This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...

We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The...