Research On The Comovement Of Exchange Rate Under The Impact Of International Major Events Among The Mainland,Hong Kong And Taiwan

Along with the economic globalization and the continuous advancement of financial liberalization,there are more and more significant synergies between countries(regions)in the foreign exchange market.With the protection of the relevant systems,the economic exchanges in mainland China,Hong Kong and Taiwan have begun to be gradual Frequent and speed up.Based on the research at domestic and abroad,this paper focuses on the exchange rate of currency exchange rate between three sides of the Taiwan Strait under the impact of major international events.This article through Granger causality test and TVP-VAR model to analyze the exchange rate system in 2005,when after the reform,a major event in the international financial market on the occurrence of the three places change caused by the return of exchange rate and foreign exchange market between the two sides of the three exchange rate volatility contagion spillover effect,and detailed Analysis on both sides of the three exchange rate linkage effect.The main work and conclusions are as follows:Firstly,analysis based on the Granger causality test method of exchange rate comovement effect on both sides of the three:(1)After the subprime crisis,the linkage of the three cross-strait exchange rate than before the subprime crisis,had a more significant relationship.(2)In the process of RMB internationalization speeding up,China's Hongkong region is still an important channel of infection,which has an impact on the mainland foreign exchange market.Secondly,based on the time-varying TVP-VAR model test method,the exchange rate effect analysis of the three sides of the Taiwan Strait:(1)Based on the analysis of time-varying volatility,compared with the European sovereign debt crisis and the impact of the British removal of Europe.The outbreak of the subprime mortgage crisis in the United States strengthens the relationship between the mainland foreign exchange market and the international foreign exchange market,and also strengthens the linkage of Hongkong and Taiwan exchange markets across the mainland.(2)Based on the time-varying impulse response analysis,although the RMB exchange rate internationalization process accelerated,but the U.S.dollar is still an important factor affecting the exchange rate fluctuations in Hong Kong and Taiwan.