外文翻译巴西股票价格与汇率之间关系的实证分析.docx
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外文翻译巴西股票价格与汇率之间关系的实证分析
本科毕业论文外文原文
外文题目:
THEDYNAMICRELATIONSHIPBETWEENSTOCKPRICESANDEXCHANGERATES:
EVIDENCEFORBRAZIL
出处:
InternationalJournalofTheoreticalandAppliedFinance
作者:
BENJAMINM.TABAK
ThispaperstudiesthedynamicrelationshipbetweenstockpricesandexchangeratesintheBrazilianeconomy.Weuserecentlydevelopedunitrootandcointegrationtests,whichallowendogenousbreaks,totestforalongrunrelationshipbetweenthesevariables.Weperformedlinear,andnonlinearcausalitytestsafterconsideringbothvolatilityandlineardependence.Wefoundthatthereisnolongrunrelationship,butthereislinearGrangercausalityfromstockpricestoexchangerates,inlinewiththeportfolioapproach:
stockpricesleadexchangerateswithanegativecorrelation.Furthermore,wefoundevidenceofnonlinearGrangercausalityfromexchangeratestostockprices,inlinewiththetraditionalapproach:
exchangeratesleadstockprices.Webelievethesefindingshavepracticalapplicationsforinternationalinvestorsandinthedesignofexchangeratepolicies.
Keywords:
Stockprices;exchangerates;bivariatecausality;nonlinearcausality.
1.Introduction
Theliteraturethatstudiestherelationshipbetweenexchangeratesandstockpricesisfarfromconclusive.Therearetwomaintheoriesthatrelatethesefinancialmarkets.Thefirstisthetraditionalapproach,whichconcludesthatexchangeratesshouldleadstockprices.Thetransmissionchannelwouldbeexchangeratefluctuationswhichaffectfirm’svaluesthroughchangesincompetitivenessandchangesinthevalueoffirm’sassetsandliabilities,denominatedinforeigncurrency,ultimatelyaffectingfirms’profitsandthereforethevalueofequity.1
Alternatively,changesinstockpricesmayinfluencemovementsinexchangeratesviaportfolioadjustments(inflows/outflowsofforeigncapital).Iftherewereapersistentupwardtrendinstockprices,inflowsofforeigncapitalwouldrise.1Evenfirmsthatarenotinternationallyintegrated(lowratioofexportsandimportstototalsalesandalowproportionofforeigncurrency-denominatedassetsandliabilities)maybeindirectlyaffected.
However,adecreaseinstockpriceswouldinduceareductionindomesticinvestor’swealth,leadingtoafallinthedemandformoneyandlowerinterestrates,causingcapitaloutflowsthatwouldresultincurrencydepreciation.Therefore,undertheportfolioapproach,stockpriceswouldleadexchangerateswithanegativecorrelation.
InJanuary1999,Brazilabandonedthecrawlingpegandtargetzoneregimesandadoptedafloatingexchangerate.2FromJanuary14toMarch3,theBrazilianRealdepreciateddrastically,49.51%.TheBOVESPAIndex(theS˜aoPauloStockExchangeIndex,themostimportantstockindexinthecountry)increased4.097pointsinthesameperiod(59.34%rise).ThiseffectonthedomesticstockindexisverydifferentfromthatobservedinAsianeconomiesatthestartoftheAsiancrisis.Therefore,theBraziliancaseprovidesaninterestingopportunitytostudythedynamicsbetweenstockpricesandexchangerates.
Therapidincreaseofthestockindexcouldhaveoccurredbecauseeconomicworldwidebelievedthatthecurrencywasovervalued,andthatdepreciationwouldleadtoanincreaseinfirmcompetitiveness,enhancingexportsandraisingprofits.Moreover,manyfirmsthatcomprisethestockindexhaveAmericanDepositoryReceipts(ADR);thesestockpriceswouldrespondalmostimmediatelythrougharbitragemechanisms,since,withtherapiddepreciation,domestictradedstockswouldbeverycheapvis-a-vistheirADR.
Weanalyzethedynamicsbetweenthestockindexandtheexchangerateusinglinear,andnonlinear,Grangercausalitytests.Weemployseriesfilteredforvolatilityandlineardependencewhenperformingthenonlinearcausalitytests.Wemakeuseofnewlydevelopedunitrootandcointegrationtests,whichallowendogenousbreaks,totestforalong-runequilibriumrelationshipbetweenthesevariables.Furthermore,weuseimpulseresponsefunctionstotestthevalidityofboththetraditionalandportfolioapproaches.
Thispaperisorganizedasfollows.Inthenextsection,wepresentabriefliteraturereviewandthemainfindingsindevelopedandemergingcountries.Section3presentsthedataandmethodologyemployed.Section4showstheempiricalevidencefortheinterdependenciesbetweenstockpricesandexchangeratesinBrazil.Section5concludesthepaperandgivessomedirectionsforfurtherresearch.
2.LiteratureReview
Therelationshipbetweenexchangeratesandstockpricesisofgreatinteresttomanyacademicsandprofessionals,sincetheyplayacrucialroleintheeconomy.Nonetheless,resultsaresomewhatmixedastowhetherstockindexesleadexchange
ratesorviceversaandwhetherfeedbackeffects(bi-causality)evenexistamongthesefinancialvariables.
