Stock Prices and the Exchange Rate in a Monetary Model: A ARDL Bounds Testing Approach Using South African Data
We investigate the empirical validity of the monetary model of the exchange rate (Rand/Dollar=ZAR/$ ) using a technique (ARDL Bounds test) capable of testing for the existence of a long-run relationship regardless of whether the underlying time series are individually I(I) or I(0). Monetary fundamental variables (money supply, income, interest rate) are augmented by the stock market prices. We find evidence supporting the existence of a long-run relationship between the ZAR/$ exchange rate and fundamental variables, including stock prices. With the exception of relative money supplies where, we offer various explanations, all variables have the correct sign and plausible magnitudes.
Volume (Year): 10 (2008)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Web page: http://www.africagrowth.com/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:afj:journl:v:10:y:2008:i:1:p:1-27. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kirk De Doncker)The email address of this maintainer does not seem to be valid anymore. Please ask Kirk De Doncker to update the entry or send us the correct address
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.