The intense pressure of the RMB exchange rate appreciating is stronger, so the relationship between the RMB exchange rate and the price the Chinese stock market research is worth to be researched. It can deepen understanding of the interaction of the inherent relationship between the exchange rate and stock market prices, but also can provide decision-making to take measures to avoid currency appreciation caused by the impact on the economy. Therefore, the research has important theoretical and practical significance.This paper reviews the literature of the relevance of the foreign exchange rate and stock prices, summarize the relevant theories of the foreign exchange rate and stock prices ,then use VAR model,the cointegration analysis,vector Error Correction Model (VECM) and Granger causality test to research the relationship of the foreign exchange rate and stock prices.The paper compare three situations, which is before the foreign exchange rate reform in 2005,before the subprime crisis mortgage crisis broking out and after sub-prime mortgage crisis. According to the conclusion of the research, the writer provide the policy recommendations about the foreign exchange management system,the stock market building,market-oriented interest rate reform . |