The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis
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References listed on IDEAS
- Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 49-71, March.
- Solnik, Bruno, 1987. " Using Financial Prices to Test Exchange Rate Models: A Note," Journal of Finance, American Finance Association, vol. 42(1), pages 141-149, March.
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- Selim KAYHAN & Tayfur BAYAT & Ahmet UGUR, 2013. "Interest Rates and Exchange Rate Relationship in BRIC-T Countries," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 13(2), pages 227-236.
- Ben Yaala, sirine & Henchiri, jamel E., 2016. "Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis," MPRA Paper 76783, University Library of Munich, Germany.
- Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
- Andrieș, Alin Marius & Ihnatov, Iulian & Tiwari, Aviral Kumar, 2014. "Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet," Economic Modelling, Elsevier, vol. 41(C), pages 227-238.
- repec:eee:finana:v:52:y:2017:i:c:p:260-280 is not listed on IDEAS
- repec:spr:jknowl:v:8:y:2017:i:3:d:10.1007_s13132-015-0301-4 is not listed on IDEAS
More about this item
KeywordsWavelet analysis; Interest rate; Stock price; Wavelet cross-correlation; Granger causality;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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