Research On The Relativity Between International Oil Price And Rmb Exchange Rate Under The Uncertainty Of Economic Policy

As we all know,international crude oil is one kind of important energy resource to promote economic progress.It plays an important role in the economic development.Changes of international oil price affect good's price.Dollar is the price currency of international oil,it is affected by oil price,so as the RMB exchange rate.In recent years,under the background of economic globalization,information sharing and transmission has become more and more convenient.More and more studies focus on the fluctuation spillover effect.Up to now,researchers use simple linear regression method to describe the linkage between markets.There is hardly research on dynamic change relation between markets.This study will use VAR model to expound the correlation between international oil market and RMB exchange market.The study will use DCC-GARCH model to expound the dynamic correlation between two markets.With the rapid development of global economy,the uncertainty index of global economic policy fluctuates.Does the uncertainty of global economic policy affect the dynamic correlation between international oil price and RMB exchange rate?At the same time,will the dynamic correlation between international oil price and RMB exchange rate promote or restrain the uncertainty of global economic policy?This is the main problem to be explored in this study.Through theoretical research and empirical analysis,it is found that there is a high negative correlation between international oil price yield and RMB exchange rate yield.Using VAR(2)model to depict the correlation between two markets,it is found that the fluctuation of RMB exchange rate has a strong leading effect on international oil price,and the international oil price has a weaker leading effect on RMB exchange rate.Through DCC-GARCH model,it is concluded that the dynamic correlation coefficient between international oil price yield and RMB exchange rate yield is high and sustainable.It shows that there is a great dynamic correlation between international oil market and RMB exchange market.Using VAR(1)to analyze the impulse response of global economic policy uncertainty to the dynamic correlation between international oil price and RMB exchange rate,the global economic policy uncertainty will not affect the dynamic correlation,while the dynamic correlation between RMB exchange rate and international oil price is stable and strong,which will restrain the uncertainty of global economic policy.