Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis

Dan Lupu and Mircea Asandului ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: crisis; exchange rate; stock markets; interdependence; impulse functions; Eastern European countries (search for similar items in EconPapers)
JEL-codes: G00 G15 G17 (search for similar items in EconPapers)
Date: 2014-09-30
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Citations: View citations in EconPapers (1)

Published in Transformations in Business & Economics 3C (33C).13(2014): pp. 430-445

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95507

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