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Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis

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  • Lupu, Dan
  • Asandului, Mircea

Abstract

This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.

Suggested Citation

  • Lupu, Dan & Asandului, Mircea, 2014. "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper 95507, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:95507
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    File URL: https://mpra.ub.uni-muenchen.de/95507/1/MPRA_paper_95507.pdf
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    References listed on IDEAS

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    Cited by:

    1. Lupu, Dan & Asandului, Mircea & Sîrghi, Nicoleta, 2015. "Considerations regarding inflation's evolution in Central and Eastern European countries," MPRA Paper 95508, University Library of Munich, Germany.

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    More about this item

    Keywords

    crisis; exchange rate; stock markets; interdependence; impulse functions; Eastern European countries;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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