Campaetal.[11]studiedthecredibilityofthecrawlingpegandtargetzone(maxiband)regimesandhaveanicedescriptionoftheperiodpriortothemaxi-devaluationoftheRealin1999.DynamicRelationshipBetweenStockPricesandExchangeRates1379
Aggarwal[4]arguedthatchangesinexchangeratesprovokeprofitsorlossesinthebalancesheetofmultinationalfirms,whichinducestheirstockpricestochange.Inthiscase,exchangeratescausechangesinstockprices(traditionalapproach).
Dornbusch[14]andBoyer[10]presentedmodelssuggestingthatchangesinstockpricesandexchangeratesarerelatedbycapitalmovements.Decreasesinstockpricesreducedomesticwealth,loweringthedemandformoneyandinterestrates,inducingcapitaloutflowsandcurrencydepreciation.
Bahmani-OskooeeandSohrabian[6]analyzedtherelationbetweenstockpricesandexchangeratesintheUSeconomy.Theyfoundnolong-runrelationshipamongthesevariables,butadualcausalrelationshipintheshort-runusingGranger[16]causalitytests.3Amihud[5]andBartovandBodnar[7]foundthatlagged,andnotcontemporaneous,changesinUSdollarexchangerates,explainfirmscurrentstockreturns.
Ratner[29]appliedcointegrationanalysistotestwhetherUSdollarexchangeratesaffectUSstockprices,usingmonthlydatafromMarch1973toDecember1989.Hisresultsindicatedthattheunderlyinglong-termstochasticpropertiesoftheUSstockindexandforeignexchangeratesarenotrelated,sincethenullofnocointegrationcouldnotberejected,evenwhendividingthesampleintosub-periods.
AjayiandMougou′e[3]analyzedtherelationshipbetweenstockpricesandexchangeratesineightadvancedeconomies(Canada,France,Germany,Italy,Japan,theNetherlands,theUnitedKingdomandtheUnitedStates).4Usinganerrorcorrectionmodel,theyfoundsignificantshortandlongrunfeedbackbetweenthesetwovariables.
AbdallaandMurinde[1]investigatedinteractionsbetweenexchangeratesandstockpricesinIndia,Korea,Pakistan,andthePhilippines.UsingmonthlyobservationsintheperiodfromJanuary1985toJuly1994.Withinanerrorcorrectionmodelframework,theyfoundevidenceofunidirectionalcausalityfromexchangeratestostockpricesinallcountries,exceptforthePhilippines.There,theyfoundthatstockpricesGrangerinfluenceexchangerates.
OngandIzan[28]usedweeklydataof“spotand90-dayforward”exchangeratesforAustraliaandtheG-7countriesand“spotand90-dayforward”futurespricesforequitypricesinAustralia,Britain,FranceandtheUS,duringtheperiodfromOctober1986toDecember1992.Theywereunabletofindasignificantrelationship
betweenequityandexchangeratemarkets.Theysuggestedthattheuseofdailydata(orevenintra-day)couldimprovetheirempiricalresults.
Ajayietal.[2]useddailydataandreportedthatcausalityrunsfromthestockmarkettothecurrencymarketinIndonesiaandthePhilippines,whileinKoreaitrunsintheoppositedirection.NosignificantcausalrelationisobservedinTheyusetheS&P500,theeffectiveexchangerate,andmonthlydataovertheperiodfromJuly1973toDecember1988.TheirsamplerunsfromApril1985toJuly1991.HongKong,Singapore,Thailand,orMalaysia.However,inTaiwan,theydetectedbi-directionalcausalityorfeedback.Furthermore,contemporaneousadjustmentsaresignificantinonlythreeoftheseeightcountries.Indevelopedcountries,theyfoundsignificantunidirectionalcausalityfromstocktocurrencymarketsandsignificantcontemporaneouseffects.
Grangeretal.[17]foundstrongfeedbackrelationsbetweenHongKong,Malaysia,ThailandandTaiwan.TheyuseddailydataandtheirsampleperiodstartedJanuary3,1986andfinishedJune16,1998.Furthermore,theyfoundthattheresultsareinlinewiththetraditionalapproachinKorea,whiletheyagreewiththeportfolioapproachinthePhilippines.
NiehandLee[26]foundnosignificantlong-runrelationshipbetweenstockpricesandexchangeratesinG-7countries,usingboththeEngle-GrangerandJohansen’scointegrationtests.6Furthermore,theyfoundambiguous,andsignificant,shortrunrelationshipsforthesecountries.Nonetheless,insomecountries,bothstockindexesandexchangeratesmayservetoforecastthefuturepathsofthesevariables.Forexample,theyfoundthatcurrencydepreciationstimulatesCanadianandUKstockmarketswithaone-daylag,andthatincreasesinstockpricescausecurrencydepreciationinItalyandJapan,againwithaone-daylag.
Ingeneral,empiricalfindingssuggestthattherearenolong-runequilibriumrelationshipsbetweenthesetwofinancialvariables(exchangeratesandstockprices)inmostcountries.However,manystudieshavefoundthatthesevariableshave“predictiveability”foreachother,althoughthedirectionofcausalityseemstodepend
onspecificcharacteristicsofthecoun