1、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. Although many observers
2、 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 threshold cointegratio
3、n 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 based on M-TECM. Po
4、licy 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.S. dollar, was
5、 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 being strictly
6、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 that the shift
7、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 strictly fixed,
8、 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 arguments (Cline
9、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 the increasing p
10、ressure 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., RMB appreciat
11、ion 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 domestic fin
12、ancial 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 importers to
13、 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 recent changes in the renminbi on domestic stock prices
14、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 Review The issue of whether stock p
15、rices 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 local firms m
16、ore 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 assets and
17、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 using both ap
18、proaches 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 prices and excha
19、nge 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 may be driv
20、en 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 use thresho
21、ld cointegration methods, which further allow for nonlinear adjustment to long-run equilibrium (Balke and Fomby 1997). Methodology 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
22、 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 as t=It1t-1+(1-It)2t-1+it-1+t Equation (1) is basically a regime-switching modela threshold autoregressive (TAR)
