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本科毕业论文外文原文
外文题目: THE DYNAMIC RELATIONSHIP BETWEEN STOCK
PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
出 处: International Journal of Theoretical and Applied Finance
作 者: BENJAMIN M. TABAK
This paper studies the dynamic relationship between stock prices and exchange rates
in the Brazilian economy. We use recently developed unit root and cointegration tests,
which allow endogenousbreaks, to test for a long run relationship between these
variables. We performed linear, and nonlinear causality tests after considering both
volatility and linear dependence. We found that there is no long run relationship, but
there is linear Granger causality from stock prices to exchange rates, in line with the
portfolio approach: stock prices lead exchange rates with a negative correlation.
Furthermore, we found evidence of nonlinear Granger causality from exchange rates
to stock prices, in line with the traditional approach: exchange rates lead stock prices.
We believe these findings have practical applications for international investors and in
the design of exchange rate policies.
Keywords: Stock prices; exchange rates; bivariate causality; nonlinear causality.
1. Introduction
The literature that studies the relationship between exchange rates and stock
prices is far from conclusive. There are two main theories that relate these financial
markets. The first is the traditional approach, which concludes that exchange rates
should lead stock prices. The transmission channel would be exchange rate
fluctuations which affect firm ’valuess through changes in competitiveness and
changes in the value of firm ’s assets and liabilities, denominated in foreign currency,
ultimately affecting firms fits and therefore the value of equity.1’ pro
Alternatively, changes in stock
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