Franklin

Exchange Rate Movements and International Interdependence of Stock Markets [electronic resource]

Author/Creator:
International Monetary Fund
Publication:
Washington, D.C. : International Monetary Fund, 1989.
Series:
IMF eLibrary
IMF Working Papers
Format/Description:
Government document
Book
1 online resource (52 p.)
Local subjects:
Bond.
Bond yield.
Bond yields.
Bonds.
Currency depreciation.
Domestic bond.
Domestic bonds.
Domestic exchange rate.
Domestic money market.
Equity markets.
Equity shares.
Exchange rate.
Exchange rate adjustment.
Exchange rate changes.
Exchange rate determination.
Exchange rate dynamics.
Exchange rate movements.
Exchange rate overshooting.
Exchange rate path.
Exchange rate regimes.
Exchange rates.
Financial assets.
Financial markets.
Foreign stock.
Indexed bond.
International bond.
International finance.
Money market.
National equity markets.
Nominal depreciation.
Nominal exchange rate.
Nominal exchange rates.
Nominal interest rate.
Present value.
Real exchange rate.
Real exchange rates.
Spot exchange rate.
Stock market.
Stock market prices.
Stock market volatility.
Stock markets.
Stock price.
Stock price indexes.
Stock price indices.
Stock price series.
Stock prices.
Canada.
France.
Germany.
Grenada.
Italy.
Japan.
United Kingdom.
Summary:
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic effects on nominal stock prices. A two-country theoretical model is developed and an attempt is made to reconcile the empirical findings with the properties of this model. Independent evidence on the main sources of shocks is used to argue that the time-varying correlation in the data can be reconciled with the predictions of the theory.
Notes:
Description based on print version record.
Contributor:
International Monetary Fund
Other format:
Print Version:
ISBN:
1451974493:
9781451974492
ISSN:
1018-5941
Publisher Number:
10.5089/9781451974492.001
Access Restriction:
Restricted for use by site license.
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