巴西股票价格与汇率之间关系的实证分析

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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.Weuserecentlydevelopedunitroo

2、tandcointegrationtests,whichallowendogenousbreaks,totestforalongrunrelationshipbetweenthesevariables.Weperformedlinear,andnonlinearcausalitytestsafterconsideringbothvolatilityandlineardependence.Wefoundthatthereisnolongrunrelationship,butthereislinearGrangercausalityfromstockpricest

3、oexchangerates,inlinewiththeportfolioapproach:stockpricesleadexchangerateswithanegativecorrelation.Furthermore,wefoundevidenceofnonlinearGrangercausalityfromexchangeratestostockprices,inlinewiththetraditionalapproach:exchangeratesleadstockprices.Webelievethesefindingshavepracticalap

4、plicationsforinternationalinvestorsandinthedesignofexchangeratepolicies.Keywords:Stockprices;exchangerates;bivariatecausality;nonlinearcausality.1.IntroductionTheliteraturethatstudiestherelationshipbetweenexchangeratesandstockpricesisfarfromconclusive.Therearetwomaintheoriesthatrela

5、tethesefinancialmarkets.Thefirstisthetraditionalapproach,whichconcludesthatexchangeratesshouldleadstockprices.Thetransmissionchannelwouldbeexchangeratefluctuationswhichaffectfirm’svaluesthroughchangesincompetitivenessandchangesinthevalueoffirm’sassetsandliabilities,denominatedinfore

6、igncurrency,ultimatelyaffectingfirms’profitsandthereforethevalueofequity.1Alternatively,changesinstockpricesmayinfluencemovementsinexchangeratesviaportfolioadjustments(inflows/outflowsofforeigncapital).Iftherewereapersistentupwardtrendinstockprices,inflowsofforeigncapitalwouldrise.1

7、Evenfirmsthatarenotinternationallyintegrated(lowratioofexportsandimportstototalsalesandalowproportionofforeigncurrency-denominatedassetsandliabilities)maybeindirectlyaffected.However,adecreaseinstockpriceswouldinduceareductionindomesticinvestor’swealth,leadingtoafallinthedemandformo

8、neyandlowerinterest