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The Dynamic Elastic Analysis of RMB Exchange Rate and Stock Price Changes Based on Variable-parameter Model

Author: XuXiaoQing
Tutor: LiYing
School: Northeastern University
Course: Finance
Keywords: Exchange rate of RMB Stock price Dynamic elastic analysis Variable-parameter model
CLC: F832.6;F224
Type: Master's thesis
Year: 2010
Downloads: 40
Quote: 0
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Abstract


Foreign exchange market and stock market as two important components in the financial market had a significant impact on the financial market and the development of the national economy. As the world economy and financial openness increasing, the integration of the international financial market gradual deepening, the correlation between the stock market and foreign exchange market is strengthening. July 21,2005, after the exchange rate system reform, our country started taking marketplace supply and demand as basis, reference basketful currency adjusting, having the administrative floating rate. At the same time, stock split share structure reform introduced, realized stock market circulation. Policy changes had a tremendous impact on foreign exchange and stock markets. Correlation between them has also attracted wide attention, whether and how impact on the stock exchange market becomes the focus of general attention in academia circles. It is in this context, I studied the subject.In the study, this paper refers to a number of related literatures, the history of the subject changes and analyzed the current research are, described the research scholars and method.On this basis, the author established a framework of this study, to collect the exchange rate of RMB/USD, the Shanghai composite index and index of related industries. First, ADF tests on the data to test the stationary variables, then co integration test, obtained long-term co integration between variables, and finally establish the variable parameter model to study the specific influence between variables and draw conclusions. The empirical study, obtained the degree of exchange rate impact on the stock market provide a reference for policy-makers and market participants.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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