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Exchange rate determination and equity prices: Evidence from the UK

Yes / This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities, and domestic and foreign real money balances, with a view to examine whether stock markets have an effect on the exchange rate in the long-run. The model is tested using data from the UK and the USA. Evidence suggests that the UK stock market has a significant effect on the value of the pound's sterling nominal effective exchange rate in the long-run over the period 1982 to 2011.

Identiferoai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/10494
Date2014 February 1914
CreatorsLitsios, Ioannis
Source SetsBradford Scholars
LanguageEnglish
Detected LanguageEnglish
TypeArticle, Accepted manuscript
Rights© 2013 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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