期刊
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
卷 24, 期 2, 页码 103-112出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ribaf.2009.09.001
关键词
VAR; Multivariate GARCH; Volatility spillovers; Exchange rate; Stock price; Regime change
资金
- Humanities and Social Science Foundation of Ministry of Education of the Peoples Republic of China [08JC790089]
The paper empirically analyzes the dynamic relationship between Renminbi (RMB) real effective exchange rate and stock price with VAR and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models using monthly data from January 1991 to June 2009. The results show that there is not a stable long-term equilibrium relationship between RMB real effective exchange rate and stock price. There are also not mean spillovers between the foreign exchange and stock markets. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets using likelihood ratio statistic. There exist the bidirection volatility spillovers effects between the two markets, indicating the past innovations in stock market have the great effect on future volatility in foreign exchange market, and vice versa. (C) 2006 Elsevier B.V. All rights reserved.
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