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Dynamic interactions between stock and foreign exchange markets
Koutmos, Gregory - In: Global Business and Economics Review 2 (2000) 2, pp. 143-158
examines the impact of past currency appreciations and depreciations on the price as well as the volatility of stocks …. Similarly, it investigates the influence of past stock price changes on the value as well as the volatility of the domestic …
Persistent link: https://www.econbiz.de/10010816603
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The Impact of Macroeconomic Variables on Stock Prices in Pakistan
Hunjra, Ahmed Imran; Chani, Muhammad Irfan; Ijaz, … - Volkswirtschaftliche Fakultät, … - 2014
interest rate, exchange rate, and GDP and inflation rate on stock prices in Pakistan. The monthly data of eleven years ranges …
Persistent link: https://www.econbiz.de/10011113620
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The macroeconomic variables are crucial for any change in economy for a country.
Hunjra, Ahmed Imran; Chani, Muhammad Irfan; Shahzad, … - In: International Journal of Economics and Empirical … 2 (2014) 1, pp. 13-21
is to determine the impact of interest rate, exchange rate, and GDP and inflation rate on stock prices in Pakistan. The …
Persistent link: https://www.econbiz.de/10010902135
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A Quantitative Assessment of Financial Conditions in Asia
Osorio, Carolina; Unsal, D. Filiz; Pongsaparn, Runchana - International Monetary Fund (IMF) - 2011
We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting GDP growth and may be thus used as a leading indicator. Based on the FCI,...
Persistent link: https://www.econbiz.de/10009203540
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Singapore; 2009 Article IV Consultation: Staff Report; Staff Statement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Sin...
International Monetary Fund (IMF); International … - 2009
This 2009 Article IV Consultation highlights that Singapore has been severely affected by the global downturn. The collapse in external demand has led to a sharp contraction in GDP, which fell by almost 13 percent in the first quarter of 2009. Executive Directors have observed that the floating...
Persistent link: https://www.econbiz.de/10011245646
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Developing Essential Financial Markets in Smaller Economies; Stylized Facts and Policy Options
International Monetary Fund (IMF); International … - 2008
This paper surveys the foreign exchange markets, money and secondary government security markets, and stock exchanges in 107 smaller economy countries. The underdevelopment of these markets impedes risk transfer, monetary policy, corporate financing, and the capacity to absorb capital inflows....
Persistent link: https://www.econbiz.de/10011245902
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Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand
Gyntelberg, Jacob; Tientip, Subhanij; Loretan, Mico - International Monetary Fund (IMF) - 2012
We present empirical evidence that the Thai baht’s value is driven in part by investors’ cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005...
Persistent link: https://www.econbiz.de/10011142113
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Stock Markets and Real Exchange Rate; An Intertemporal Approach
Mercereau, Benoît - International Monetary Fund (IMF) - 2003
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such...
Persistent link: https://www.econbiz.de/10005768854
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Price Volatility and Financial Instability
Leon, H. L.; Worrell, DeLisle - International Monetary Fund (IMF) - 2001
Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …
Persistent link: https://www.econbiz.de/10005769324
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Exchange Rates and Capital Flows
Brooks, Robin; Sløk, Torsten; Kumar, Manmohan S.; … - International Monetary Fund (IMF) - 2001
This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into U.S. stocks—possibly reflecting differences in expected productivity growth—track movements in the euro...
Persistent link: https://www.econbiz.de/10005605014