The Empirical Study Of The Rmb Exchange Rate And Stock Price Relation

As the pace of accelerate of global economic integration, financial deepening degree rise ceaselessly, foreign exchange market and the capital market is more and more close connection. Exchange rate is the local currency and foreign currency exchange price, is a response of foreign exchange market supply and demand. The price of the stock is the domestic capital market and national economic indicator, response to domestic economic development situation. With the economy opening degree to rise ceaselessly, the exchange rate and the stock price linkage relations are getting more and more important, as the two important price level, are the monetary authorities to develop economic decision-making important basis, but also to measure a country’s economic strength of the key indicators. Especially for the ongoing reform of financial market and financial market reform is still not mature countries, studies the relationship between them is significant.According to the theory, empirical as the main line, on the RMB exchange rate and stock price in China is the relationship of carding, exchange rate and fluctuation of stock price between the conduction mechanism, study how the two through interest rate, monetary supply, international capital flow and the psychological expectations and other intermediary variables conduction from July21,2005, the RMB exchange rate reform2011to June this period of monthly data, and in2007October the Chinese stock market crash for the sector, divided into two periods before and after. For the first time series data of ADF unit root test, then according to the different time for RMB exchange rate and its corresponding SSE Composite Index and Shenzhen composite index between the cointegration test, finally by Grainger Granger causality analysis causal relationships among them. Application of time series method to examine the empirical analysis of financial crisis and economic situation, studies the interaction between them.Through theoretical and empirical analysis, the paper draws the following conclusions: the RMB exchange rate and stock prices in the financial crisis before and after the two stage, there are long term stability cointegration relationship, before one phase of the exchange rate of RMB is the stock price, in a later stage of the two are two-way causal relationship. As RMB exchange rate marketization steadily, exchange rate and the stock price of the interaction between increasingly remarkable. Combining empirical research conclusions, this paper argues that China’s exchange rate formation in the presence of certain unreasonable, the development of the stock market is not mature, between the two transmission mechanisms is not fully play the role of. In order to promote China’s foreign exchange market and the stock market healthy and harmonious development, realize the benign interaction between exchange rate and stock price, the need to further improve the exchange rate and interest rate of market mechanism, accelerate the improvement of different levels in our country stock market, while strengthening the supervision of international capital flow, guide the formation of reasonable expectation.