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Revisiting a story of two countries in East Asia after Abenomics

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  • Danbee Park
  • Joocheol Kim

Abstract

This article provides empirical evidence of the relationship between currency depreciation and stock market return using Korean and Japanese nonfinancial firms' data. Although the recent FX market circumstances have changed compared to Choi et al . (2010), we can still confirm the beggar-thy-neighbour using the extended sample period. Beggar country may change depending on the sample period, but Eichengreen and Sachs (1985) hypothesis can hold across the different macroeconomic circumstances. Currency depreciation is positively related to stock market return controlling for the firm-specific variables. The result shows that Japanese exporting firms would be advantageous due to the Japanese Yen (JPY) depreciation, and this situation is expected to continue under the Abenomics policy regime.

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  • Danbee Park & Joocheol Kim, 2015. "Revisiting a story of two countries in East Asia after Abenomics," Applied Economics Letters, Taylor & Francis Journals, vol. 22(4), pages 255-260, March.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:4:p:255-260
    DOI: 10.1080/13504851.2014.937029
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    Cited by:

    1. Ryou, Jai Won & Baak, Saang Joon & Kim, Won Joong, 2019. "Effects of Japanese quantitative easing policy on the economies of Japan and Korea," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 241-252.

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