In this paper we investigate the nature of the relationship between stock prices and spot exchange rates using recent developments in time series modelling. We are able to explain why traditional econometric techniques show little correlation between bilateral exchange rates and stock prices....

Using a panel data set of bilateral export flows from 12 European Union (EU) countries to 20 Organisation for Economic Co-operation and Development (OECD) trading partners over the period 1992-2003, a panel cointegration approach to estimating the gravity model is adopted to test for the...