1、本科毕业论文外文原文 外文题目： THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL 出 处： International Journal of Theoretical and Applied Finance 作 者： BENJAMIN M. TABAK This paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We
2、 use recently developed unit root and cointegration tests, which allow endogenous breaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relati
3、onship, but there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach: stock prices lead exchange rates with a negative correlation. Furthermore, we found evidence of nonlinear Granger causality from exchange rates to stock prices, in line with the tr
4、aditional approach: exchange rates lead stock prices. We believe these findings have practical applications for international investors and in the design of exchange rate policies. Keywords: Stock prices； exchange rates； bivariate causality； nonlinear causality. 1. Introduction The literature that s
5、tudies the relationship between exchange rates and stock prices is far from conclusive. There are two main theories that relate these financial markets. The first is the traditional approach, which concludes that exchange rates should lead stock prices. The transmission channel would be exchange rat
6、e fluctuations which affect firms values through changes in competitiveness and changes in the value of firms assets and liabilities, denominated in foreign currency, ultimately affecting firms profits and therefore the value of equity.1 Alternatively, changes in stock prices may influence movements
7、 in exchange rates via portfolio adjustments (inflows/outflows of foreign capital). If there were a persistent upward trend in stock prices, inflows of foreign capital would rise. 1Even firms that are not internationally integrated (low ratio of exports and imports to total sales and a low proportio
8、n of foreign currency-denominated assets and liabilities) may be indirectly affected. However, a decrease in stock prices would induce a reduction in domestic investors wealth, leading to a fall in the demand for money and lower interest rates, causing capital outflows that would result in currency
9、depreciation. Therefore, under the portfolio approach, stock prices would lead exchange rates with a negative correlation. In January 1999, Brazil abandoned the crawling peg and target zone regimes and adopted a floating exchange rate.2 From January 14 to March 3, the Brazilian Real depreciated dras
10、tically, 49.51%. The BOVESPA Index (the Sao Paulo Stock Exchange Index, the most important stock index in the country) increased 4.097 points in the same period (59.34% rise). This effect on the domestic stock index is very different from that observed in Asian economies at the start of the Asian cr
11、isis. Therefore, the Brazilian case provides an interesting opportunity to study the dynamics between stock prices and exchange rates. The rapid increase of the stock index could have occurred because economic worldwide believed that the currency was overvalued, and that depreciation would lead to a
12、n increase in firm competitiveness, enhancing exports and raising profits. Moreover, many firms that comprise the stock index have American DepositoryReceipts (ADR)； these stock prices would respond almost immediately through arbitrage mechanisms, since, with the rapid depreciation, domestic traded
13、stockswould be very cheap vis-a-vis their ADR. We analyze the dynamics between the stock index and the exchange rate using linear, and nonlinear, Granger causality tests. We employ series filtered for volatility and linear dependence when performing the nonlinear causality tests. We make use of newl
14、y developed unit root and cointegration tests, which allow endogenous breaks, to test for a long-run equilibrium relationship between these variables. Furthermore, we use impulse response functions to test the validity of both the traditional and portfolio approaches. This paper is organized as foll
15、ows. In the next section, we present a brief literature review and the main findings in developed and emerging countries. Section 3 presents the data and methodology employed. Section 4 shows the empirical evidence for the interdependencies between stock prices and exchange rates in Brazil. Section
16、5 concludes the paper and gives some directions for further research. 2. Literature Review The relationship between exchange rates and stock prices is of great interest to many academics and professionals, since they play a crucial role in the economy. Nonetheless, results are somewhat mixed as to w
17、hether stock indexes lead exchange rates or vice versa and whether feedback effects (bi-causality) even exist among these financial variables. Campa et al. 11 studied the credibility of the crawling peg and target zone (maxiband) regimes and have a nice description of the period prior to the maxi-de
18、valuation of the Real in 1999. Dynamic Relationship Between Stock Prices and Exchange Rates 1379 Aggarwal 4 argued that changes in exchange rates provoke profits or losses in the balance sheet of multinational firms, which induces their stock prices to change. In this case, exchange rates cause chan
19、ges in stock prices (traditional approach). Dornbusch 14 and Boyer 10 presented models suggesting that changes in stock prices and exchange rates are related by capital movements. Decreases in stock prices reduce domestic wealth, lowering the demand for money and interest rates, inducing capital out
20、flows and currency depreciation. Bahmani-Oskooee and Sohrabian 6 analyzed the relation between stock prices and exchange rates in the US economy. They found no long-run relationship among these variables, but a dual causal relationship in the short-run using Granger 16 causality tests.3 Amihud 5 and
21、 Bartov and Bodnar 7 found that lagged, and not contemporaneous, changes in US dollar exchange rates, explain firms current stock returns. Ratner 29 applied cointegration analysis to test whether US dollar exchange rates affect US stock prices, using monthly data from March 1973 to December 1989. His results indicated that the underlying long-term stochastic properties of the US stock index and foreign exchange rates are not related, since the null of no cointegration could not be rejected, even when dividing the sample into sub-periods.
