Proceedings of the 5th International Conference on Social Sciences and Economic Development (ICSSED 2020)

Research on the Correlation Between Economic Policy Uncertainty, Exchange Rate, and Stock Market—Empirical Analysis Based on DCC and BEKK-GARCH Model

Authors
Bin Liu, Xiu-tong Liu, Shuo Zhang, Xiao-han Yu
Corresponding Author
Xiu-tong Liu
Available Online 2 April 2020.
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/).

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Volume Title
Proceedings of the 5th International Conference on Social Sciences and Economic Development (ICSSED 2020)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
2 April 2020
ISBN
978-94-6252-946-5
ISSN
2352-5398
DOI
10.2991/assehr.k.200331.052How to use a DOI?
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  -