EconPapers    
Economics at your fingertips  
 

The effect of output and the real exchange rate on equity price dynamics

Sedjro Aaron Alovokpinhou and Christopher Malikane

The North American Journal of Economics and Finance, 2024, vol. 72, issue C

Abstract: This study uses a standard equity price equation derived from arbitrage between short-term bonds and shares to explain the conditions under which the relationship between equity prices and the measures of economic activity could yield a Bad News Case or a Good News Case while controlling for the effect of the real exchange rate. We estimate the baseline model and its variants for 18 countries. The results reveal that the good news case dominates the data in advanced and emerging market economies. We find no evidence in support of the bad news case. Furthermore, the real equity price declines with a real appreciation in some countries while it rises with a real appreciation in others.

Keywords: Equity prices; Output gap; Exchange rates; Good news case; Bad news case (search for similar items in EconPapers)
JEL-codes: E44 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940824000718
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000718

DOI: 10.1016/j.najef.2024.102146

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-10-11
Handle: RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000718