286
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Identifying long-run relationships between the exchange rate, interest rates and stock prices

ORCID Icon &

References

  • Bautista, C. C. 2006. “The Exchange Rate–Interest Differential Relationship in Six East Asian Countries.” Economics Letters 92 (1): 137–142. doi:10.1016/j.econlet.2006.01.016.
  • Chortareas, G. E., and R. L. Driver 2001. “PPP and the Real Exchange Rate - Real Interest Rate Differential Puzzle Revisited: Evidence from Non-Stationary Panel Data.” Bank of England Working Paper No. 138.
  • Clarida, R., and J. Gali. 1994. “Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?,” Carnegie-Rochester Conference on Public Policy, Vol. 41, 1–56. Elsevier.
  • Clark, P. B. September, 1973. “Uncertainty, Exchange Risk, and the Level of International Trade.” Western Economic Journal 11 (3): 302–313. doi:10.1111/j.1465-7295.1973.tb01063.x.
  • Coughlin, C. C., and K. Koedijk. 1990. “What Do We Know About the Long-Run Real Exchange Rate?” St Louis Federal Reserve Bank Review 72: 36–48. doi:10.20955/r.72.35-48.
  • Dornbusch, R. 1976. “Expectations and Exchange Rate Dynamics.” The Journal of Political Economy 84: 1161–1176. doi:10.1086/260506.
  • Dornbusch, R. 1988. Open Macroeconomics. 2nd ed. New York: Basic Books.
  • Edison, H. J., and B. Pauls. 1993. “A Re-Assessment of the Relationship Between Real Exchange Rate and Real Interest Rates: 1974-1990.” Journal of Monetary Economics 31 (2): 165–187. doi:10.1016/0304-3932(93)90043-F.
  • Fama, E. F., and K. R. French. 1988. “Permanent and Temporary Components of Stock Prices.” The Journal of Political Economy 96 (2): 246–273. doi:10.1086/261535.
  • Fuertes, A. -M., K. Phylaktis, and C. Yan. 2019. Uncovered Equity “Disparity” in Emerging Markets. Journal of International Money and Finance 98: 102066. 10.1016/j.jimonfin.2019.102066
  • Gregory, A., and B. Hansen. 1996. “Residual-Based Tests for Cointegration in Models with Regime Shifts.” Journal of Econometrics 70: 99–126. doi:10.1016/0304-4076(69)41685-7.
  • Guitan, M. 1976. “The Effects of Changes in Exchange Rate on Output, Prices and the Balance of Payments.” Journal of International Economics 6 (1): 65–74. doi:10.1016/0022-1996(76)90023-4.
  • Hansen, H., and K. Juselius. 1995. CATS in RATS: Manual to Cointegration Analysis of Time Series. Evanston, Illinois: Estima.
  • Hau, H., and H. Rey. 2006. “Exchange Rates, Equity Prices, and Capital Flows.” The Review of Financial Studies 19 (1): 273–317. Spring 2006. doi:10.1093/rfs/hhj008.
  • Hoffmann, M., and R. Macdonald. 2000. “A Real Differential View of Equilibrium Real Exchange Rates and Misalignments”, CFS Working Paper No. 2000/8, Center for Financial Studies, Frankfurt am Main.
  • Hoffmann, M., and R. MacDonald. 2009. “Real Exchange Rates and Real Interest Rate Differentials: A Present Value Interpretation.” European Economic Review 53 (8): 952–970. doi:10.1016/j.euroecorev.2009.04.013.
  • Hooper, P., (1984), “International Repercussion of the U.S. Budget Deficit”, Federal Research Board International Finance Discussion Paper, No. 246
  • Johansen, S. 1992. “Determination of Cointegration Rank in the Presence of a Linear Trend.” Oxford Bulletin of Economics and Statistics 54 (3): 383–397. doi:10.1111/j.1468-0084.1992.tb00008.x.
  • Jung, J. Y., and K. M. Jung. 2021. “Stock Market Uncertainty and Uncovered Equity Parity Deviation: Evidence from Asia.” Journal of Asian Economics 73: 101271. doi:10.1016/j.asieco.2020.101271.
  • Kumar, S. 2019. “Asymmetric Impact of Oil Prices on Exchange Rate and Stock Prices.” The Quarterly Review of Economics and Finance 72: 41–51. Elsevierc doi:10.1016/j.qref.2018.12.009.
  • Lutkepohl, H., P. Saikkonen, and C. Trenkler. 2001. “Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process.” The Econometrics Journal 4 (2): 287–310. doi:10.1111/1368-423X.00068.
