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RMB exchange rate and price linkage Empirical Analysis

Author: HouYanBin
Tutor: ZhangYuQin
School: Yunnan University of Finance
Course: Finance
Keywords: Nominal effective exchange rate Share price Granger causality test Cointegration
CLC: F832.6;F832.52
Type: Master's thesis
Year: 2010
Downloads: 245
Quote: 0
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Abstract


Revalue its currency in the world this context, to strengthen the RMB exchange rate and China correlation between stock price studies, both deepen the exchange rate and stock market prices and the interaction between the intrinsic knowledge of the mechanisms, but also to take measures avoid currency appreciation impact on the economy and provide only suggestions. So study the RMB exchange rate and China's stock market price correlation has important theoretical and practical significance. This paper first reviews the foreign exchange rate and stock prices on the relevance of the literature, followed by the exchange rate and stock price correlation theories were systematically collate and summarize, then use the vector autoregression model of RMB exchange rate and China stock market prices cointegration analysis carried out to establish the vector error correction model (VECM), conducted a Granger causality test. This comparative study of the RMB exchange rate reform in 2005 before the outbreak of the subprime crisis before and after the outbreak of the subprime crisis, comparative study of these three cases and reached RMB nominal exchange rate and stock market relevance of the different characteristics. The results showed that: (1) exchange rate reform, the RMB exchange rate and the stock market index is not cointegrated. (2) exchange rate reform and completely before the outbreak of the subprime crisis, the nominal effective exchange rate and the stock index exists between cointegration; both in the short and long term, the nominal effective exchange rate, are the changes in the Shanghai index Granger reason; while the Shanghai index does not affect the exchange rate in the short term, but in the long term to a certain extent is the Granger cause changes in the RMB exchange rate, which, the Shanghai Composite price volatility greatest impact on the exchange rate; (3) After the subprime crisis, the RMB nominal effective exchange rate and the inverse relationship between price, the nominal effective exchange rate and stock price cointegration relationship exists between long-term, while the yuan's nominal exchange rate is the price of Granger causality. Finally, the use of exchange rates and stock prices relevance of the basic theory, combined with China's actual, empirical conclusions on in-depth analysis and interpretation of research findings reveal the deep-seated reasons behind the case; and from foreign exchange management system, the stock market building, interest rate reform and other aspects of policy recommendations. This analysis, when compared with other similar studies, based on a more general basis of the analytical framework, and follows from the general to the particular analysis of logic; empirical research, highlighting the RMB exchange rate reform and the impact of the subprime crisis. Conclusions with a strong theoretical and practical significance.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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