Interaction involving International Crude Oil Futures Prices, China's Stock and Exchange Markets

被引：0
|
作者：
Zhang, Yu [1 ]
Zhou, Zongfang [1 ]
机构：
[1] Mianyang Normal Univ, Sch Business, Mianyang 621000, Peoples R China
来源：
REGIONAL DEVELOPMENT AND RISK MANAGEMENT IN THE WEST OF CHINA | 2012年
关键词：
Financial Markets; VECM; Cointegration Test; Granger Causality Test; SHOCKS; US;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Based on the JJ cointegration test and Granger causality test, this paper discusses the relationship concerning international crude oil futures prices, SHCI and RMB nominal exchange rates after exchange rates regime reformation in China. The empirical results show that (1) a long-run equilibrium cointegrating relationship can be identified among international crude oil futures prices, SHCI and RMB nominal exchange rates, (2)on a long-term view, international crude oil futures price and SHCI are unidirectional Granger causalities of RMB nominal exchange rate, and (3) on a short-term view, there exists mutual Granger causality between crude oil futures price and SHCI, RMB nominal exchange rate is a unidirectional Granger causality of SHCI.
引用
收藏
页码：79 / 85
页数：7
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