Exploring the Relationship Between Stock Prices and Exchange Rates in North America and China

Download or read book Exploring the Relationship Between Stock Prices and Exchange Rates in North America and China written by Yifeng Zhang and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report explores the relationship between stock prices and exchange rates in North America and China during the post-crisis period. It is found that there is a stable long-run relationship between stock prices and exchange rates in Canada and China, but not for the US. Another finding is that Canadian exchange rates and stock prices exhibit bi-directional Granger causality, which supports both "flow-oriented" model and "stock-oriented" model. Conversely, the two financial variables in China interact in a manner consistent with the "flow-oriented" model. On the other hand, no Granger causality is found between these two financial variables for the US in either direction. Finally, this report provides a few implications for monetary policy makers and global investors.