IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Real Exchange Rates And Stock Prices: Insights Into The Competitiveness Of Romanian Economy

Listed author(s):
  • Alexandra Horobet


    (Academy of Economic Studies)

  • Livia Ilie


    (Lucian Blaga University of Sibiu, Faculty of Economic Sciences)

The paper investigates the dynamic links between stock prices and exchange rates in Romania, after 1997, considering the changes in the exchange rate regime occurred after 1997. The research employs advanced econometric methods – cointegration and Granger causality tests, in order to capture the bi-directional influences between stock prices and exchange rates, applied to monthly data over the 1999-2007 period. We use two types of exchange rates: nominal effective exchange rates and real effective exchange rates, aiming at revealing the competitiveness effects embedded in the real exchange rate evolution. In terms of stock prices, we use the BET and BET-C indices of the Bucharest Stock Exchange. We conclude that there is a long-term equilibrium relationship between the stock market performance and the nominal and real effective exchange rates, while the information is generally transmitted from the stock prices to exchange rates with a one-month lag in the case of cointegrated variables. Also, the exchange rates are the leading variables for the stock prices and the stock market adjusts quite dramatically to changes in the exchange rates in one month time in the case of cointegrated variables.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

Volume (Year): 2 (2007)
Issue (Month): 2 (October)
Pages: 30-40

in new window

Handle: RePEc:blg:journl:y:2007:v:2:p:30-40
Contact details of provider: Postal:
Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania

Phone: 004 0269 210375
Fax: 004 0269 210375
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:blg:journl:y:2007:v:2:p:30-40. 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: (Mihaela Herciu)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.