Research

Exchange Rates and Stock Prices in the Long Run and Short Run


Reference:

Morley, B., 2009. Exchange Rates and Stock Prices in the Long Run and Short Run. Working Paper. Bath, U. K.: Department of Economics, University of Bath. (Bath Economics Research Working Papers; 5/09)

Related documents:

[img]
Preview
PDF (0509.pdf) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (220kB) | Preview

    Official URL:

    http://www.bath.ac.uk/economics/research/working-papers

    Abstract

    Using the ARDL bounds testing approach to cointegration this paper provides evidence of a stable long run relationship between the exchange rate and stock prices for the UK, Japan and Swiss currencies with respect to the US dollar. The resultant error correction models suggest a positive relationship between stock prices and the exchange rate, which in an out-of-sample forecast outperforms the random walk. We compare these results with a similar model incorporating interest rates, suggested by Solnik (1987), however this does not in general improve the results.

    Details

    Item Type Reports/Papers (Working Paper)
    CreatorsMorley, B.
    Uncontrolled Keywordsstock prices, forecast, cointegration, exchange rates
    DepartmentsFaculty of Humanities & Social Sciences > Economics
    Research CentresBath Economics Research
    RefereedNo
    StatusPublished
    ID Code15973

    Export

    Actions (login required)

    View Item

    Document Downloads

    More statistics for this item...