  • MacDonald, R. 1997. “What Determines Real Exchange Rate: The Long and Short for It.” Journal of International Financial Markets, Institutions and Money 8 (2): 117–153. doi:10.1016/S1042-4431(98)00028-6.
  • Meese, R., and K. Rogoff. 1988. “Was It Real? The Exchange Rate-Interest Rate Differential Relation Over the Modern Floating-Rate Period.” The Journal of Finance 43 (4): 933–948. doi:10.1111/j.1540-6261.1988.tb02613.x.
  • Nieh, C. C., and C. F. Lee. 2001. “Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries.” The Quarterly Review of Economics and Finance 41 (4): 477–490. 2001. doi:10.1016/S1062-9769(01)00085-0.
  • Perron, P. 1988. “Trend and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach.” Journal of Economic Dynamic and Control 12 (2–3): 297–332. doi:10.1016/0165-1889(88)90043-7.
  • Perron, P. 1989. “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica 57: 1361–1401. doi:10.2307/1913712.
  • Poterba, J. M., and L. H. Summers. 1988. “Mean Reversion in Stock Prices: Evidence and Implications.” Journal of Financial Economics 22: 27–59. doi:10.1016/0304-405X(88)90021-9.
  • Sachs, J. D. 1985. “The Dollar and the Policy Mix: 1985”, Brookings Papers on Economic Activity
  • Shafer, J. R., and B. Loopesko. 1983. “Floating Exchange Rates After Ten Years”, Brookings Papers on Economic Activity.
  • Sheikh, U. A., M. Asad, Z. Ahmed, and U. Mukhtar. January, 2020. Asymmetrical Relationship Between Oil Prices, Gold Prices, Exchange Rate, and Stock Prices During Global Financial Crisis 2008: Evidence from Pakistan. Cogent Economics & Finance, Taylor & Francis Journals 8, (1) 1757802–175. 10.1080/23322039.2020.1757802
  • Shin, Y., B. Yu, and M. Greenwood-Nimmo. 2014. “Modelling Asymmetric Cointegration and Dynamic Multipliers in aNon-Linear ARDL Framework.“ Festschrift in Honor of Peter Schmidt. New York: Springer.
  • Sollis, R., and M. E. Wohar. 2006. “The Real Exchange Rate – Real Interest Rate Relation: Evidence from Tests for Symmetric and Asymmetric Threshold Cointegration.” International Journal of Finance & Economics 11: 139–153. doi:10.1002/ijfe.285.
  • Suleman, M. T., M. I. Tabash, and U. A. Sheikh. 2022. “Do Stock Market Fluctuations Lead to Currency Deflation in the South Asian Region? Evidence Beyond Symmetry.” International Journal of Finance & Economics Advance online publication. doi:10.1002/ijfe.2746.
  • Throop, A. 1994. “A Generalised Uncovered Interest Rate Parity Model of Real Exchange Rates”. Federal Reserve Bank of San Fransisco, mimeo.
  • Tsagkanos, A., and C. A. Siriopoulos. 2013. “Long-Run Relationship Between Stock Price Index and Exchange Rate: A Structural Nonparametric Cointegrating Regression Approach.” Journal of International Financial Markets, Institutions and Money 25: 106–118. doi:10.1016/j.intfin.2013.01.008.
  • Tsai, I. C. 2012. “The Relationship Between Stock Price Index and Exchange Rate in Asian Markets: A Quantile Regression Approach.” Journal of International Financial Markets Institutions & Money 22 (3): 609–621. doi:10.1016/j.intfin.2012.04.005.
  • Wong, D. K. T. 2020. “The Forward‐looking Ability of the Real Exchange Rate and Its Misalignment to Forecast the Economic Performance and the Stock Market Return.” The World Economy, Wiley Blackwell 43 (10, October): 2723–2741. doi:10.1111/twec.12943.
  • Wu, Y. 2000. “Stock Prices and Exchange Rates in a VEC Model – the Case of Singapore in the 1990s.” Journal of Economics and Finance 24 (3): 260–274. Fall 2000. doi:10.1007/BF02752607.
  • Zhou, S. 2001. “The Power of Cointegration Tests versus Data Frequency and Time Spans.” Southern Economic Journal 67 (4): 906–921. doi:10.1002/j.2325-8012.2001.tb00380.x.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.