From the very beginning, this article makes a brief exposition of the relationship and the transmission mechanism between interest rate, exchange rate and stock price. As to the empirical part, we establish the TVP-SV-VAR model to figure out the correlation between the interest rates, exchange rates, and stock prices by using the monthly data from July, 2005 to December, 2017 in China. The results show that the volatility of the stock price under the impact of interest rate has time-varying features and structural changes, the volatility of the exchange rate has time-varying features under the influence of stock index variables, and the Shanghai Composite Index has time-varying features under the impact of exchange rate, but it has a less significant effect between with them. In conclusion, we analyze the reasons for this phenomenon by combining with the reality in China, and give some suggestions.
Exchange Rate; Interest Rate; Stock Market; TVP-SV-VAR model
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