上证指数与美元指数联动效应分析

Analysis of linkage effect between Shanghai StockIndex and US Dollar IndexAbstractThe dollar's status as not only the world's leading reserve currency,but also acommodity-denominated currency,and changes in its index will have lasting effectson the international economic and political landscape,as will China's stock market.As an important country in the global economy,China needs to seriously faceeconomic shocks and fluctuations and actively promote economic integration with therest of the world.One of the things we need to think about is how to better use thedollar index to manage risk,which is critical to the internationalization of therenminbi.Studying the relationship between the dollar index and the Shanghai StockExchange Index is of great significance for the correct formulation of macroeconomicpolicies and risk aversion of investors.From the perspective of the correlationbetween the dollar index and the Shanghai Composite Index,the paper discusses theinteraction between them.Firstly,the influencing factors between stocks and exchange rates are studied andanalyzed,and the mutual transmission mechanism between them is explored.Secondly,the selected data are described in detail,and 120 monthly data from 2013 to2023 are selected for empirical analysis using the VAR model,revealing therelationship between the US dollar index and the Shanghai stock index.Beforebuilding the model,we perform a stationary and cointegration test on the two selectedsets of data,which is the basis for building the model,and after determining that themodel can be built,select the best number of hysteresis to build the model.After themodel is established,we check the stability of the model and find that the modelworks well.Then we perform the relevant linkage effect test analysis through themodel test results to ensure the reliability and accuracy of the results.The methodsused in this linkage effect analysis are Granger causality analysis,impulse responseanalysis,and variance decomposition.The results show that the Shanghai CompositeIndex has a certain impact on the US Dollar Index,but the impact of the US DollarIndex on the Shanghai Composite Index is negligible.In the end,we conducted adetailed analysis of the results and made recommendations for the Chinese stockmarketKeywords:Shanghai Stock Exchange Index;United States dollar index;