Research on Risk Spillover Effect of Stock Market and Exchange Market before and after "8.11" Exchange Reform——Copula-CoVaR Model
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"8.11" new exchange rate reform plays a key role in the reform of RMB exchange rate formation mechanism.In this paper, GARCH (1,1) model and Copula-CoVaR model are used to change "8.11" into a boundary. Data from October 11, 2010 to July 31, 2015 and August 12, 2015 to September 29, 2017 are selected to measure the Risk Spillover Effect between stock market and foreign exchange market before and after the reform.The results show that before the exchange rate reform, the stock market has a positive risk spillover effect on the exchange market, and the spillover level is higher than the Risk Spillover Effect of the exchange market on the stock market.But after the exchange rate reform, although both sides still maintain a positive wind spillover, the Risk Spillover of the stock market to the foreign exchange market is smaller than the Risk Spillover of the foreign exchange market to the stock market.Overall, the risk Spillovers of both sides before and after the exchange rate reform remain relatively balanced.Based on the above conclusions, the following suggestions are put forward: the stock market should pay attention to the guidance of exchange market expectations, improve the exchange rate formation mechanism; strengthen the monitoring of international capital flows, coordinate financial supervision and cross-market supervision; develop financial derivatives can properly avoid risks.
Stock market, foreign exchange market, GARCH, Copula-CoVaR model, Risk Spillover.