摘要
为判定上市公司企业价值与实际有效汇率及国际原油价格波动之间的长期均衡关系,基于企业视角,随机选取沪深证券市场4家2000年上市的公司为研究对象,运用剩余收益比例模型和Johansen协整分析方法,从双因素共同作用的角度,得到企业价值、国际原油价格以及人民币实际有效汇率之间存在协整关系的结论,并构建误差修正模型,表明短期对其进行反向修复,然后进一步对变量间的因果关系进行Granger检验.最后依据实证结果,提出相关政策建议.
In order to judge the long-run equilibrium relationship between the enterprise value of listed companies and the real effective exchange rate with international oil prices,this paper applied the Residual Income Rate Model and Johansen co-integration analysis method on 4 listed companies based on the microscopic view,all of which were listed in 2000.The results of empirical research showed that there was true co-integration relationship among the three variables,and the Error Correction Model made a reverse ...
出处
《经济数学》
北大核心
2009年第4期61-68,共8页
Journal of Quantitative Economics
基金
国家社会科学基金重点资助项目(07AJL005)
全国高校青年教师奖励基金资助项目(教人司2002[123])
关键词
企业价值
实际有效汇率
国际原油价格
协整
剩余收益比例模型
enterprise value
real effective exchange rate
international oil price
co-integration
residual income rate model
