期刊
ECONOMIC ANALYSIS AND POLICY
卷 68, 期 -, 页码 191-198出版社
ELSEVIER
DOI: 10.1016/j.eap.2020.09.014
关键词
COVID-19; Exchange rate; Stock returns
类别
资金
- Asia-Pacific Applied Economics Association, Melbourne, Australia
This paper examines the relationship between the Japanese Yen and the country's stock returns. Using several variants of econometric models and empirical specifications, we unravel that the depreciation of the Yen vis-a-vis the US dollar led to gains in Japanese stock returns. A one standard deviation depreciation of the Yen during the COVID-19 period (equivalent to 0.588%) improved stock market returns by 71% of average returns We see that this relationship was stronger over the COVID-19 period (January 2020 to August 2020) compared to the pre-crisis period. (C) 2020 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.
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