Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets ¬リニ
نویسندگان
چکیده
Article history: Received 15 February 2010 Received in revised form 13 February 2013 Accepted 21 February 2013 Available online 19 March 2013 This paper investigates the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the developed and emerging Asian markets. We, first, derive the dynamic conditional correlation (DCC) of the two series, and then DCC is regressed on the trade balance and the interest rate differentials. In general, the trade balance is found to be a main determinant of the dynamic correlation for the Asian markets, whereas the interest rate differential is the driving force for the developed markets. The latter seems to reflect the high capital mobility. © 2013 Elsevier Inc. All rights reserved. JEL classification: C22 G15
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