巴西股票价格与汇率之间关系的实证分析.pdf

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 use recently developed unit root and cointegration tests,

which allow endogenousbreaks, 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 relationship, 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.