Empirical Analysis on Crude Oil Price with Stock Market and RMB Exchange Rate Based on VAR
In recent years,with the increasing in energy consumption,crude oil becomes one of the most im-portant energy sources for national development,and the changes in international crude oil prices have a significant impact on national macroeconomic regulation.Due to the impact of fluctuations in international crude oil prices on the physical industry,which in turn affects the development of financial markets,and the fact that international crude oil is generally quoted in US dollars,the foreign exchange rate of currency and stock returns are important indicators reflect financial assets of a country or a region.Based on the RMB foreign exchange rate,Shanghai Composite Index,the CSI 300 stock index,the FTSE China A600 stock in-dex and the international crude oil price WTI,the series is analyzed qualitatively and quantitatively firstly,i.e.ADF test for smoothness,Jonhansen cointegration and Granger causality test for variables.Secondly,the model is established by using the AIC criterion.Finally,the residual of the VAR model is tested for model evaluation.The analysis results show that there is a correlation between WTI crude oil price and RMB foreign exchange rate.Changes in crude oil prices will have a negative impact on the volatility of the Chinese stock market.The corrected WTI crude oil prices have a long-term equilibrium relationship with the RMB exchange rate and stock prices.The RMB exchange rate is less affected by the stock market and WTI crude oil prices,and changes in crude oil futures prices and RMB exchange rate fluctuations have a guiding effect on stock price fluctuations.
crude oil priceRMB exchange ratestock pricetime series
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