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CAUSAL RELATIONSHIPS BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA AND THAILAND DURING THE 1997 CURRENCY CRISIS TURMOIL

Hussain, Huzaimi; Liew, Venus Khim-Sen - EconWPA - 2004

Using Granger (1969), Sim (1972) and Geweke et al. (1982) causality tests, this study finds a feedback causal relationship between exchange rate and stock price in Malaysia, whereas a unidirectional causal relationship running from exchange rate to stock price in Thailand. The stock markets of...

Persistent link: https://www.econbiz.de/10005556595

Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach

Chen, Shiu-Sheng - EconWPA - 2003

In this paper the interest rate-exchange rate nexus and the effectiveness of interest rate defence are investigated theoretically and empirically. We construct a simple theoretical model by incorporating Taylor rule in the model proposed by Jeanne and Rose (2002). Mixing the macroeconomic theory...

Persistent link: https://www.econbiz.de/10005062695

CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS

Herrero, Alicia Garcia; Rios, Antonio Diez de los - EconWPA - 2004

The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market...

Persistent link: https://www.econbiz.de/10005125554

The Contagion Effect of the Terrorist Attacks of the 11th of September

Leitao, Joao; Oliveira, Cristovao - EconWPA - 2005

In the context of interdependence of the financial markets, it becomes interesting to analyze the implications associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion mechanisms between the main international stock exchanges....

Persistent link: https://www.econbiz.de/10005076942

Equity Returns and Inflation: The Puzzlingly Long Lags

Lothian, James R.; McCarthy, Cornelia H. - EconWPA - 2003

This paper examines data for stock prices and price levels of 14 developed countries during the post-WWII era and compares their behavior in that sample with behavior over the past two centuries in the UK and the US. Contrary to much of the literature of the past several decades, we find that...

Persistent link: https://www.econbiz.de/10005556635

Cointegration and Forward and Spot Exchange Rate Regressions

Zivot, Eric - EconWPA - 1998

In this paper we investigate in detail the relationship between models of cointegration between the current spot … exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and … models of cointegration between st and ft more easily capture the stylized facts of typical exchange rate data than simple …

Persistent link: https://www.econbiz.de/10005119154

Linkages between Stock Prices and Exchange Rates in the EU and the United States

Stavarek, Daniel - EconWPA - 2004

This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run...

Persistent link: https://www.econbiz.de/10005134673

Foreign Capital, Inflation, Sterilization, Crowding-Out and

Singh, Nirvikar; Srinivasan, T.N. - EconWPA - 2004

This paper discusses some puzzles in the contemporary macroeconomic scene in India, from the perspective of public finance and economic development. These include a fiscal deficit higher than it was during the 1991 crisis, but without a large current account deficit or rise in inflation or...

Persistent link: https://www.econbiz.de/10005125512

The international diversification puzzle is not worse than you think

Julliard, Christian - EconWPA - 2003

This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how,...

Persistent link: https://www.econbiz.de/10005125551

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

d'Addona, Stefano; Kind, Axel H. - EconWPA - 2005

In this paper we use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post- war economies...

Persistent link: https://www.econbiz.de/10005134844

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