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    Exchange rate determination and equity prices: Evidence from the UK

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    Publication date
    2013-11
    Author
    Litsios, Ioannis
    Keyword
    Exchange rates; Stock prices; Cointegration
    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/)
    Peer-Reviewed
    Yes
    
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    Abstract
    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.
    URI
    http://hdl.handle.net/10454/10494
    Version
    Accepted manuscript
    Citation
    Litsios I (2013) The Exchange Rate Determination and Equity Prices: Evidence from the UK. Journal of Economic Asymmetries. 10(2): 115-128.
    Link to publisher’s version
    http://dx.doi.org/10.1016/j.jeca.2014.01.002
    Type
    Article
    Collections
    Management and Law Publications

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