The Relevance Research Between The Market Of Crude Oil And China's Exchange Rate

As one of the most important commodities in the world,crude oil price plays an important role in China's economic development,and its impact on China's economy is inseparable from exchange rate factors.Based on this,this paper examines and analyzes the correlation between China's RMB exchange rate market and international crude oil prices,in order to understand the interaction mechanism between financial markets and the impact of crude oil on China's economy for Chinese investors and governments.The department provides theoretical support for the development of risk management policies.This paper uses the Copula theory to study the correlation between the international crude oil market and the RMB exchange rate market from different four-stage time intervals.The Copula function is better able to capture the asymmetry and tail correlation between markets than the traditional correlation analysis method.Since the financial market data mostly has the characteristics of “spike and thick tail”,this paper firstly establishes the ARMA-GARCH model by using the RMB exchange rate and the international crude oil price logarithmic yield series for each time period to fit the edge distribution functions of the two sequences.The normalized residual of the edge distribution function is subjected to probability integral transformation to be converted into a(0,1)uniform distribution.Next,the parameter of the Copula function is estimated on the transformed new sequence,and the optimal function is selected by the GOF value.Finally,the tail correlation coefficient of the Copula function is calculated,and the correlation between the two financial markets is analyzed.The study has shown that there is a tail correlation between the international crude oil price and the RMB exchange rate.Especially in the event of a financial crisis or an unexpected event,the collapse of the crude oil price will cause the RMB to move in the same direction against the Euro exchange rate.Strengthening,and changes in China-EU relations will not have much impact on international crude oil prices.