巴西股票价格与汇率之间关系的实证分析【外文翻译】

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1、本科毕业论文外文原文外文题目：THEDYNAMICRELATIONSHIPBETWEENSTOCKPRICESANDEXCHANGERATES:EVIDENCEFORBRAZIL出处：InternationalJournalofTheoreticalandAppliedFinance作者：BENJAMINM.TABAKThispaperstudiesthedynamicrelationshipbetweenstockpricesandexchangeratesintheBrazilianeconomy.Weuserecentlydevelo

2、pedunitrootandcointegrationtests,whichallowendogenousbreaks,totestforalongrunrelationshipbetweenthesevariables.Weperformedlinear,andnonlinearcausalitytestsafterconsideringbothvolatilityandlineardependence.Wefoundthatthereisnolongrunrelationship,butthereislinearGrangercausa

3、lityfromstockpricestoexchangerates,inlinewiththeportfolioapproach:stockpricesleadexchangerateswithanegativecorrelation.Furthermore,wefoundevidenceofnonlinearGrangercausalityfromexchangeratestostockprices,inlinewiththetraditionalapproach:exchangeratesleadstockprices.Webelie

4、vethesefindingshavepracticalapplicationsforinternationalinvestorsandinthedesignofexchangeratepolicies.Keywords:Stockprices;exchangerates;bivariatecausality;nonlinearcausality.1.IntroductionTheliteraturethatstudiestherelationshipbetweenexchangeratesandstockpricesisfarfromco

5、nclusive.Therearetwomaintheoriesthatrelatethesefinancialmarkets.Thefirstisthetraditionalapproach,whichconcludesthatexchangeratesshouldleadstockprices.Thetransmissionchannelwouldbeexchangeratefluctuationswhichaffectfirm’svaluesthroughchangesincompetitivenessandchangesinthev

6、alueoffirm’sassetsandliabilities,denominatedinforeigncurrency,ultimatelyaffectingfirms’profitsandthereforethevalueofequity.1Alternatively,changesinstockpricesmayinfluencemovementsinexchangeratesviaportfolioadjustments(inflows/outflowsofforeigncapital).Iftherewereapersisten

7、tupwardtrendinstockprices,inflowsofforeigncapitalwouldrise.1Evenfirmsthatarenotinternationallyintegrated(lowratioofexportsandimportstototalsalesandalowproportionofforeigncurrency-denominatedassetsandliabilities)maybeindirectlyaffected.However,adecreaseinstockpriceswouldind

8、uceareductionindomesticinvestor’swealth,leadingtoafallinthedemandformoneyandlowerinterest