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首页> 外文期刊>The North American journal of economics and finance >The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices
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The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

机译：油价冲击对股票市场的动态影响及美元/人民币汇率：来自默示波动性指数的证据

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摘要

Using daily data from March 16, 2011, to September 9, 2019, we explore the dynamic impact of the oil implied volatility index (OVX) changes on the Chinese stock implied volatility index (VXFXI) changes and on the USD/RMB exchange rate implied volatility index (USDCNYV1M) changes. Through a TVP-VAR model, we analyse the time-varying uncertainty transmission effects across the three markets, measured by the changes in implied volatility indices. The empirical results show that the OVX changes are the dominant factor, which has a positive impact on the USDCNYV1M changes and the VXFXI changes during periods of important political and economic events. Moreover, USDCNYV1M changes are the key factor affecting the impact of OVX changes on VXFXI changes. When the oil crisis, exchange rate reform, and stock market crash occurred during 2014-2016, the positive effects of uncertainty transmission among the oil market, the Chinese stock market, and the bilateral exchange rate are significantly strengthened. Finally, we find that the positive effects are significant in the short term but diminish over time.
机译：从2011年3月16日使用日常数据，到2019年9月9日，我们探讨了石油隐含的波动性指数（OVX）变化对中国股票隐含的波动率指数（VXFXI）的变化以及暗示的USD /人民币汇率的动态影响波动率指数（USDCNYV1M）更改。通过TVP-VAR模型，我们通过默示挥发性指数的变化来分析三个市场的时变不确定性传输效果。经验结果表明，OVX的变化是主导因素，对USDCNYV1M的变化和VXFXI在重要的政治和经济活动期间发生了积极影响。此外，USDCNYV1M的变化是影响OVX变化对VXFXI变化影响的关键因素。 2014 - 2016年汇率改革和股市坠毁发生时，石油市场，中国股市和双边汇率的不确定性传播的积极影响得到了大大加强。最后，我们发现积极效应在短期内很重要，但随着时间的推移减少。

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