BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Ozcelebi Oguzhan (Istanbul University), Yildirim Nurtac (Istanbul University)
Tytuł
Exchange Rates and Stock Prices: How Do They Interact in Eastern Europe?
Źródło
Argumenta Oeconomica, 2016, nr 1 (36), s. 31-65, rys., tab., bibliogr. 83 poz.
Słowa kluczowe
Kurs walutowy, Ceny akcji, Model dynamicznej stochastycznej równowagi ogólnej
Exchange rates, Shares prices, Dynamic Stochastic General Equilibrium (DSGE)
Uwagi
summ.
Kraj/Region
Europa Wschodnia
Eastern Europe
Abstrakt
In this study, we estimate Structural Vector Error Correction (SVEC) models to analyze the effects of the exchange rate on stock prices and vice versa in the Czech Republic, Hungary, Poland and Turkey. Our empirical findings imply that for all cases, the fluctuations in exchange rates may have a considerable role in the variation in stock markets, while variations in stock prices may have macroeconomic consequences by leading to changes in real exchange rates. We also found that the relationship between real exchange rates and stock prices in these countries may be induced by the monetary policy decisions of the Fed and other domestic and foreign factors. Our results stress the importance of the derivation of the optimal economic policy framework to analyze the interaction between exchange rates and stock prices. In this respect, we suggest the use of Dynamic Stochastic General Equilibrium (DSGE) modelling with country-specific and global factors to determine the economic polices sustaining financial and economic stability for the Czech Republic, Hungary, Poland and Turkey.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
1233-5835
Język
eng
URI / DOI
http://dx.doi.org/10.15611/aoe.2016.1.02
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