The dynamics between the stock market and exchange rates: Spain 1999-2015

Despite the significance of the subprime crisis, there are few studies of its impact on the dynamics between stock markets and exchange rates in Eurozone countries. This study helps to remedy that shortage by analysing the dynamics between the stock market and exchange rates for the Spanish economy...

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Authors: Luzarraga Goitia, Jose Luis Lázaro, Regúlez Castillo, Marta, Rodríguez Castellanos, Arturo
Format: article
Publication Date:2020
Country:España
Institution:Universidad del País Vasco
Repository:Addi. Archivo Digital para la Docencia y la Investigación
OAI Identifier:oai:addi.ehu.eus:10810/77925
Online Access:http://hdl.handle.net/10810/77925
Access Level:Open access
Keyword:stock market
exchange rates
Granger causality
financial crisis
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spelling The dynamics between the stock market and exchange rates: Spain 1999-2015Luzarraga Goitia, Jose Luis LázaroRegúlez Castillo, MartaRodríguez Castellanos, Arturostock marketexchange ratesGranger causalityfinancial crisisDespite the significance of the subprime crisis, there are few studies of its impact on the dynamics between stock markets and exchange rates in Eurozone countries. This study helps to remedy that shortage by analysing the dynamics between the stock market and exchange rates for the Spanish economy in the period 1999–2015 with sub-periods 1999–2007 and 2008–2015, both before and after the financial crisis. We analyse the Granger causality between the Spanish stock market and real effective exchange rates and EUR/USD, EUR/JPY, EUR/CNY and EUR/GBP bilateral rates, through the Toda and Yamamoto procedure. To check robustness and sign in the direction of causality we use impulse-response analysis. On the one hand, the results show that the relationships analysed are significant only in the crisis sub-period (2008–2015), in which bilateral exchange rates lead fluctuations in the stock market while the latter leads the real effective exchange rate. On the other hand, for bilateral exchange rates the directions that show the impulse-response analysis are consistent with those shown in the Granger-causality analysis and the sign coincides with the data on the merchandise trade balance with the countries in question.Basque Government under grant IT1336-19.Taylor & Francis202620262020info:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10810/77925reponame:Addi. Archivo Digital para la Docencia y la Investigacióninstname:Universidad del País VascoIngléshttps://doi.org/10.1080/1351847X.2020.1832024info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/4.0/(c) 2020 Taylor & Francis. This version is deposited under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives Licenseoai:addi.ehu.eus:10810/779252026-06-18T09:23:17Z
dc.title.none.fl_str_mv The dynamics between the stock market and exchange rates: Spain 1999-2015
title The dynamics between the stock market and exchange rates: Spain 1999-2015
spellingShingle The dynamics between the stock market and exchange rates: Spain 1999-2015
Luzarraga Goitia, Jose Luis Lázaro
stock market
exchange rates
Granger causality
financial crisis
title_short The dynamics between the stock market and exchange rates: Spain 1999-2015
title_full The dynamics between the stock market and exchange rates: Spain 1999-2015
title_fullStr The dynamics between the stock market and exchange rates: Spain 1999-2015
title_full_unstemmed The dynamics between the stock market and exchange rates: Spain 1999-2015
title_sort The dynamics between the stock market and exchange rates: Spain 1999-2015
dc.creator.none.fl_str_mv Luzarraga Goitia, Jose Luis Lázaro
Regúlez Castillo, Marta
Rodríguez Castellanos, Arturo
author Luzarraga Goitia, Jose Luis Lázaro
author_facet Luzarraga Goitia, Jose Luis Lázaro
Regúlez Castillo, Marta
Rodríguez Castellanos, Arturo
author_role author
author2 Regúlez Castillo, Marta
Rodríguez Castellanos, Arturo
author2_role author
author
dc.subject.none.fl_str_mv stock market
exchange rates
Granger causality
financial crisis
topic stock market
exchange rates
Granger causality
financial crisis
description Despite the significance of the subprime crisis, there are few studies of its impact on the dynamics between stock markets and exchange rates in Eurozone countries. This study helps to remedy that shortage by analysing the dynamics between the stock market and exchange rates for the Spanish economy in the period 1999–2015 with sub-periods 1999–2007 and 2008–2015, both before and after the financial crisis. We analyse the Granger causality between the Spanish stock market and real effective exchange rates and EUR/USD, EUR/JPY, EUR/CNY and EUR/GBP bilateral rates, through the Toda and Yamamoto procedure. To check robustness and sign in the direction of causality we use impulse-response analysis. On the one hand, the results show that the relationships analysed are significant only in the crisis sub-period (2008–2015), in which bilateral exchange rates lead fluctuations in the stock market while the latter leads the real effective exchange rate. On the other hand, for bilateral exchange rates the directions that show the impulse-response analysis are consistent with those shown in the Granger-causality analysis and the sign coincides with the data on the merchandise trade balance with the countries in question.
publishDate 2020
dc.date.none.fl_str_mv 2020
2026
2026
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10810/77925
url http://hdl.handle.net/10810/77925
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv https://doi.org/10.1080/1351847X.2020.1832024
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Addi. Archivo Digital para la Docencia y la Investigación
instname:Universidad del País Vasco
instname_str Universidad del País Vasco
reponame_str Addi. Archivo Digital para la Docencia y la Investigación
collection Addi. Archivo Digital para la Docencia y la Investigación
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.198674

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