Coupling Effect Under Different Scales Of Financial Market

The study on the coupling effect of financial market has been concerned for a long time. The linkage of financial markets can improve the efficiency of fund and also makes the relationship between the financial markets become complex. Low coupling effect will cause price distortion and restrict the flow of social capital and the efficiency of the funds allocation.Meanwhile,the implementation of monetary policy has become more difficult due to poor transmission; Excess coupling effect will increase the fluctuations of asset price, and spread the risk of inter-market. Therefore, it is necessary to re-examine the coupling effect and the cycles of the financial markets in a unique perspective. It is also a must to study the coupling effects, the mode, the degree and the direction of the transmission in different cycles, which can help us to clearly acknowledge the coupling features of financial market and explain the real economic phenomena. Even it also has a certain academic value and practical significance to improve the healthy, coordinated, and sustained development of the markets.Firstly, this article measures the nonlinear structure of financial variables by the BDS test, then, analyzes interest rate, exchange rate, share price, CPI and Index of the Investment in Real Estates, and some other financial variables which indicate monetary market, capital markets, foreign exchange markets and macroeconomic utilizing the multiresolution and the unique advantage of signal processing of Wavelet Analysis.In the first place, the paper systematically describes the composition of the financial markets and the change of institutional. The article analyses the existence, periodicity and complexity of coupling effects, from the coupling effect channels, direction and role of the three aspects, which has laid a theoretical foundation for the application of wavelet analysis of financial prices. We must in-depth study of the linkage between the price of financial relations, from the engineering point of view the signal reveals the financial price variables in different cycles, and the deconstruction of the non-linear of the price variables will be need in order to go up at different levels of association and coupling properties.In the main part, this article utilizes the multiresolution and the unique advantage of Signal Processing of Wavelet Analyzing to analyze interest rate, exchange rate, share price, CPI and Index of the Investment in the Development in Real Estates, and some other financial variables which indicate monetary market, Capital markets, Foreign exchange markets and macroeconomic with db4 Wavelet Function. It mainly analyzes the incidence relationship among the 3rd,4th and 5th high frequency series and the causal relationship of Granger and the correlation. Papers tries to offer the general perception of the coupling effects of China’s financial markets by measures of the cycle and the gray association of the financial markets prices. It positively discusses the segmentation and linkages of financial market with the scale of fluctuation of short-term, mid-term, and long-term, and then discovers that the short and long term vertical effect are not consistent in our financial market. It appears the short term is not effective as mid and long term. The article also reveals the risk of economy crisis within our financial market’s integration process while improving the operation efficiency of capital.Finally, VAR impulse response model and variance decomposition are established based on wavelet analysis, and an accurate portrayal of the timing and impact of financial markets and a further discussion of China’s financial market system arrangements are given. It also discusses the resulting coupling characteristics, coupling effect and interaction risk. In the end, this article gives a reasonable economic interpretation combined with the financial crisis nowadays.