Causal relationship and longstanding relationship between foreign exchange and capital markets

• Main Author: Τζεβελέκα, Αικατερίνη
• Other Authors: Συριόπουλος, Κωνσταντίνος
• Format: Thesis
• Language: English
• Published: 2015
• Subjects: Granger causality analysis; Exchange rate; Stock price; Longstanding relationship; Ανάλυση αιτιότητας κατά Granger; Συναλλαγματική ισοτιμία; Τιμή μετοχής; Μακροχρόνιες σχέσεις; 332.456

In this paper we estimate the short-term and long-term relationship between stock prices and exchange rates for the sample of US and Asian markets during the period 2004 – 2014. Monetary variables include money supply, interest rates, foreign exchange rates, and the consumer price index. All the da...