Transformations in
Business & Economics
- © Vilnius University, 2002-2014
- © Brno University of Technology, 2002-2014
- © University of Latvia, 2002-2014
Article
CONSIDERATIONS ON THE RELATIONSHIP BETWEEN EXCHANGE RATES AND STOCK MARKETS IN EASTERN EUROPE IN TIME OF CRISIS
Dan Lupu, Mircea Asandului
ABSTRACT.This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods .
KEYWORDS: crisis, exchange rate, stock markets, interdependence, impulse functions, Eastern European countries.
JEL classification: G01, G14, G15, G17.