危机时期东欧汇率与股票市场关系的思考

D. Lupu, Mircea Asandului
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引用次数: 4

摘要

本文利用2000-2014年期间3500个日收益样本,研究了4个东欧国家的汇率与股票市场之间的关系。研究方法采用贝叶斯VAR来解决VAR技术特有的自由度和经济变量预测概率增加的问题。对于外汇市场,我们发现汇率和短期资本市场之间存在相互依赖关系,这种关系在经济危机时期表现得更加强烈和长期。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Considerations on the Relationship between Exchange Rates and Stock Markets in Eastern Europe in Time of Crisis
This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.
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