Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71261
Authors: 
Caporale, Guglielmo Maria
Hunter, John
Ali, Faek Menla
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper: Monetary Policy and International Finance 4189
Abstract: 
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional spillovers in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional feedback in the US and Canada. These findings imply limited opportunities for investors to diversify their assets during this period.
Subjects: 
stock prices
exchange rates
causality-in-variance
cointegration
JEL: 
F31
G15
C32
Document Type: 
Working Paper

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