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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
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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
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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
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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
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The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection
Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004
We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the success of interventions varies over...
Persistent link: https://www.econbiz.de/10005556654
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Purchasing power parity: an empirical study of three EMU countries
Duarte, António Portugal - EconWPA - 2005
-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …
Persistent link: https://www.econbiz.de/10005124909
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Purchasing power parity: an empirical study of three EMU countries
Duarte, António Portugal - EconWPA - 2005
-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …
Persistent link: https://www.econbiz.de/10005408164
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STOCK MARKET VALUATION IN THE UNITED STATES
BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
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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
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Equity Returns and Inflation: The Puzzlingly Long Lags
Lothian, James R.; McCarthy, Cornelia H.. - EconWPA - 2001
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/10005124935