Research On The Linkage Of China's Stock Market,Bond Market And Foreign Exchange Market

On December 17,2015,the United States began a new round of interest rate hikes.In order to resolve the negative impact of US interest rate hikes on China's economy,in December 2015 China proposed a supply-side reform task that included deleveraging.In the case of deleveraging,due to the lack of comprehensive consideration of the impact on the entire financial market and the response measures,China's financial market has experienced significant fluctuations in 2018.In 2018,the Sino-US trade war broke out.The external environment in which China is located has changed from relatively loose to severe and complex.Facing the complicated external environment,China should comprehensively and systematically consider the impact on China's financial market when formulating economic policies.The premise of this is to be able to understand the relationship between the financial sub-markets.Therefore,under the new market conditions,it is of great theoretical and practical significance to conduct in-depth research on the relationship between China's three major financial markets-stock market,bond market and foreign exchange market.This paper uses the GARCH model to fit the fluctuations of the financial time series,and then uses the Copula function to fit the combined joint distribution function to describe the relationship between the stock market,the bond market and the foreign exchange market.Specifically,the data were selected from August 11,2015 to December 28,2018,Shanghai Securities Composite Index(SSCI),China Bond Composite Index(Net Price)(CBAI),and RMB nominal effective exchange rate index.The tGARCH model fits the volatility of the logarithmic yield,and obtains the three edge distributions.Then the Gaussian,t,Gumble,Clayton and Frank Copula functions are used to establish the joint distribution function of the three,so as to obtain the upper tail correlation of the three.Coefficient,lower tail correlation coefficient,and comparative analysis of market performance.The research shows that:(1)Relationship between stock market and bond marketThere is a weak negative correlation between the stock market and the bond market.It shows that although there is a "seesaw" effect between the two,the effect is very weak;under the extreme market conditions,the linkage between the two has a tendency to strengthen;the relationship between the two has asymmetry,that is,the effect of bond price on stock market price is greater than that of stock market The impact of bond market prices.(2)Relationship between stock market and foreign exchange marketThere is a weak negative correlation between the stock market and the foreign exchange market.However,the negative correlation between the two is not obvious.The main reason is that the degree of marketization of China's foreign exchange market is relatively low,and the linkage between the two has been blocked.There is an asymmetrical two-way linkage between China's foreign exchange market and the stock market in the whole sample interval.With the increase of RMB fluctuations,the linkage effect between RMB exchange rate and China's stock market has first weakened and then strengthened.(3)Relationship between bond market and foreign exchange marketThere is a weak positive correlation between the two,and there is a certain correlation between the same rise and fall,and the correlation between the two ends is strong.The impact of the foreign exchange market on the bond market is greater than the impact of the bond market on the foreign exchange market.