【作者】 姚小义；

【导师】 邹捷中；

【作者基本信息】 中南大学 ， 概率论与数理统计， 2003， 博士

【摘要】 进入二十世纪后期，随着国际汇率制度的改革和各国金融管制的放松，金融市场的分割状况逐步打破，各子市场的价格调整会通过中央银行的公开市场操作和投资者(或投机者)的逐利行为传递到其它子市场，并引起其它资产价格作相应的调整，从而达到市场均衡。这种变革趋势不仅对中央银行实行货币政策的手段和中介目标产生冲击，也对投资者的市场行为产生影响，加强对金融资产价格传导及均衡问题进行比较系统的探讨有重火理论价值和实践意义。 本文主要运用金融学理论和统计方法对三个层次的价格形成关系及影响途径进行研究。第一层次是货币政策实施过程中对以利率和汇率为中心变量的货币价格的影响，重点分析经济开放条件下处于制度转换过程中的市场影响途径及效应；第二层次是利率与汇率之间的相互影响，重点探讨开放条件下市场存在管理差别(或控制手段差异)时的两中心变量的均衡关系；第三层次是利率和汇率及其它信息变化对一般性金融资产价格的影响，试图分析各层价格的传导原理及均衡关系的形成。并对已有价格关系式和结论进行修正和推广。 本文分为四个部分：第一部分(第一章，第二章)分析利率、汇率的传导途径，探讨利率和汇率在货币市场、资本市场、外汇市场的一般价格传导原理及均衡关系的形成，对mundell Fleming model在资本流动冲击下的模型进行了修正，并给出了开放条件下汇率和利率对证券价格(以债券为代表)产生影响的基本模型。第二部分(第三章和第四章)对债券和股票价格传导机制从理论和实证方面作探讨。第三章将债券的价格均衡划分为两大基本类型，建立了债券与短期利率变动的边际方程，运用组合原理分析债券价格变动与其它资产(包括风险证券和无风险证券)的价格均衡关系，通过比较收益原理建立了债券以市场均衡收益为折现参数的价值方程，并通过实证检验了该模型的合理性；第四章，分析了内部信息与价格的传导原理，建立了非完全信息市场条件下价格传递信息的做市商模型和预期模型，并讨论外部信息与内部信息对股票价格影响的非一致性。第三部分(第五章、第六章)分析了利率、汇率与货币期权、远期汇率的均衡关系。第五章讨论了汇率、利率连续变动的状况下的边际方程和并建立了汇率跳跃状况下基于马氏骨架过程的期权价格方程。第六章针对传统利率平价方程过于严格的风险中性、资金供给弹性无限大、汇率自由浮动等限制条件，建立了风险非中性假设条件下的非抵补平价方程、利率有限弹性状况下的汇率方程和利率随机波动状况卜的远期利率均衡方程，并研究了制度转轨时期实行汇率目标区管理条件一下的汇率一利率关系与均衡汇率;第四部(第七章)结合前六章的理论分析，以提高政策传导效率，疏导价格传导途径为目标，结合我国金融市场现状及发展趋势从理论和实践两方面探讨资本市场和货币市场的均衡发展关系，并提出阶段性的建议。更多还原

【Abstract】 In the late 20th, with the reform of the international exchange rate system and the less control on the financial management, the separation state of the financial market has been broken down gradually. The price adjustment in one subsidiary market will be transferred to the others by the open-market operations of the central bank and the profit-making actions of the investors (or speculators), this will in turn causes certain price adjustment of other assets, and finally the market equilibrium can be achieved. This kind of innovation tendency will show influence not only on the methods and the medium goal of monetary policy of the central bank, but also on the actions of the investors in the market. So more systemic researches on the transferable system of financial asset and market equilibrium will be of great practical and theoretical importance.This article analyzed the price formation and its influence channel at three levels by financial theory and statistical method. At the first level, the influence of the monetary policy on the price of currency which takes interest rate and exchange rate as its central variables is illustrated, emphases are placed on the influence channel and the impact during the system transmission period under the open-economy conditions; at the second level, the author analyzed the mutual influence between interest rate and exchange rate and placed emphasis on the equilibrium of the above two central variables when the management differentials (or control methods differentials) exists in the market in the open economy; at the third level, through the influence of the changes of interest rate and exchange rate and other information on the price of the general financial assets, the author tried to analyze the transferable system of price at different levels and the formation of equilibrium. At the same time, made amen dements and promotions to the price equation and the conclusions.This article can be divided into four parts: the first part(chapterl,2) analyzed the transferable channel of interest and exchange rate, the principle of general price transferable system and the formation of equilibrium of transferable system of general price and the formation of equilibrium of them in the money market, capital market and foreign exchange market. The second part (chapters,4) probes transferable system of the security an bond price from theoretical and practical aspects. In chapter3, information is divided into two basic types, the marginal equation of bond price and short-term interest variations is established, thus the security price variations and the price equilibrium of other assets (risk security non-risk security are included) are analyzed by the implement of portfolio Theory. Finally the bond value equation which takes equilibrium return as itsyield Parameter is established through the theory of comparative return. In chapter 4, the intra-information and the transferable system of price is emphasized and the market-maker model and expected model under non-perfect information market conditions are established, and the disaccord of the influence of extra-information and intra-information on the security price is discussed. In the third part (chapter 5,6) is the analysis of the equilibrium of interest rate, exchange rate, foreign exchange option and forward exchange option. In chapter 5. the marginal equation of exchange and interest with continual variations is established, and the exchange option pricing equation based on Markov processions when interest are discontinuous is given. In chapter 6, based on the restrictions of the traditional interest rate parity equation, that is, the too restrict risk neutralization, the infinite elasticity of funds supply and the clean flotation of exchange rate, the exchange rate equation under finite elasticity conditions is established, the author also probes the relations between the exchange rate and interest rate, the equilibrium of exchange rate under target zone management conditions during the system transmission period. The fo更多还原