金融學專業(yè)外文翻譯---巴西股票價格與匯率之間關(guān)系的實證分析-金融財政(文件)
【正文】 了重大的影響中觀察到了這是亞洲經(jīng)濟危 機的開始。而在股票價格下跌的時候，會引起國內(nèi)投資者的資產(chǎn)的外流，導致貨幣需求和利率的下降，而資本的外流使得國內(nèi)貨幣的貶值。首先是傳統(tǒng)做法的理論，它認為匯率變動 會導致股票價格的變動。此外，我們還發(fā)現(xiàn)按照傳統(tǒng)的方法發(fā)現(xiàn)匯率對股票價 格存在非線性格蘭杰因果關(guān)系。 these stock prices would respond almost immediately through arbitrage mechanisms, since, with the rapid depreciation, domestic traded stockswould be very cheap visavis their ADR. We analyze the dynamics between the stock index and the exchange rate using linear, and nonlinear, Granger causality tests. We employ series filtered for volatility and linear dependence when performing the nonlinear causality tests. We make use of newly developed unit root and cointegration tests, which allow endogenous breaks, to test for a longrun equilibrium relationship between these variables. Furthermore, we use impulse response functions to test the validity of both the traditional and portfolio approaches. This paper is organized as follows. In the next section, we present a brief literature review and the main findings in developed and emerging countries. Section 3 presents the data and methodology employed. Section 4 shows the empirical evidence for the interdependencies between stock prices and exchange rates in Brazil. Section 5 concludes the paper and gives some directions for further research. 2. Literature Review The relationship between exchange rates and stock prices is of great interest to many academics and professionals, since they play a crucial role in the economy. Noheless, results are somewhat mixed as to whether stock indexes lead exchange rates or vice versa and whether feedback effects (bicausality) even exist among these financial variables. Campa et al. [11] studied the credibility of the crawling peg and target zone (maxiband) regimes and have a nice description of the period prior to the maxidevaluation of the Real in 1999. Dynamic Relationship Between Stock Prices and Exchange Rates 1379 Aggarwal [4] argued that changes in exchange rates provoke profits or losses in the balance sheet of multinational firms, which induces their stock prices to change. In this case, exchange rates cause changes in stock prices (traditional approach). Dornbusch [14] and Boyer [10] presented models suggesting that changes in stock prices and exchange rates are related by capital movements. Decreases in stock prices reduce domestic wealth, lowering the demand for money and interest rates, inducing capital outflows and currency depreciation. BahmaniOskooee and Sohrabian [6] analyzed the relation between stock prices and exchange rates in the US economy. They found no longrun relationship among these variables, but a dual causal relationship in the shortrun using Granger [16] causality Amihud [5] and Bartov and Bodnar [7] found that lagged, and not contemporaneous, changes in US dollar exchange rates, explain firms current stock returns. Ratner [29] applied cointegration analysis to test whether US dollar exchange rates affect US stock prices, using monthly data from March 1973 to December 1989. His results indicated that the underlying longterm stocha
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