open access

https://hdl.handle.net/2115/39874

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

英語

VAR

2009-10

Graduate School of Economics and Business Administration, Hokkaido University

Economic Journal of Hokkaido University

38

55-67

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.

紀要論文

Version of Record

0916-4650

AA10772967