Research On The Impact Of American Rate Adjustment On RMB Exchange Rate And Domestic Stock Price

With the deepening of the process of economic globalization,merchandise trade and capital flow in various countries have become more frequent and the international economic and financial environment has gradually become an indivisible whole.Since US dollar is the dominant currency in the world,American interest rate policy adjustments will inevitably affect the policy choices of other economies.From 2015 to 2017,the Federal Reserve has raised the federal benchmark interest rate five times in a row,and adjusted the benchmark interest rate range to 1.25%-1.5%.Under the context of the continuous opening up of China and the structural slowdown of domestic economic growth,adjustment of the U.S.interest rate policy will inevitably have a far-reaching impact on China's economic development.Therefore,it is of great practical significance to study the impact of American interest rate shock on China's economy.This article uses theoretical analysis and empirical analysis together to analyze the impact of American interest rate shocks on the RMB exchange rate and domestic stock prices.First of all,we have constructed an Open-economy Dynamic Stochastic General Equilibrium Model(DSGE)that includes households,firms,foreign exchange markets,capital markets and the central bank.Secondly,the DSGE model parameters and the steady-state values of the variables are selected based on the actual economic data and relevant literature studies.The effects of the US interest rate increase on China's economy are analyzed by simulating the reaction of Chinese economic variables under the positive impact of foreign interest rates.Finally,based on the monthly data from January 2002 to December 2017,VAR model is used to empirically analyze the spillover effect of the US interest rate shocks on China's economy.The research results of this paper are as follows:(1)The numerical simulation based on the DSGE theory model shows that the interest rate increase in the United States will lead to the rise of interest rates and exchange rates in our country and the decrease of the stock prices;the relative volatility of domestic interest rates is relatively low,while the exchange rate of RMB and stock prices relative to the domestic output The level of volatility was significantly higher than other economic variables,(2)Empirical research based on VAR shows that the rate hike in the United States causes the Chinese economy to have an inflationary effect in the short term;the RMB exchange rate devaluation in the short run and a slight appreciation in the mid and late period;and the stock price in China under the impact of the rate hike in the United States In the short term,the volatility around equilibrium will show a downward trend in the middle and late periods.Based on the conclusion of this article and the current domestic and international economic situation,this paper puts forward some suggestions on accelerating the optimization and adjustment of economic structure,deepening the reform of the RMB exchange rate formation mechanism,perfecting macro prudential management,promoting RMB internationalization and enhancing the risk prevention capability of capital market policy suggestion.