Browsing by Author "Zhang, