巴西股票价格与汇率之间关系的实证分析.doc

本科毕业论文外文原文 外文题目：THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL 出 处：International Journal of Theoretical and Applied Finance 作 者：BENJAMIN M. TABAK This paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We use recently developed unit root and cointegration tests, which allow endogenous breaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relationship, but there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach: stock prices lead exchange rates with a negative correlation. Furthermore, we found evidence of nonlinear Granger causality from exchange rates to stock prices, in line with the traditional approach: exchange rates lead stock prices. We believe these findings have practical applications for international investors and in the design of exchange rate policies. Keywords: Stock prices; exchange rates; bivariate causality; nonlinear causality. 1. Introduction The literature that studies the relationship between exchange rates and stock prices is far from conclusive. There are two main theories that relate these financial markets. The first is the traditional approach, which concludes that exchange rates should lead stock prices. The transmission channel would be exchange rate fluctuations which affect firm’s values through changes in competitiveness and changes in the value of firm’s assets and liabilities, denominated in foreign currency, ultimately affecting firms’ profits and therefore the value of equity.1 Alternatively, changes in stock prices may influence movements in exchange rates via portfolio adjustments (inflows/outflows of foreign capital). If there were a persi