Empirical Research on the Relations among RMB Exchange Rate, Stock Price and Currency Market in China
This paper applies unit root and cointergration models to determine the appropriate Granger relations between stock prices and RMB exchange rate using updated data from the beginning of RMB exchange rate reform to the end of 2009. The results suggest a significant causal relation from the equity market to the foreign exchange market for China which is different from existing national studies. We also incorporate two other environmental factors, including money supply and real economic factor to examine their role on stock prices and exchange rate.Using various testing methods including a variance decomposition analysis and an impulse response analysis we draw the conclusions that money supply has little role on both stock prices and RMB exchange rate, while real economic factor in the long run can influence RMB exchange rate to some extent but no effect on stock prices.
dynamic linkage between exchange rate and stock prices China market VAR
ZHU Jianfang YANG Xiaolan
College of Economics, Zhejiang University, P.R.China, 310027
国际会议
威海
英文
91-99
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）