The Impact Of Chinese Renminbi's Incluson In The SDR Basket On RMB Exchange Rate Volatility

With the advancement of the Belt and Road Initiative,the introduction of RMB crude oil futures,the RMB will also play an increasingly important role in international trade.In 2017,China's GDP accounted for 15%of the global total.Economic growth in the past five years contributed to more than 30%of the world's economic growth.China has become a global factory,its import/export trade has risen over the global share,and the use of RMB in international trade and international settlement has continued to increase.Promote.As China's economy continues to grow,the market opens steadily,and the financial system continues to mature,the renminbi has played an increasingly important role in the international arena.The stability of China's foreign exchange market and the internationalization of the renminbi have become hot spots in academic circles in recent years.On December 1,2016,the IMF formally announced that RMB will be included in the SDR basket,and that it will be included in the SDR basket as a percentage of 10.92%from October 1,2016.The inclusion of the renminbi in the SDR basket has enhanced the international influence of the renminbi and is an important milestone in the internationalization of the renminbi.Maintaining the stability of the renminbi exchange rate is conducive to the steady development of the international trade of Chinese enterprises and has an important impact on macroeconomic regulation and domestic financial stability.Studying the stability of the RMB exchange rate is the focus of research.The incident of the inclusion of RMB into the SDR basket has been a hot topic.Due to the relatively short time of inclusion,the research on the stability of the RMB after the official inclusion of the RMB is less affected at present.This paper attempts to study the possibility of the event.The impact of fluctuations in the exchange rate of the RMB,and from the perspective of the impact of the Chinese stock market on the fluctuation of the RMB exchange rate,to explore changes in the stability of the RMB exchange rate.This article uses the RMB dollar direct exchange rate mid-day yield and the Shanghai and Shenzhen 300 Index daily closing rate of return as indicators,with the December 1st,2015 IMF's announcement of the inclusion of RMB in the SDR resolution and the October 1st,2016 RMB officially included in the SDR.At the time node,the 730 data sets for the data period from July 30,2014 to November 30,2015 are selected as the sample group that incorporates the volatility spillover effect of the RMB exchange rate market before SDR,from October 10,2016 to January 30,2018 The 730-group data of Japan is a sample group that incorporates the volatility spillover effect of the RMB exchange rate market after SDR.Empirical analysis of the spillover effect of the yield series based on the BEKK-GARCH model and a comparative study of the effects of the US stock market yield on the volatility of the foreign exchange market..The sample data as a whole has good stability.After being substituted into the model,the results are analyzed through Eviews and Winrats8.0 software.First,before and after the RMB was included in the SDR,there was a significant clustering of the foreign exchange market and the RMB exchange rate,and there was a one-way spillover effect of the stock market to the foreign exchange market,indicating that the volatility of the Chinese stock market had an impact on the stability of the foreign exchange market.Second,after the SDR is included in the renminbi,the stock market and the foreign exchange market still have a large cluster,but the spillover effect of the Chinese stock market on the foreign exchange market weakened,indicating that the renminbi exchange rate is less affected by fluctuations in the Chinese stock market,and the renminbi exchange rate is included in the SDR.After more stable.Third,there is a volatility spillover effect on the foreign exchange market in both the Chinese stock market and the US stock market.However,with the inclusion of the RMB in the SDR,the impact of the Chinese and US stock markets on the exchange rate fluctuation of the RMB has weakened,and the impact of the Chinese stock market has attenuated more significantly.Fourth,after the renminbi was included in the SDR,fluctuations in the exchange rate of the US dollar did not have a significant impact on the US stock market,but the impact on the Chinese stock market began to show signs.In summary,after the inclusion of RMB in SDR,the stability of the foreign exchange market has been enhanced.At the same time,the influence of the foreign exchange market has also improved the domestic market.However,the influence on the international market still needs to be improved in the future.This article first introduces the research background and significance,and then theoretically analyzes the related theories that explain the possible causes of fluctuations in the research,then introduces the indicators and data selection,and discusses the data and model processing methods.Then,through the BEKK model and software,the specific calculation results are obtained and analyzed.Finally,the conclusions are elaborated,and the deficiencies and future research prospects are introduced.