Exchange Rate Movements And International Interdependence Of Stock Markets PDF Download
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Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 52 |
Release | : 1989-05-12 |
Genre | : Business & Economics |
ISBN | : 1451974493 |
Download Exchange Rate Movements and International Interdependence of Stock Markets Book in PDF, ePub and Kindle
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Author | : Jagdeep S.; Genberg Bhandari (Hans) |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Exchange rate movements and international interdependence of stock markets Book in PDF, ePub and Kindle
Author | : Jagdeep S. Bhandari |
Publisher | : |
Total Pages | : 53 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Exchange Rate Movements and International Interdependence of Stock Markets Book in PDF, ePub and Kindle
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Author | : Laurence Krause |
Publisher | : Routledge |
Total Pages | : 298 |
Release | : 2019-07-11 |
Genre | : Political Science |
ISBN | : 1000241017 |
Download Speculation And The Dollar Book in PDF, ePub and Kindle
I began serious consideration of the issues and subject matter that comprise this book as a graduate student at the University of Massachusetts at Amherst. In need of a dissertation topic and vaguely curious about international monetary economics, I decided to sit in on Leonard Rapping's undergraduate course on international finance. Needless to say, I was soon hooked. Within several months I was teaching my own course on international money and beginning to write an outline of what would become my doctoral dissertation on foreign exchange speculation. Once completed the dissertation thesis became this basis for this book.
Author | : Mevlud Islami |
Publisher | : |
Total Pages | : 31 |
Release | : 2008 |
Genre | : Foreign exchange |
ISBN | : |
Download Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries Book in PDF, ePub and Kindle
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, Portugal, Spain, Greece, Poland, Czech Republic, Slovenia, and Hungary are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links for Poland are identified. Conversely, for Slovenia, Hungary, Ireland, Spain, and Greece merely short-term links resulted. Surprisingly, the direction of causation is unambiguously from the stock market index to the exchange rate for all six countries considered.
Author | : Cheol S. Eun |
Publisher | : |
Total Pages | : 42 |
Release | : 1988 |
Genre | : |
ISBN | : |
Download International Transmission of Stock Market Movements Book in PDF, ePub and Kindle
Author | : Elisabetta Bertero |
Publisher | : |
Total Pages | : 60 |
Release | : 1989 |
Genre | : Financial institutions |
ISBN | : |
Download Structure and Performance Book in PDF, ePub and Kindle
Author | : Dan Lupu |
Publisher | : |
Total Pages | : 15 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Considerations on the Relationship Between Exchange Rates and Stock Markets in Eastern Europe in Time of Crisis Book in PDF, ePub and Kindle
This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.
Author | : Hilde C. Bjørnland |
Publisher | : |
Total Pages | : 0 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Identifying the Interdependence Between US Monetary Policy and the Stock Market Book in PDF, ePub and Kindle
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (CEE 1999). We find great interdependence between interest rate setting and stock prices. Stock prices immediately fall by 1.5 per cent due to a monetary policy shock that raises the federal funds rate by ten basis points. A stock price shock increasing stock prices by one per cent leads to an increase in the interest rate of five basis points. Stock price shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute a major part of the surge in stock prices at the end of the 1990s to these non-fundamental shocks.
Author | : Mr.Faisal Ahmed |
Publisher | : International Monetary Fund |
Total Pages | : 26 |
Release | : 2011-10-19 |
Genre | : Business & Economics |
ISBN | : 1463926529 |
Download Internationalization of Emerging Market Currencies Book in PDF, ePub and Kindle
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.