The Research Of Correlation Between China’s Exchange Rate And The Stock Index

After the financial crisis, we should study the relationship between the contextof foreign currency exchange rates and stock prices. It is very useful to contact andinteraction for re-understanding the global subprime crisis, foreign currencyexchange rates and stock prices. It is very useful to reassess China’s foreignexchange market and stock market development stage and develop appropriatemacroeconomic regulation. It is very useful to prevent the financial risks.This paper summarizes the important transmission mechanism classificationbetween stock prices and foreign exchange rates, foreign currency exchange ratesand stock prices clarify interaction channels, and also analyze intermediate variableconduction between foreign currency exchange rates and stock prices.Made on the basis of qualitative analysis assumptions, using descriptivestatistics, Granger causality test, VAR model, impulse response functions, such as avariety of statistical methods, the paper chose the US dollar, Australian dollar, theeuro and the yen against the RMB currency exchange rate as an indicator variableanalysis, four tests were RMB foreign currency exchange rates and stock prices oftwo related impacts of the question whether there is still a one-way dependencies andhow the degree of influence. Emphasis on the foreign exchange market is four to twostock indices long-term stable relationship between price volatility. Impulse responsefunction with a dynamic and comprehensive characterization of the foreign currencyexchange rates and stock market volatility of short-term shocks to each other.Finally, the paper summarizes the policy recommendations. Based on theprevious empirical analysis, we propose to improve China’s foreign exchange marketand the stock market related measures, hopes to continue to promote market-orientedreforms to enhance the level of the two markets, and enhance the vitality of theforeign exchange market and the stock market, for China’s macroeconomic development to provide a good financial environment.