A Study on the Stability of the Relationship between Stock Prices and Foreign Exchange Rates in Korea

2018 ◽  
Vol 20 (2) ◽  
pp. 815-828
Author(s):  
Gahng Sohk Koh
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Foreign Exchange Rates ◽  
The Stability ◽  
The Relationship

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

scholarly journals The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process

2016 ◽  
Vol 48 (A) ◽  
pp. 217-233 ◽  
Author(s):  
Muneya Matsui ◽  
Thomas Mikosch
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Power Law ◽  
Stock Prices ◽  
Asymptotic Theory ◽  
Foreign Exchange Rates ◽  
Two Dimensional ◽  
Extremal Dependence ◽  
A Value ◽  
The Cross

AbstractWe derive asymptotic theory for the extremogram and cross-extremogram of a bivariate GARCH(1,1) process. We show that the tails of the components of a bivariate GARCH(1,1) process may exhibit power-law behavior but, depending on the choice of the parameters, the tail indices of the components may differ. We apply the theory to five-minute return data of stock prices and foreign-exchange rates. We judge the fit of a bivariate GARCH(1,1) model by considering the sample extremogram and cross-extremogram of the residuals. The results are in agreement with the independent and identically distributed hypothesis of the two-dimensional innovations sequence. The cross-extremograms at lag zero have a value significantly distinct from zero. This fact points at some strong extremal dependence of the components of the innovations.

scholarly journals The Relationship between Exchange Rate, Official Reserves and Money Supply in Kyrgyzstan

2017 ◽  
Author(s):  
Junus Ganiev ◽  
Damira Baigonushova ◽  
Nevin Aydın
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Money Supply ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Kyrgyz Republic ◽  
Monthly Data ◽  
The Stability ◽  
The Relationship

In recent years, there has been considerable instability in the exchange rates of many countries. This can directly affect macroeconomic stability on one side and monetary policy or rather money supply on the other. Because central banks are making interventions to the foreign exchange market by buying and selling foreign exchange in order to provide stability of exchange rate. As a result, both the official reserves and the money supply are constantly changing. Since Kyrgyzstan is a country dependent on imports in most commodities, the Central Bank of the Kyrgyz Republic sees the exchange rates’ stability as an important instrument of price stabilizing. However, such a policy may deteriorate the stability of the total money supply and adversely affect the economy. Therefore, in this study, it is aimed to examine the relations between exchange rate, money supply and official reserves by using 2002-2016 monthly data and cointegration method. Empirical results have shown that a change in the exchange rate causes opposite changes in both the reserves and the money supply as a result of the central bank’s interventions. However, more concrete recommendations on the effectiveness of monetary policy in Kyrgyzstan are required to make more detailed analysis.

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