کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054132 | 1476527 | 2014 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Analyzing time-frequency relationship between interest rate, stock price and exchange rate through continuous wavelet
ترجمه فارسی عنوان
تجزیه و تحلیل رابطه زمان-فرکانس بین نرخ بهره، قیمت سهام و نرخ ارز از طریق موجک مداوم
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کلمات کلیدی
اثرات سیکل، اثرات ضد چرخه ای، علیت گرنجر، تفاوت فاز، موجها صعود، انسجام موجک،
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical findings suggest that stock prices, exchange rates and interest rates are linked. The cross wavelet results show that stock price movements are lagging both to the exchange rate and interest rate fluctuations. The interest rate lead over the stock price movements is even clearer, especially after 2006, and it suggests that the stock market follows the interest rate signals. Comparing results of WTC and XWT, we find very clear results of phase difference of lead-lag relationship between stock prices, exchange rates and interest rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 41, August 2014, Pages 227-238
Journal: Economic Modelling - Volume 41, August 2014, Pages 227-238
نویسندگان
Alin Marius AndrieÈ, Iulian Ihnatov, Aviral Kumar Tiwari,