Research On The Impact Of RMB Exchange Rate And International Crude Oil Price On The Shanghai Composite Index

Since the second half of 2015,RMB exchange rate continued to depreciate,what deserves particular attention is the wide range of depreciation of offshore and onshore RMB exchange rate have already broken through the record in average.As we all known,crude oil is one of the most important industrial raw materials,and the source of the petrochemical industry,not only can be used for disposable energy consumption,but also can be regarded as raw material or source of many chemicals.A country's stock market,have always been influenced by exchange rate and crude oil price.This paper is not simply combine the affect of RMB exchange rate on Shanghai composite index,and the affect of international oil price on Shanghai composite index,but there is a closely relationship among the three variables based on the related relationship between exchange rate and crude oil price.Theoretical analysis also indicate that the relationship between exchange rate and stock price,crude oil price and stock price,exchange rate and crude oil price are exactly exist.Therefore,it is necessary and important to study the impact of RMB exchange rate and crude oil price on Shanghai composite index,in order to reduce the adverse impact of foreign exchange market and international commodity market on domestic capital market.By study nearly eleven years of the trend,causes and influence of the change of RMB exchange rate against the dollar,the futures prices of West Texas Intermediate light crude oil and the trend of the Shanghai Composite Index with statistical methods and econometric methods,Granger causality test results show that the Shanghai composite index and the RMB exchange rate is a two-way causal relationship,WTI futures price and the Shanghai composite index is a one-way causal relationship.In the long run,the relationship between RMB exchange rate,international crude oil price and Shanghai composite index have stable cointegration.The result of error correction model correction model shows that the self-healing capacity of the short-term fluctuations of the system adjust to long-run equilibrium is weak;impulse response analysis proved that the fluctuation of RMB exchange rate,do not have a strong impact on the Shanghai composite index,but there is an obviously reverse change trend while Shanghai composite index subject to the fluctuation of WTI crude oil futures prices.In addition,the variance contribution rate of the RMB exchange rate to Shanghai composite index is a little weak,while the variance contribution rate of the Shanghai composite index to RMB exchange rate,and WTI crude oil price to Shanghai composite index are at a high level.Finally,systematically summarized the conclusions of the paper,and from the perspective from Chinese circumstance,put forward effectively suggestions for the domestic stock market to avoid the risk of exchange rate and crude oil price in the international market.