Dynamic Correlation Between Real Exchange Rates and Stock Prices:GARCH-DCC Model Application
2016
Hochschulschrift
Zugriff:
104
This paper explores the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the market of Taiwan, China, South Korea, Thailand, Singapore and Indonesia. We based Moore and Wang (2014), first, derive the dynamic conditional correlation (DCC) of the real exchange rates and stock prices, and then DCC is regressed on the trade balance, the interest rate differentials and M2. We found that a negative dynamic relationship between the relative stock prices and real exchange rates for Taiwan, South Korea, Thailand, Singapore and Indonesia, being consistent with the model prediction. A linear regression model reveals that the lagged dependent variable has been shown to be statistically highly significant in all cases, indicating strong persistence in the dynamic correlation for the Asian countries, whereas the interest rate differential is the driving force for Thailand. The latter seems to reflect the high capital mobility for Thailand.
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Dynamic Correlation Between Real Exchange Rates and Stock Prices:GARCH-DCC Model Application
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Autor/in / Beteiligte Person: | Jiang,Yi-Jhen ; 江宜蓁 |
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Veröffentlichung: | 2016 |
Medientyp: | Hochschulschrift |
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