Stock markets and effective exchange rates in European countries: threshold cointegration findings

2015 ◽  
Vol 6 (2) ◽  
pp. 215-274 ◽  
Author(s):  
Christos Kollias ◽  
Stephanos Papadamou ◽  
Costas Siriopoulos
Keyword(s):  
Exchange Rates ◽  
Stock Markets ◽  
European Countries ◽  
Threshold Cointegration ◽  
Effective Exchange

scholarly journals Effective Exchange Rates in Central and Eastern European Countries: Cyclicality and Relationship with Macroeconomic Fundamentals

2015 ◽  
Vol 15 (2) ◽  
pp. 157-177 ◽  
Author(s):  
Daniel Stavárek ◽  
Cynthia Miglietti
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Flexible Exchange Rate ◽  
European Countries ◽  
Eastern European ◽  
Macroeconomic Fundamentals ◽  
Effective Exchange ◽  
Exchange Rate Arrangements ◽  
Eastern European Countries

Abstract This paper examines the evolution of effective exchange rates in nine Central and Eastern European countries in terms of development trends, volatility and cyclicality. Consequently, it provides direct empirical evidence on the nature of the relationship between effective exchange rates and selected macroeconomic fundamentals, addressing a key precondition of numerous exchange rate determination models and theories that attempt to explain the role of exchange rates in the economy. The results suggest that flexible exchange rate arrangements are reflected in both nominal and real effective exchange rates having higher volatility and variability. Furthermore, the results provide mixed evidence in terms of intensity, direction and cyclicality, but show a weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for money supply. Consequently, using fundamentals for the determination of exchange rates and using the exchange rate to explain economic development may be of limited use for the countries analyzed.

scholarly journals What Do Stock Markets Tell Us About Exchange Rates?

2014 ◽  
Author(s):  
Gino Cenedese ◽  
Richard Payne ◽  
Lucio Sarno ◽  
Giorgio Valente
Keyword(s):  
Exchange Rates ◽  
Stock Markets
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