Research On The Dynamic Relationships Between RMB Real Effective Exchange Rate And Shanghai Composite Index

Against the backdrop of deepening economic globalization and increasing uncertainties in the growth of the world economy,there are stronger linkage effects and far-reaching interactions among the world's economies.The threat of global trade frictions has increased,and financial companies The links between markets are closer than ever.This not only brings more development opportunities,but also makes the linkage between financial sub-markets easier to transfer risks across markets and countries.Therefore,preventing systemic financial risks has become an eternal theme for countries to maintain stable economic development.China's financial market is relatively new,foreign exchange market and the stock market are important components of it,the RMB exchange rate and the stock price index are taken as the prices of these two financial markets,respectively.With the increasing marketization and openness of China's financial market,the relationship between the two is getting closer and closer,and the forms of risk and the transmission mechanism faced in economic development are more complicated.Therefore,accurately grasping the dynamic relationship between the two under the entire macroeconomic system is of great significance for preventing systemic financial risks and promoting the stable operation of China's macroeconomics.Based on this background,combined with literature and theoretical analysis,this paper selects two core indicators of the RMB real effective exchange rate and the Shanghai Composite Index,and introduces short-term international capital flows and broad money supply as intermediary transmission variables.From June 2001 to June2019 The monthly data of the above four economic variables are used as research samples.The SVAR model is used to analyze the internal economic relationship between the variables and characterize the path and proportion affected by the random disturbance interference term.Then,the variables are combined with each other under the SVAR model.The quantile regression method is used to analyze the heterogeneous effects of exchange rate prices and stock prices at different quantile points.The empirical research results show that:(1)There exists a long-term equilibrium relationship between the two core indicators.These two are positively related,the impact of foreign exchange markets on the stock market is deeper,but this relationship is relatively weak.(2)After the �8.11 New Exchange Reform� in 2015,the short-termeffects between these two have become more complicated,with asymmetric effects being significant,and the impact of the foreign exchange market on the stock market has become more flexible.(3)The transmission mechanism between the two core index is not smooth enough.The intermediary transmission of international short-term capital flows has become more and more important,but the transmission path using the money supply as an intermediary variable is not smooth.(4)The relationship between the two core indicators in China is unstable.The dynamic relationship between the two markets has changed in both the degree and direction at the high quantile level.Finally,combined with the research conclusions of this article,this paper put forward some suggestions at the end of the article.It is recommended to deepen the reform of the RMB exchange rate mechanism,improve the construction of the stock market system,closely monitor short-term international capital flows,coordinate and coordinate macro-control policies Guide investors to form reasonable psychological expectations.