The Dynamic Relationship Research Among Chinese Stock Market,Exchange Rate And International Crude Oil Price

As the world's most important commodity,crude oil has great influence on the development of our economy,and the influence on our country's economy depends on the exchange rate factor.In view of this,this article analyzes the dynamic relationship among our stock market,the RMB exchange rate and the international crude oil price in order to understand the financial market information transmission.At the same time,we can understand the effects of crude oil commodity on the economy of China.this is not only beneficial to formulate reasonable hedging strategy for investors and financiers,but also is helpful to make decisions of risk management for governmental departments.Firstly,this paper studies the spillover effect and dynamic conduction relationship among Chinese stock market,RMB exchange rate and international crude oil price by establishing the VAR model.The conclusions show that there is a stable long-term equilibrium relation among the stock market in China,the RMB exchange rate and international crude oil price,and the equilibrium relationship reflects the spillover effects of their yields;There exists two-way granger causality relationship between Chinese stock market and the international crude oil price,and there is one-way granger causality between the exchange rate and the international crude oil prices;Impulse response function and variance decomposition reflect the influences on the policy impact of one variable to other variables and the relative contribution of each variable on the variances of other variables,this reflects the dynamic conducting relationship between them.Secondly,this paper studies the dynamic correlation among Chinese stock market,RMB exchange rate and international oil price by establishing a three-element DCC-GARCH model.The research shows that the correlation between financial markets tends to be dynamic,and the correlation coefficients are changing with time;The fluctuation of the Dynamic condition coefficients between Chinese stock market and the international crude oil price is the biggest,and the second is the dynamic correlation coefficient between the RMB exchange rate and the crude oil price,the smallest volatility is the dynamic correlation coefficient between the RMB exchange rate and the Chinese stock market;When large financial fluctuations occur,the dynamic conditional correlation between them will have a directional change.Finally,this paper studies the volatility spillover effects among the stock market,RMB exchange rate and crude oil price by establishing a three-element VAR-BEKK-GARCH model.The research shows that there exists the bidirectional volatility spillover effect between Chinese stock market and the RMB exchange rate,and there is a unidirectional volatility spillover effect from the RMB exchange rate to international crude oil price and from the stock market to the international crude oil price;In terms of risk conduction,the RMB exchange rate has played a good bridge and there is a transmission path from the stock market to the RMB exchange rate,and from the RMB exchange rate to the international crude oil price.Based on the results of this article,some policy suggestions are finally put forward: Improving the marketization of the stock market and making the stock market truly becoming the "barometer" of the economy;Accelerating the exchange rate liberalization,playing its role as an economic lever and guarding against the exchange rate risk;Focusing on the development of the world's commodities is conducive to guard against the financial risks.