Research On The Influence Of RMB Exchange Rate Fluctuation On Stock Market Industry Risk

Comprehensively deepening the reform of our country’s capital market will be an important starting point for the long-term development of the dual-cycle pattern,and risk prevention and control is the premise,especially to prevent the alternating infection of risks between different markets and prevent systemic financial risks.The foreign exchange market represents the overseas financial market,the change of the RMB exchange rate is the link connecting the internal and external circulation,and the stock market is the barometer of the economy and represents the domestic financial market.Therefore,it is of great significance to explore the impact mechanism of the change of the RMB exchange rate on the risk of my country’s stock market,which is conducive to our timely discovery and prevention of risks.The release of the 811 exchange rate reform announcement immediately caused the RMB to depreciate against the US dollar by 1.9%,and the suddenness of the exchange rate reform also caused market panic,led to capital outflows,and caused the stock market to continue to fall,increased the risk of the stock market.The exchange rate reform has made the RMB exchange rate in a two-way fluctuation state,the fluctuation range has become larger,and the RMB has become more market-oriented.So after the exchange rate reform,due to changes in the RMB exchange rate mechanism,has the impact mechanism of RMB exchange rate changes on stock market risks also changed? Since then,our country has also been promoting the process of RMB marketization and increasing the flexibility of the RMB exchange rate.However,in the past two years,both domestic and foreign market economies have been impacted by the COVID-19 epidemic.Has this impact mechanism also been impacted? Since different industries have different properties such as import and export dependence,they are also supported by the government in different ways.Therefore,the impact mechanism of RMB exchange rate fluctuations on the impact of stock market risks in different industries is also different.From the perspective of the industry,this paper will take the 811 exchange rate reform and the COVID-19 epidemic as the time nodes,divided into three time intervals,to study the influence mechanism of RMB exchange rate change on the risks of different stock market industries,and how this mechanism has changed under the impact of the exchange rate reform and the COVID-19 epidemic.This paper selects the daily data of the RMB/USD exchange rate central parity under the direct quotation method from June 22,2010 to December 31,2021 and the Wind industry index data,which are divided into three time intervals before the exchange rate reform,before the exchange rate reform and after the epidemic.Firstly,the GARCH(1,1)-Va R model is used to calculate the value-at-risk of each industry in the three stages,which is used to measure the risk of each stock market industry,and then use the three-stage RMB exchange rate change indicators and the risk value of each industry to establish a binary The SVAR model,through the impulse response function and variance decomposition analysis,studies the impact mechanism of RMB exchange rate changes on the stock market risk of various industries in three stages.The empirical analysis concludes that,first,the risk values of all industries except the energy industry have increased after the exchange rate reform,and the risk values of the telecommunications service industry have decreased after the epidemic,and are even lower than the risk values before the exchange rate reform.Secondly,the analysis of impulse response results shows that after the exchange rate reform,the var of each industry increases when it is impacted by RMB depreciation,indicating that the overall linkage mechanism of China’s stock market and foreign exchange market has been improved.Under the impact of the epidemic,this impact mechanism has changed,and the overall linkage mechanism between the two cities has been impacted.Third,after the exchange rate reform,the impact of exchange rate shock on the overall risk of the stock market and the risks of other industries except the energy industry increases,and the impact of foreign exchange market on the risk of the stock market increases.Fourthly,after the exchange rate reform and the epidemic,the response degree of var of virtual economy sector to the impact of exchange rate shock changes greatly.Fifthly,according to the variance decomposition results,after the exchange rate reform and the epidemic,the explanation degree of exchange rate changes for the industry’s var changes has increased.Finally,based on the conclusions,this paper provides some feasible suggestions for investors,enterprises in different industries and regulators.