impact of expected renminbi appreciation on

12、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 drop in profits and hence in stock prices. On the other hand, depreciation of the renminbi is likely to cause

13、importers to lose competitiveness on domestic markets (consumers may not be able to afford “higher priced” imported products), causing a decline in profits and hence in stock prices.Due to the mutual effects of exchange rates on stock prices, the impact of recentchanges in the renminbi on domestic s

14、tock prices is an important concern in policy circles and among investors. The purpose of this paper is to address these issues and examine whether an asymmetric causal relationship exists between the RMB/USD exchange rate and stock prices since removal of the peg.Literature ReviewThe issue of wheth

15、er 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 traditional approach argues that a depreciation of domestic currency makes loc

16、al firms more competitive, which leads to an increase in exports, and consequently raises stock prices. The traditional approach implies that exchange rates lead stock prices. The portfolio approach, on the contrary, argues that an increase in stock prices induces investors to demand more domestic a

17、ssets and thereby causes appreciation of the domestic currency, which implies that stock prices lead exchange rates. The “stock-oriented” model of exchange rates by Branson (1983) views the exchange rate as serving to equate supply and demand for assets such as stocks and bonds.Empirical evidence us

18、ing both approaches has yielded no consensus on the validity of either theory. For example, Mok (1993) found weak bidirectional causality between stock prices and exchange rates, while Bahmani-Oskooee and Sohrabian (1992) and Nieh and Lee (2001) argued for bidirectional causality between stock price

19、s and exchange rates in the short run, but not in the long run. In addition, some studies found a weak or no association between stock prices and exchange rates (e.g., Bartov and Bodnar 1994; Fernandez 2006; Franck and Young 1972).More recently, it has been suggested that some of the mixed results m

20、ay be 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 allow for a nonlinear causal relationship between the two variables and also u

21、se threshold cointegration methods, which further allow for nonlinear adjustment to long-run equilibrium (Balke and Fomby 1997).MethodologyThis paper employs threshold cointegration techniques as elaborated by Enders and Granger (1998) and Enders and Siklos (2001), which extend the residual-based, t

22、wo-stage estimation 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) and Enders and Siklos (2001) can be expressed ast=It1t-1+(1

23、-It)2t-1+it-1+tEquation (1) is basically a regime-switching modela threshold autoregressive (TAR) model 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 1 = 2 = 0 impli

24、es the existence of a cointegration relationship between the variables.This enables us to proceed with a further test for symmetric adjustment (i.e., H0: 1 = 2), using a standard F-test. When the coefficients of regime adjustment are equal (symmetric adjustment), Equation (1) converges the prevalent

25、 augmented Dickey-Fuller (ADF) test. Rejecting both the null hypotheses of 1 = 2 = 0 and 1 = 2 implies the existence of threshold cointegration with asymmetric adjustment. Instead of estimating Equation (1) with the Heaviside indicator depending on the level of t1, the decay could also be allowed de

26、pending on the previous periods change in t1. The Heaviside indicator could then be specified as It = 1 if Dt1 and It = 0 if Dt1 . According to Enders and Granger (1998), this model is especially valuable when the adjustment is asymmetric, such that the series exhibits more “momentum” in one directi

27、on than the other. This model is then termed a momentum threshold autoregressive (M-TAR) model. The TAR model is used to capture a deep-cycle process if, for example, positive deviations are more prolonged than negative deviations. On the other hand, the M-TAR model allows autoregressive decay to de

28、pend on Dt1. As such, M-TAR representation may capture sharp movements in a sequence. As there is generally no presumption as whether to use the TAR or M-TAR model, the recommendation is to select the adjustment mechanism by a model selection criterion such as the Akaike information criterion (AIC)

29、or the Schwarz Bayesian criterion (SBC).Granger Causality TestsGiven the threshold cointegration results, we next apply the Granger causality tests using the advanced momentum threshold error-correction model (M-TECM). The M-TECM is expressed asYit=+1Zt1+2Zt-t+iY1t-i+iY2t-i+tBased on Equation (2), G

30、ranger causality tests are employed to examine whether all coefficients of DY1,ti or DY2,ti are jointly statistically different from zero based on a standard F-test or whether the j coefficients of the error-correction term are significant. Because Granger causality tests are sensitive to the select

31、ion of lag length, applying the AIC criterion to determine the appropriate lag lengths, we find empirically that the lag lengths of k1 and k2 equal two (i.e., k1 = k2 = 2). The results clearly illustrate that no short-run causal relationship exists between EX and CHStock (insignificant to reject bot

32、h H0: 1=2= 0 and H0: 1=2= 0). Besides, there also exists a unidirectional causality running from EX to CHStock in the long run, when the difference in the previous disequilibrium term is above the threshold value of 0.0048. (H0: 1 = 2 = 1 = 0 is rejected at the 10 percent significance level.) On the other hand, the null hypotheses of1=2=1= 0，1=2=2= 0 and 1=2=2= 0cannot be rejected. Furthermore, the significant finding rejecting the null hypothesis of 1= 2 in CHStock is consistent with the finding of our previous M-TART estimations and reconfirms the existence of