Study On The Effect Of RMB Exchange Rate And Volatility Spillover In A-share Market

In recent years,as countries gradually relax financial controls and allow more smooth flow of international capital,the relationship between exchange rate and stock price has become increasingly significant.As a potential developing country on the international stage,China is increasingly closely connected with the international capital financial market.Moreover,both the foreign exchange market and the stock market are very sensitive to information transmission.The drastic fluctuation of exchange rate and stock price will inevitably have a negative impact on China's economy,and the volatility spillover effect of risk transmission between the two cities will also make the real economy significantly affected.Ring.Therefore,it is urgent and necessary to construct an econometric model to study the volatility spillover effects of the exchange and A-share markets.Firstly,on the theoretical mechanism of volatility spillover effect between foreign exchange market and stock market,this paper studies whether the exchange market and stock market have one-way volatility spillover effect or two-way volatility spillover effect,and gives qualitative conclusions.Then,in order to lay a theoretical foundation for empirical research in Chapter 3,the applicability of stochastic volatility(SV)model and Markov Chain Monte Carlo(MCMC)method to volatility measurement will be studied in Chapter 2,and the superiority of Markov Zone Transform Vector Autoregression(MS-VAR)model in studying volatility spillover effect will be analyzed.Secondly,in the empirical study,firstly,the statistical characteristics of the data are analyzed,that is to say,the selected data and variables can be used to construct SV model.Secondly,the volatility of RMB exchange rate,Shanghai composite index and Shenzhen index return is depicted by using SV family(SV-N,SV-T,SV-MN,SV-MT)models,and the best fitting model is selected according to DIC criteria.The Bayesian estimation results of the model analyze the volatility characteristics and volatility spillover effects of the foreign exchange market and the stock market.Finally,the MS-VAR model is used to study the volatility spillover effect of foreign exchange market and stock market under two different zones.Firstly,the appropriate explanatory variables and the explanatory variables are selected and the selected variables are defined.Secondly,the data are tested by ADF unit root test,Johansen cointegration test and Granger causality test,which are the pretreatment of the data,in order to empirically test MS-VAR.The model can be constructed.Thirdly,the MSIH(2)-VAR(1)model of two-zone system is constructed by analyzing the MS-VAR model.The estimated results of the model,the estimated results of the zoning and transfer probability of MSIH(2)-VAR(1)model and the zoning probability map are obtained.The corresponding economic periods under two different zoning systems and the volatility transformation between stock market and foreign exchange market under different zoning systems are studied.And volatility spillover effect.On this basis,impulse response analysis is carried out to study the impact of RMB exchange rate,Shanghai Composite Index,Shenzhen Cheng Index and Shanghai Interbank Overnight Interest Rate in the whole sample interval.Finally,according to the different conclusions of the empirical analysis,the paper puts forward targeted countermeasures and suggestions.Firstly,we should improve the reform ofRMB exchange rate formation and management mechanism,and pay attention to preventing the market fluctuation caused by exchange rate changes in the process of RMB exchange rate reform;secondly,we should improve the formation and management mechanism of stock market prices,supervise listed companies and change the way of regulating and controlling stock market;thirdly,we should play the role of intermediary and bridge of interest rate and realize the real marketization of interest rate;fourthly,we should improve the mechanism of stock market price formation and management Strengthen the anti-risk ability of A-share market and reduce the degree of exchange rate imbalance.