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Dynamic Relations between Exchange Rates and Stock Prices : Evidence from Russia

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タイトル: Dynamic Relations between Exchange Rates and Stock Prices : Evidence from Russia
著者: Ono, Shigeki 著作を一覧する
キーワード: Exchange rates
Stock prices
Russian economy
VAR
発行日: 2009年10月
出版者: Graduate School of Economics and Business Administration, Hokkaido University
誌名: Economic Journal of Hokkaido University
巻: 38
開始ページ: 55
終了ページ: 67
抄録: This study examines the relations between stock prices and exchange rates. The bi-variate vector autoregressive models suggest that in the crisis period of 1998, exchange rates led stock prices as in many developing countries, whereas in three sub-periods stock prices led exchange rates and in one sub-period the causality was bidirectional. These findings indicate the causal relations between these two variables after the financial turmoil in 2008 are different from those of the crisis in 1998. Variance decomposition clarifies that more than 50 percent of the error variance of stock prices is explained by exchange rates during the financial crisis in 1998.
資料タイプ: bulletin (article)
URI: http://hdl.handle.net/2115/39874
出現コレクション:Vol. 38

提供者: 大野 成樹

 

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