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Hokkaido University Collection of Scholarly and Academic Papers >
Graduate School of Economics and Business / Faculty of Economics and Business >
Economic Journal of Hokkaido University >
Vol. 38 >
Dynamic Relations between Exchange Rates and Stock Prices : Evidence from Russia
| Title: | Dynamic Relations between Exchange Rates and Stock Prices : Evidence from Russia |
| Authors: | Ono, Shigeki Browse this author |
| Keywords: | Exchange rates | | Stock prices | | Russian economy | | VAR |
| Issue Date: | Oct-2009 |
| Publisher: | Graduate School of Economics and Business Administration, Hokkaido University |
| Journal Title: | Economic Journal of Hokkaido University |
| Volume: | 38 |
| Start Page: | 55 |
| End Page: | 67 |
| Abstract: | 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. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/39874 |
| Appears in Collections: | Economic Journal of Hokkaido University > Vol. 38
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Submitter: 大野 成樹
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