Positive Research On The Linkage Effect Between The Exchange Rate Of The RMB Against The USD And CSI 300 Index

At present,the world economy is developing rapidly,the process of economic integration is advancing ceaselessly,and the correlation between national economy and domestic financial market is also deepening.Now among the nations of the financial markets only is restricted by its own factors also more and more rare,more is from the impact of the other markets,such as the foreign exchange market and stock market,also no longer because mutual control between them and has nothing to do.With the opening of capital account and the deepening of the exchange rate system reform,the degree of interaction between them is more and more deeper,so to analyze them both research become an important content of financial category.Relative to the domestic and foreign investors,we know that when the exchange rate change everyone to configure on their investment assets,in order to gain higher yields,such as when people will be converted into RMB appreciation so that the domestic capital market will be affected,all kinds of asset price changes in promoting the development of the stock market.Similarly,the various investment products of China’s securities market price changes will inevitably affect the choice of the chase the interests of investors and,in turn,affect the demand in the currency of their hand,eventually produce certain effect on exchange rates.Therefore,this paper is based on the recent changes in national policies,and tries to compare the interaction between the foreign exchange market and the stock market in different periods.In order to better describe the trend of the two markets,this paper selects the two indexes of the RMB against the USD and the CSI 300 index.Using modern econometric model test the relationship between the two cities,stationarity and cointegration relationship between the sample data analysis,based on VAR model test the causal relationship between the two cities,both on the impact of the reaction degree and the contribution of influence each other.According to the conclusion of this paper,it can be concluded that the correlation coefficient between the foreign exchange market and the stock market is negative and has negative correlation,but there is no long-term co-integration relationship.Fromthe beginning of the two sides,Granger causality to the last stage is the Granger causality,which indicates that the linkage effect between the two cities is gradually enhanced.From the analysis of impulse response and variance decomposition,the influence of China’s foreign exchange market on the stock market is continuously and obviously improved,while the stock market is not very influential in the foreign exchange market,but it is also being strengthened.