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Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach

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Does greater exchange rate flexibility affect interest rates in post-crisis Asia?

Chow, Hwee-kwan; Kim, Yoonbai - In: Journal of Asian economics 17 (2006) 3, pp. 478-493

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Effects of interest rate, exchange rate and their volatilities on stock prices : evidence from banking industry of Pakistan

Jawaid, Syed Tehseen; Ui Haq, Anwar - In: Theoretical and applied economics : GAER review 19 (2012) 8, pp. 153-166

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Determinants of the CNY/USD exchange rate : a simultaneous-equation model

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Performance of Islamic and conventional stock indices : empirical evidence from an emerging economy

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constancy assumption of classical linear regression (CLRM) model and allows exchange rate and interest rate volatility to evolve … conventional stock indices. Results: The findings show positive and statistically significant effect of interest rate volatility on … KSE-100, whereas KMI-30 remains unaffected by the same. Exchange rate volatility is found to be significant for both …

Persistent link: https://www.econbiz.de/10011541805