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Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries

Islami, Mevlud - Universitätsbibliothek Wuppertal, University Library - 2008

are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links …

Persistent link: https://www.econbiz.de/10004981626

Exchange Rates and Order Flow in the Long Run

Boyer, M. Martin; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2006

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates...

Persistent link: https://www.econbiz.de/10005100932

Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - Center for Globalization and Europeanization of the … - 2008

cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under …-rate identity to test for cointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within a … triangular framework by detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly …

Persistent link: https://www.econbiz.de/10005593799

Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market

Al-Shboul, Mohammad; Anwar, Sajid - In: Economic Modelling 37 (2014) C, pp. 451-463

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/10010744019

Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

Beckmann, Joscha; Czudaj, Robert - Rheinisch-Westfälisches Institut für … - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarifi cation of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010691192

The relationship between the Renminbi future spot return and the forward discount rate

Zhao, Yanping; de Haan, Jakob; Scholtens, Bert; Yang, … - In: Journal of International Money and Finance 32 (2013) C, pp. 156-168

We use rolling cointegration tests to investigate the relationship between the Renminbi daily future spot return and … future spot rate requires cointegration and a unity coefficient for the forward discount. We conclude that the unbiased …

Persistent link: https://www.econbiz.de/10010594690

Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices

Beckmann, Joscha - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 176-190

Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. This paper as a first step applies a...

Persistent link: https://www.econbiz.de/10010617253

Interactions between the Exchange Rates and the Differential of the Stock Returns between Romania and US during the Global Crisis

STEFANESCU, Razvan; DUMITRIU, Ramona - In: Economics and Applied Informatics (2011) 2, pp. 61-66

The relation between the foreign exchange markets and the stock markets is still a controversial subject in the specialized literature. Recent studies revealed the changes that occur in this relation during the financial crisis. In this paper we approach the interactions between the exchange...

Persistent link: https://www.econbiz.de/10010625578

Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - Center for European, Governance and Economic … - 2008

cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …

Persistent link: https://www.econbiz.de/10010980798

The relation between national stock prices and effective exchange rates: Does it affect exchange rate exposure?

Korhonen, Marko - International Institute of Social and Economic Sciences - 2014

1973-2011 we find evidence of time-varying cointegration relationship between effective exchange rates and national stock … the exchange rate exposure varies with the cointegration relation between stock and foreign exchange rate markets. This …

Persistent link: https://www.econbiz.de/10011207147