| Historically,the sharp fluctuations of exchange rate were accompanied by stock market turbulence according to the domestic and foreign experience.There is an internal relationship between exchange rate volatility and stock price.The goal of China's exchange rate regime reform is to implement a flexible exchange rate system and realize the two-way fluctuations led by the market.With the improvement of China's opening-up policy and the deepening of market-oriented reform,the linkage between financial markets has become more and more significant and the stock price will be increasingly affected by exchange rate volatility.In this context,studying the correlation between exchange rate volatility and stock prices is of great significance for maintaining financial stability and preventing systemic financial risksThis thesis studies the correlation between exchange rate volatility and stock price from the perspective of transmission mechanism by combining theoretical study with empirical analysis.The theoretical part mainly analyzes the influence factors of exchange rate volatility and stock price,the relationship between exchange rate and stock price,and the mechanism of exchange rate influencing stock price through interest rate,money supply,international trade,international capital flow and psychological expectation.The empirical part is based on the data from August 2005 to December 2019.First,using IGARCH model to calculate the value of exchange rate volatility.Then,using vector autoregressive model with time-varying parameters(TVP-VAR model)to study the time-varying transmission effect of interest rate channel,money supply channel,international trade channel,international capital flow channel and psychological expectation channelThe main conclusions are as follows:(1)In terms of the influence degree,the interest rate channel is the most influential channel among the five transmission channels,while the money supply channel is the least.(2)In terms of the direction of influence,the direct effect of exchange rate volatility on stock price is negative.The indirect effect of exchange rate volatility on stock price is also negative,except for the international capital flow channel and money supply channel which is difficult to determine.The transmission medium strengthens the effect of exchange rate volatility to a certain extent.(3)The indirect effect of exchange rate volatility on stock price is time-varying,with different effects at different time intervals and at different time points.Finally,based on the conclusion of theoretical and empirical research,this thesis puts forward corresponding policy suggestions from the perspectives of foreign exchange market,stock market and transmission intermediary,which can provide some reference for monetary authorities. |
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