An Empirical Study Of International Oil Prices、exchange Rates And Stock Prices

Since the publication of the World Energy Statistics Yearbook2012, and again to push energy issues to the cusp of Energy is supporting the progress of human civilization, the material basis, and it is an integral part of the basic conditions for economic and social development. Since the beginning of the new century, China’s energy development by leaps and bounds to become the world’s largest energy producer and consumer of energy structure adjustment has also made new achievements, coal, electricity, oil and gas and new energy, the all-round development of the renewable energy supply system, energy greatly enhance the level of service, residents’living standard has improved significantly. Energy development, provide a strong guarantee for the elimination of poverty, and improve people’s livelihood, maintaining steady and rapid economic and social development. Which crude oil is a key factor in the energy problem, and crude oil as one of the energy an integral part of the development of the world economy, whether in the economic or political impact on the world. China, as an important country in the development of globalization, in the crude oil economy plays what role, and what kind of impact between the crude oil economy and China’s economic, which is the starting point of this article.Selected from2005to2012, a total of five years each trading day as a time series, using the vector autoregressive (VAR) model. Granger causality test, cointegration test and impulse response function and variance decomposition, the international crude oil prices, the RMB against the U.S. dollar exchange rate and stock price set for variables, in order to achieve the study of the correlation between the appeal of three variables. Through a systematic analysis of the daily data of a total of1280days, combined with documentary research, qualitative research method and quantitative research method and other methods, the experimental results showed that:the three variables of international crude oil prices, the exchange rate of the RMB against the U.S. dollar and the Shanghai Composite Index cointegration relationship exists between the existence of a long-term equilibrium relationship between the three variables will not deviate from the impact of this equilibrium relationship. At the same time, the international crude oil prices, the RMB against the U.S. dollar exchange rate and the Shanghai Composite Index between the three variables exist not only with the long-term equilibrium relationship also exists in international crude oil prices is the exchange rate of the RMB against the U.S. dollar one-way Granger cause international crude oil prices early changes can effectively explain the change of the RMB against the U.S. dollar. The Shanghai Composite Index is Granger cause of international crude oil prices, the Shanghai Composite Index early changes can explain the changes in international crude oil prices. Shanghai Composite Index and the RMB against the U.S. dollar between the existence of a two-way Granger causality, the Shanghai Composite Index early changes can effectively explain the change of the RMB against the U.S. dollar, on the contrary, the RMB against the U.S. dollar in the early changes can explain the changes.