A Study On The Dynamic Relationship Between International Oil Prices,rmb Exchange Rate And Chinese Stock Market

As the world’s largest importer and second largest consumer of crude oil,the importance of crude oil to China’s economic development is self-evident.In recent years,as the financial attributes of crude oil have become more prominent,the linkage between the international crude oil market and the financial market has deepened,and the relationship between crude oil and China’s stock market cannot be ignored in the study of the RMB exchange rate.This paper uses TVP-VAR model combined with time-varying impulse response function to explore the dynamic relationship between international crude oil price,RMB exchange rate and China’s stock market,to explore the information transmission between different financial markets,which helps investors to avoid investment risks and provides policy suggestions for regulators.This paper finds that the dynamic relationship between international oil price,RMB exchange rate and stock price changes with international economic and financial conditions,and the relationship between the three has time-varying characteristics.First,in terms of the interaction between international oil prices and stock prices,the empirical results show that there is a strong correlation between international oil prices and China’s stock prices.Before 2020,the impact of international oil prices on China’s stock prices is basically positive,but after 2020 the impact of international oil prices on China’s stock prices changes to negative.And China’s stock price has a positive pulling effect on international oil price.Second,in terms of the interaction between international oil prices and RMB exchange rate,in general,the correlation between international oil prices and RMB exchange rate is relatively weak.The impact of international oil prices on the RMB exchange rate was mostly negative until 2016,while after 2016,the impact of international oil prices degree the RMB exchange rate was largely positive.In contrast,the impact of the RMB exchange rate on international oil prices has been negative.Third,in terms of the interaction between the RMB exchange rate and stock prices,the impact of stock prices on the RMB exchange rate has significant time-varying characteristics in the short term and a relatively weak impact in the medium to long term.In addition,an increase in the RMB exchange rate leads to a decrease in stock prices.The time-varying characteristics of the impact of the RMB exchange rate on stock prices are not significant in the short run,while the time-varying characteristics are more significant in the medium and long run.Through the study of the dynamic relationship between international oil prices,RMB exchange rate and China’s stock market,this paper makes the following recommendations:first,China should gradually improve the crude oil futures market,improve its voice in the international crude oil market,and actively strive for the international pricing power of crude oil;second,continue to promote the marketization of exchange rate,insist on promoting RMB settlement,and accelerate the internationalization of RMB;third,investors should choose their investment portfolio according to the market changes Third,investors should choose their investment portfolios flexibly and formulate reasonable investment strategies based on market changes;fourth,China should vigorously develop new energy sources,actively seek alternative energy sources and reduce its dependence on crude oil.