Testing for nonlinearity of the relationship between stock prices and exchange rate in Romania

Corina Saman

Working Papers of Institute for Economic Forecasting from Institute for Economic Forecasting

Abstract: The aim of this paper is to test the nonlinearity of the relation between the stock price in Romania and the nominal Romanian Leu against Euro from March 2000 to March 2014. The empirical evidence shows that there is a long-run equilibrium between the two variables during the time period investigated. There exist also short-run relationships that were found to be nonlinear in variables involved (exchange rate and stock price) and also regarding the error correction mechanism.

Keywords: Exchange rates; Stock prices; Causality; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C52 F31 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2014-11
New Economics Papers: this item is included in nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:wpiecf:141110

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