Research On The Transmission Mechanism Of The Impact Of RMB Exchange Rate Changes On Domestic Stock Markets

Since the reform and opening up,China's economy has developed rapidly.Now it is time for adjustment and transformation.With the development of the supply-side reform,our economy also reached the "new normal",and the reform of exchange rate marketization is also pushed on by the government.At the second half of 2016,our exchange rate is very unstable,in the meanwhile,the exchange rate market and the stock market fell sharply caused by RMB depreciation.Aiming at this phenomenon,we thought there may be some kind of transmission between exchange rate and stock price.Since the development of foreign stock markets was earlier than that of China,relations between foreign exchange rate and stock market have also been studied much earlier.Similarly,compared with domestic research,foreign exchange rate stock price research become more mature.However,most studies have also started in the middle of the 20th century.From the perspective of theoretical development,most of the initial studies focused on stocks or exchange rates themselves,and they focused on the macro and meso level.In general,through the study of different markets indifferent economies,from different perspectives,and the choice of different indicators and empirical methods,the results show diversity and diversity.This paper combines qualitative analysis with empirical analysis in research methods.In view of this,this paper analyzes the relations between exchange rate and stock market from both dynamic and static perspectives.It has theoretical and practical significance for the development of China's stock market.This article from a non-linear point of view,select the 2005-2017 time series samples to analysis.In the theoretical part,this chapter analyzes the transmission from two aspects.Firstly,the classical flow-oriented model and stock-oriented model are the earliest theoretical foundations of the stock exchange relationship.The stock-oriented model considers the movement of stock prices to pass.The conduction of capital projects ultimately has an impact on the exchange rate.The exchange rate devaluation policy can improve the current account in the countries who satisfy M-L conditions.Besides,the "J-curve" theory shows that there is a time lag in the transmission of trade.The interest rate theory base on the perspective of two models.The Gordon model describes the impact of interest rates on stock prices.Theory of interest parity shows the relation between interest rate and exchange rate.From the analysis of the stock exchange relationship,we can find that the conclusions drawn from different research perspectives show diversity characteristics.This paper uses VAR model and TVP-VAR model to do the empirical test.The results can be summarized as follows:Firstly,there is a negative correlation between the nominal effective exchange rate index and the stock price,that is,the appreciation of the RMB will cause the stock price to fall.This conclusion shows that the relationship between exchange rate and stock price in China meets the flow-oriented theory.Secondly,foreign exchange intervention and stock price are not related.Finally,the impact of foreign exchange intervention on stock prices has clear dynamic characteristics.