Study On The Risk Spillover Effect Of Crude Oil Futures Prices And RMB Exchange Rate,Based On Wavelet Analysis

International oil prices fell sharply,down more than 60% in August 2014.Meanwhile,China's external dependence on crude oil reached 60.6% in 2015.The impact of international oil prices on China's economic development is increasing year by year.In recent years,China has stepped up its construction of crude oil reserves,and bought crude oil at the expense of a large amount of foreign exchange.At present,reserves of crude oil has reached 31,970,000 tons,equivalent to China's 33-36 days of net imports of oil.In April 2015,China surpassed the United States to become the world's largest oil importing country.However,on the one hand,continued appreciation of the RMB began to face devaluation pressure in 2013.On the other hand,China's economic growth began to slow down.China's economic growth rate was 6.9% in 2015,less than the rate of 7.3% in 2014.Since the international crude oil prices is denominated in US dollars,the price of crude oil will impact on China's domestic economy transmitted through the exchange rate firstly.In the context of China's economic slowdown,the instability of international oil prices will pose a potential threat to China's economic development.Therefore,it is of great significance to study the relationship between international oil price and RMB exchange rate.This thesis combs the related literature,based on existing research results,with the knowledge of economics,finance and statistics and the combination of theoretical analysis and empirical study,to study on the effect of crude oil futures price and RMB exchange rate and the volatility spillover effect.Firstly,explain the theoretical background and practical significance,summarize the research achievements at home and abroad,summarize the existing methods,innovate the methods on the basis of the previous methods,and put forward the corresponding hypothesis and design the empirical method,in order to describe the relationship between the research objects deeply.Finally,apply theory and analyze real evidence,collect the relevant data and make an empirical study,to calculate and measure the relationship between international crude oil prices and RMB exchange rate and to summarize the results and put forward the corresponding suggestions and measures.In the empirical research section,this thesis selected from July 2005 to May 2016 Brent crude oil futures contract price and RMB real exchange rate index monthly data as the research object.This thesis used maximal overlap discrete wavelet decomposition to study multiresolution feature of time series after decomposition,founding that there exists comparatively violent fluctuations both in Brent crude oil futures prices and the RMB exchange rate in 2007 and 2014,and they had violent fluctuation characteristics from June 2008 to February 2010 in common.Through wavelet correlation analysis of the sequence,the author found that there is a mutually negative influence relationship between the price of crude oil futures and the RMB exchange rate,and with the increase of the wave period,the negative correlation is enhanced first,and then weakened after reaching the strongest in the medium term.Besides,using wavelet correlation analysis on the lead lag relationship between Brent crude oil futures prices and the RMB exchange rate found that,in the medium term,the spillover effect between the two reaches the maximum,which exists a relatively strong 2-3 lag period of mutual negative guidance,and the strength of guidance in relatively balanced.Then,this thesis used the way of cross wavelet decomposition to study time-frequency characteristics of a sequence,founding that,under different fluctuations,correlation between Brent crude oil futures prices and the RMB exchange rate changes with time domain.Brent crude oil futures prices and the RMB exchange rate showed strong correlation in the medium and long term from 2007 to 2011.The research of this thesis has made some contribution in two aspects.On the one hand,this thesis is a useful supplement to the existing results,to make up for the shortage of research result of crude oil price and RMB exchange rate.On the other hand,in this thesis,the maximum overlap discrete wavelet analysis and cross wavelet analysis are used to make up the deficiency of the existing research method on crude oil futures and RMB exchange rate,not only being able to reveal the volatility characteristics of economic variables in the different wave periods and the common volatility characteristics of economic variables,reflecting the relationship between variables and strength of relationship,but also being able to reflect time-frequency characteristics of time series,revealing the lead lag relationship between time series in different wave periods and the direction and intensity of spillover effect.