Study Of The Effects Of The Changes Of RMB Exchange Rate On Stock Price

After the reform of RMB exchange rate regime July 21, 2005, the RMB exchange rate volatility increased significantly, the impact of exchange rate changes on China’s economy has become a hot topic of academic research. Stock price as the benchmark status of the national economy, with financial inter mediation, optimize resource allocation and other functions, it plays an important role in the economic development process. Equity exchange rate system reform and the stock market structure reform,the association of foreign exchange market and the stock market strengthened proud.Against this background, the impact of RMB exchange rate on China’s stock market,reducing the negative effect of exchange rate changes, the maintenance of financial stability have important theoretical and practical significance.Firstly, the theory of exchange rate and stock prices are analyzed, introduced the basic theory of exchange rate and stock price, summarized the impact of exchange rate changes on the stock price mechanism. Select the central parity of RMB against the US dollar as a proxy for the yuan exchange rate, select CSI 300 index as a proxy for the stock price, the RMB central parity rate against the US dollar, the Shanghai and Shenzhen 300 Index and the various channels of variable descriptive statistical analysis.Changes in the exchange rate mechanism of the impact on the stock price on the basis of the analysis, the use of VAR model and state space model the impact of RMB exchange rate on the stock price of the empirical research. Results: the RMB exchange rate has a negative impact that revaluation will promote the stock prices on the stock price. Effect of exchange rate changes on stock prices before the financial crisis showed a gradual decrease of the feature, then essentially unchanged. When next the RMB exchange rate changes on the stock price path empirical analysis,respectively, without considering the cross-cutting role and consideration of interactions conditions. Results: the RMB exchange rate will have an impact on the stock price by price, foreign trade, international capital flows and short-term psychological expectations channels; changes in the RMB exchange rate will have an impact on the stock price through interest rate, foreign trade and international capital flows channels long term; RMB exchange rate changes through cross-action and interest rates, money supply, foreign trade and international capital flows channels have an impact on stock prices.Finally, policy recommendations based on empirical results and the actual situation in China: the construction of a more reasonable exchange rate fluctuations affect the stock price channel;Construction of the stock market respond to exchange rate risk prevention mechanism.