The Exchange Rate Determination and Equity Prices: Evidence from the U.K
Date
2013-11Author
Litsios, I
Subject
3801 Applied Economics 3802 Econometrics 35 Commerce, Management, Tourism and Services 38 Economics 3502 Banking, Finance and Investment
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Show full item recordAbstract
This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities, and domestic and foreign real money balances, with a view to examine whether stock markets have an effect on the exchange rate in the long-run. The model is tested using data from the UK and the USA. Evidence suggests that the UK stock market has a significant effect on the value of the pound's sterling nominal effective exchange rate in the long-run over the period 1982 to 2011. © 2014 Elsevier Inc.
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Publisher
Elsevier BV
Journal
The Journal of Economic Asymmetries
Volume
10
Issue
2
Pagination
115-128
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