Research on the Correlation Between Economic Policy Uncertainty, Exchange Rate, and Stock Market—Empirical Analysis Based on DCC and BEKK-GARCH Model
- DOI
- 10.2991/assehr.k.200331.052How to use a DOI?
- Keywords
- economic policy uncertainty, exchange rate, stock market, DCC-GARCH model, BEKK-GARCH model
- Abstract
Based on the monthly data from January 1995 to June 2018, taking the uncertainty index of China’s economic policy developed by Scott Baker and others based on South China Morning Post, the exchange rate intermediate price of US dollar against RMB and Shanghai Securities Composite Index as the research objects, establishing three-variable DCC and BEKK-GARCH model to study the dynamic correlation and the volatility spillover effect among economic policy uncertainty, exchange rate and stock market. The results show that the correlation coefficient among the economic policy uncertainty, exchange rate and stock market fluctuates greatly and has time-varying characteristics, and the linkage between exchange rate and stock market is the highest, followed by the linkage between economic policy uncertainty and stock market, and the linkage between economic policy uncertainty and exchange rate is the lowest. In addition, there exists one-way volatility spillover effect from economic policy uncertainty to RMB exchange rate, two-way volatility spillover effect between economic policy uncertainty and stock market, and one-way volatility spillover effect from stock market to RMB exchange rate.
- Copyright
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Bin Liu AU - Xiu-tong Liu AU - Shuo Zhang AU - Xiao-han Yu PY - 2020 DA - 2020/04/02 TI - Research on the Correlation Between Economic Policy Uncertainty, Exchange Rate, and Stock Market—Empirical Analysis Based on DCC and BEKK-GARCH Model BT - Proceedings of the 5th International Conference on Social Sciences and Economic Development (ICSSED 2020) PB - Atlantis Press SP - 242 EP - 246 SN - 2352-5398 UR - https://doi.org/10.2991/assehr.k.200331.052 DO - 10.2991/assehr.k.200331.052 ID - Liu2020 ER -