An Empirical Study On The Asymmetric Effect Of International Oil Prices On The RMB Exchange Rate

Oil is an important basic energy.Since the Second World War,international oil prices have often experienced great ups and downs,and each large fluctuation of oil prices has brought about cyclical macroeconomic adjustment.With the gradual marketization of exchange rate policies around the world,the impact of oil price fluctuations on exchange rates has also attracted more and more attention.In the field of international economy,exchange rate has always been a topic of concern to many scholars.With the advent of economic globalization,the factors affecting exchange rate change tend to be diversified.Therefore,there are endless articles on the relationship between exchange rate and various economic variables,including the relationship between economic variables such as economic aggregate,inflation rate and exchange rate.However,with the deepening of research,the impact of international oil price fluctuation on exchange rate has attracted more and more attention.In view of China's long-term status as a major energy consumer in the world,it is of far-reaching significance to study the impact of oil price fluctuation on China's economy.Since October 1,2016,the RMB has been formally incorporated into the IMF Special Drawing Rights(SDR)currency basket.The RMB has also begun to become the focus of world attention.The linkage between the RMB exchange rate and the world economy has become a topic worthy of discussion.Therefore,the study of the impact of international oil price fluctuations on the RMB exchange rate has certain research value for China and the world.Taking international oil price shocks as the main line,this paper studies the impact of oil price shocks on the fluctuation of RMB exchange rate.This paper carries out an asymmetric Empirical Study on the change of international oil price to RMB exchange rate in two aspects.First,it studies the dynamic correlation between oil price and RMB exchange rate at the same frequency through GARCH-MIDAS model.Through empirical research,it is concluded that the correlation between oil price and RMB exchange rate will gradually increase during 2018,compared with 2017 and 2019.Next,the NALD model is introduced to analyze whether the rise or fall of international oil price has the same long-term and short-term impact on the exchange rate of RMB.Through empirical research,it is concluded that the rise of international oil price has a greater impact on the decline of the exchange rate of RMB,and the spillover effect is significant.At the same time,in the impulse response function diagram of NARDL model,we can see that the long-term and short-term effects of international oil prices on the exchange rate of RMB are also different.In view of the complex relationship between international oil price and RMB exchange rate,the Chinese government should pay attention to regulating domestic oil use,integrating energy use direction,establishing multi-energy channels,and creating a comprehensive and solid energy allocation system.By introducing new energy to cushion the tension caused by the oil crisis,the impact of oil price fluctuation on the RMB exchange rate will be reduced,thus protecting the security expectation of China's financial system;for the RMB exchange rate,the formation mechanism of RMB exchange rate should be improved,the government's control function should be adjusted,and a reasonable integration mechanism should be established through establishing market exchanges with the international economy to overcome it.The limitations of the current exchange rate formation mechanism make preparations for the internationalization of RMB.