Correlations between the currency market equity market based on B-N decomposition method

摘要

The exchange rate and equity division reform enhance the integration of the currency market and equity market. B-N decomposition method is used in this paper to decompose the original data of RMB exchange rate and CSI 300 index. Then this paper studies the long-term volatility relationship between the two markets by analyzing the long-term transitory components decomposed in different stages. Results show that the equity market waves earlier than the currency market in the short period, and owns different causalities during different stages in the long period. The government should pay attention to the monitoring of two markets in case of risk spreading.