Impact of the Adjust of the RMB Exchange Rate Elasticity on the Relationship between the Exchange Rate Market and Stock Market in China——Based on Long Memory VAR-(BEKK)MVGARCH Model
Taking the characteristics of ‘long memory’ and ‘high kurtosis and fat tail’ of financial time series into account,the long memory VAR-(BEKK)MVGARCH model with t distribution is proposed.Based on this model,the impact of the adjust of RMB exchange rate elasticity on the relationship between exchange rate market and stock market in China is empirical analyzed,using the daily data of RMB/USD exchange rate and Chinese stock market from August 1,2005 to October 10,2011.As empirical result shown,mean spillover effect is not very significant,but the unidirectional volatility spillover effect by exchange rate market to stock market in China exists significantly and presents dynamic changes.Although the adjust of RMB exchange rate elasticity did not change the feature of weak correlation between RMB exchange rate market and stock market in China,it gave short-term shocks to this correlation.Narrowing the RMB exchange rate flexibility enhanced the unidirectional mean spillover by stock market to exchange rate market while it weakened the unidirectional volatility spillover by exchange rate to stock market in China.In contrast,the increase in the RMB exchange rate flexibility could promote the bidirectional volatility spillover between exchange rate market and stock market in China.
NETL
NSTL
万方数据
维普
