Research On The Impact Of Exchange Rate Fluctuation On Stock Prices

As one of the core variables of open economy,exchange rate plays an important role in a country's national economy and foreign economic relations.From the macro level,exchange rate is an important lever for foreign trade market regulation,which guides the flow direction of international capital and affects the domestic price level.From the micro level,exchange rate on the performance of foreign trade companies,assets and decision-making has a significant impact.Paying attention to and analyzing exchange rate changes can help us understand the trend of macroeconomic situation and measure the exchange rate risks faced by companies,industries and countries.China's stock market is in the process of transition to market economy,which is an emerging market.Although since May 2005,the stock market in China began to implement such as a series of reform of non-tradable shares market measures,but is still in a series of fluctuations in the stock market,the main body in market self-discipline and mutual restriction mechanism has not yet fully formed.Chinese stock mechanism are not perfect,lack of corresponding risk aversion mechanism and comparison in terms of risk resistance ability is poor.Therefore,in the process of reform of exchange rate system in our country,the need to effectively control the influence of the domestic stock market exchange rate risk,achieve the smooth and healthy development of the economic and financial.Firstly,this paper sorts out the literature on the dynamic relationship between exchange rate fluctuations and stock prices from different perspectives at home and abroad,and then introduces the development of China's exchange rate system and stock market,and the TVP-VAR model is used to analyze the stock exchange market,and the influence of exchange rate fluctuations on the stock market is studied through the bilateral nominal exchange rate of RMB against us dollar on China's Shanghai composite index and shenzhen composite index.According to the three variables of time-varying characteristics of stochastic volatility and the specific time of impulse response function and interval time-varying impulse response graph analysis it is concluded that the RMB exchange rate change on the stock price in our country has significant conclusions dynamic time-varying characteristics.At the micro level,it hopes to provide reference for investors and enterprises in investment and financing.At the macro level,it hopes to provide suggestions for the policy regulation of China's financial regulatory departments.