ارتباط پویا بین نرخ واقعی ارز و قیمت سهام: شواهدی از بازارهای آسیایی توسعه یافته و در حال ظهور

This paper investigates the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the developed and emerging Asian markets. We, first, derive the dynamic conditional correlation (DCC) of the two series, and then DCC is regressed on the trade balance and the interest rate differentials. In general, the trade balance is found to be a main determinant of the dynamic correlation for the Asian markets, whereas the interest rate differential is the driving force for the developed markets. The latter seems to reflect the high capital mobility.