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This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...
Persistent link: https://www.econbiz.de/10011649295
While the trade channel indicates that an exchange rate depreciation will stimulate domestic economic activity, the financial channel can have the opposite effect. When banks and non-banks have foreign currency liabilities, an exchange rate depreciation has valuation effects that can lead to a...
Persistent link: https://www.econbiz.de/10012977169
In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...
Persistent link: https://www.econbiz.de/10012950808
This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...
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- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …
Persistent link: https://www.econbiz.de/10009743539