Study On The Dynamic Interaction Relationship Between Shanghai Composite Index,International Oil Price And RMB/USD Exchange Rate

International crude oil,which can also be called "BLACK GOLD",is the indispensable black blood for the economic development of countries around the world.The amount of international crude oil resources not only symbolizes the state of a country’s economic strength,but also has great significance for world economic stability and economic growth.In recent years,with the continuous development of China’s industrial economy,the dependence on international crude oil has increased significantly,according to incomplete statistics,China’s dependence on international crude oil imports has exceeded 70%.However,due to the repeated coronavirus epidemic,geopolitics and the European energy crisis,the international crude oil market environment has become increasingly complex.In February 2022,the RussianUkrainian war broke out in Europe,and international oil prices rose rapidly,exceeding the all-time high of $100 per barrel.In this thesis,we select the daily closing price trading data of the Shanghai Composite Index,international oil prices and the RMB against the US dollar exchange rate from January 5,2009 to November 30,2022 in the Wind database,and take the logarithmic rate of return of the three as the data samples of this study.Because most of the existing literature studies the relationship between the above three,there is a lack of research on the dynamic interaction between the above three.Therefore,in view of this deficiency,this thesis uses the ternary VAR-BEKK-GARCH model to study the dynamic interaction relationship between China’s Shanghai Composite Index,international oil prices and the exchange rate of RMB against the US dollar,studies the mean spillover effect and volatility spillover effect between the three,and uses the impulse response function to explore the shock response relationship between the three,which has become a major innovation in this study.The results show that from the perspective of mean spillover,the exchange rate of RMB against the US dollar has a one-way mean spillover effect on the international crude oil price and the Shanghai Composite Index,and the international crude oil price has a one-way mean spillover effect on the exchange rate of RMB against the US dollar.From the perspective of volatility spillover effect,the exchange rate of RMB against the US dollar has a oneway fluctuation spillover effect on international crude oil prices and the Shanghai Composite Index.Moreover,after the Granger causal test,it is known that the change of the exchange rate of RMB against the US dollar will have a significant impact on the international crude oil price and the Shanghai Composite Index,and the fluctuation of the RMB against the US dollar exchange rate will affect the international oil price,and then affect the domestic Shanghai Composite Index.The above empirical research is of great significance,from the micro level,it can provide investors with a scientific and reasonable investment basis and reasonably avoid risks;From the macro level,it is conducive to China’s further improvement and reasonable financial market trading system,reduce the risk loss caused by international oil prices or large fluctuations,and then promote the optimization and upgrading of the domestic industrial structure,and promote the sustained,stable and healthy development of China’s economy.