Research On The Impact Of International Crude Oil Price On RMB Exchange Rate

At present,two prices have become the focus that the international community pays close attention to.One is the international crude oil price,and the other is the exchange rate.Since the Second World War,international crude oil prices have experienced large fluctuations.The instable prices of crude oil have greatly increased the uncertainty and risk of global economic development,and also hindered the development of the real economy.As a country with large energy consumption,China 's crude oil dependence on foreign countries has been increasing in recent years.By 2009,the number has reached 51.3%,exceeding the 50%of international warning line for the first time.Two years later,China 's crude oil dependence surpassed that of the U.S.for the first time,reaching 56.5%.After that,the number has also been unceasingly climbing.According to the forecast of the United Nations International Energy Agency,the dependence of foreign crude oil imports will further increase by 2035 in China,rising to 84.6%.Undoubtedly,excessive dependence on foreign countries will make China's macro economy more sensitive while confronting with the impacts of international crude oil prices.In addition,the continuous advancement of RMB internationalization makes RMB exchange rate more flexible,which accelerates the market-oriented reform in China.Therefore,the flexibility and amplitude of the fluctuation of RMB exchange rate will be further enlarged.Based on this background,what are the impacts the international crude oil price shocks on the RMB exchange rate?What is the conduction mechanism through which this effect is transmitted?Is it negative or positive?Is it time-varying?These issues are worth investigating.That is the basis that we can predict the impact of the RMB exchange rate before the next international crude oil price shock,so that we can take targeted measures to mitigate the impact of international crude oil price shocks on the RMB exchange rate.This article first clarified the selection background and research significance of present study,and then read and analyzed a large number of domestic and foreign scholars'research related to this topic.Based on the existing research,we could be confirmed that the two economic variables "international crude oil prices" and "RMB exchange rate" were not independent with each other.Instead,there existed a certain relationship between them.Based on the previous research findings,the existing deficiencies were found,and then innovation could be made in areas that could be improved through qualitative and quantitative analysis methods.First,based on the fundamental theories that international oil prices affected RMB exchange rates,the transmission mechanism of international oil prices affecting RMB exchange rate were analyzed.Besides,the impacts of how international crude oil prices affe'cted RMB exchange rate were sorted out through three intermediaries:economic growth,price levels,and balance of payments.The present study selected the monthly data from July 1998 to October 2019 as the research object under empirical analysis.The TVP-SV-VAR model was innovatively constructed to analyze the direct time-varying impact of international crude oil prices on RMB exchange rate.Time-varying impulse response analysis was adopted to study the effects of international crude oil prices on the RMB exchange rate at first during different time intervals,that is,short-term,medium-term,and long-term conditions.Then this analysis was also applied to study the impact of international crude oil prices on the RMB exchange rate at different time points.Finally,the present study revealed that impact of price on RMB exchange rate were time-varying,mainly presenting in the forms of negative effects.The effects from 1998 to 2016 were mainly negative because the increasing of international crude oil prices caused the appreciation of the RMB exchange rate.Since 2016,the negative effects between the two weakened,and even reversed to be positive.That is to say,the rise of international crude oil prices caused the depreciation of the RMB exchange rate..Under the three representative points in July 2005,August 2008,and June 2014,the rise of international crude oil prices resulted in the appreciation of RMB exchange rate.However,these two negative effects were different.Then the intermediary effects of the above three intermediary variables "economic growth,price level and trade surplus" were analyzed by constructing the intermediary effect model.The empirical results of the intermediary variables showed that the economic growth,price levels,and trade surplus all had significant intermediary effects on the RMB exchange rate.After calculation,the intermediary effects of the three impact paths were 34.05%,35.5%,and 15.9%respectively.Then the TVP-SV-VAR model was constructed to deeply analyze the indirect time-varying impact of international crude oil prices on RMB exchange rate,which resolved deficiencies and errors of static analysis caused by the invariance of the traditional measurement model parameters.And thereby the time-varying dynamic impact of international crude oil price shocks on the RMB exchange rate could be accurately portrayed.By analyzing the time-varying characteristics of the impact of the three channels of economic growth,price levels,and international payments on the RMB exchange rate,the present study learned that the international crude oil prices and the influence coefficient of the intermediary variable on the RMB exchange rate were not in a long-term stable state as time went by.Whether in the direction or in the degree,the impacts both feathered with a strong time-varying relationship.At the end of this thesis,according to the conclusions of the present study,constructive policies were proposed correspondingly,which could effectively alleviate the impact of international crude oil price shocks on the RMB exchange rate.