Bivariate Causality between RMB Exchange Rate and Stock Price in China
After the reform of RMB exchange rate mechanism in 2005, the RMB exchange rate is appreciating gradually, and the stock price in China are also increasing contemporarily. On the one hand,the appreciation of RMB exchange rate stimulates the increase of share prices of banks, airline companies and the whole stock price index. On the other hand, stock price may influence exchange rate since investors wealth and money demand may depend on the performance of the stock market. This paper investigates the interrelations between exchange rates and stock market performances in China.Using various testing methods, including cointegration test, Granger causality test and impulse response analysis, our study reveals that the existence of short-run, bivariate causality between RMB exchange rate and A-share stock index. This bivariate causality does not exist between RMB exchange rate and B-share stock index.
RMB exchange rote Stock price Bivariate causality
YANG Xiaolan WANG Yizhong
College of EconomicsZhejiang University P.R.China,310027
国际会议
2008 International Conference of Management Science and Engineering(2008管理科学与工程国际学术会议)
河南焦作
英文
784-788
2008-11-01（万方平台首次上网日期，不代表论文的发表时间）