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Exchange rates, bond yields and the stock market : nonlinear evidence of Indonesia during the COVID-19 period
Prananta, Billy; Alexiou, Constantinos - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 83-99
Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic. Design/methodology/approach - The authors employ a non-linear autoregressive...
Persistent link: https://www.econbiz.de/10014497076
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The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials : A Causality Analysis
Sosvilla-Rivero, Simon - 2011
This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)'s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...
Persistent link: https://www.econbiz.de/10013126999
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Dollar Bond, Foreign Discount and Exchange Rate Risk
Wang, Junxuan - 2023
In this paper, I examine the heterogeneous exposure of USD-denomination bonds (dollar bonds) to exchange rate risks. An … appreciation of the US dollar increases the credit spread differential, referred to as the Foreign Discount, between dollar bonds … its dollar bonds. The dollar home bias channel asserts that an appreciation of the US dollar reduces the risk …
Persistent link: https://www.econbiz.de/10014257383
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The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe
Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...
Persistent link: https://www.econbiz.de/10014500215
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Interdependence between foreign exchange markets and stock markets in selected European countries
Islami, Mevlud - 2008
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...
Persistent link: https://www.econbiz.de/10003836940
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Stock market co-movement and exchange rate flexibility : experience of the Republic of Korea
Pak, Yŏng-chŏl; Park, Hail - 2014
This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...
Persistent link: https://www.econbiz.de/10010351519
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Flight-to-Quality and Correlation between Currency and Stock Returns
Cho, Jin-Wan - 2012
In pair-wise analyses of a sample of 9 developed and 12 emerging markets, we find evidence that emerging country currencies are positively correlated with their stocks. Since return correlation between currency and its stocks has been shown to be weak or negative, this finding is somewhat...
Persistent link: https://www.econbiz.de/10013108993
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...
Persistent link: https://www.econbiz.de/10013072274
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Nexus between Crude Oil Price, Exchange Rate and Stock Market : Evidence from Oil Exporting and Importing Economies
Am, Muhammad Ashiq - 2017
The relationship between stock prices and macroeconomic variables like crude oil price, exchange rate, gold price, GDP, Inflation etc. have been widely studied in the context of developed countries and few studies on emerging and developing countries are also done. An attempt is made here to...
Persistent link: https://www.econbiz.de/10012963642
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Do Stock Markets Have Predictive Content for Exchange Rate Movements?
Chen, Shiu‐Sheng - 2019
This paper examines short-horizon exchange rate predictability and investigates whether stock returns contain information for forecasting daily exchange rate movements. Inspired by the uncovered equity parity condition, we show that stock return differentials have in-sample and out-of-sample...
Persistent link: https://www.econbiz.de/10012900301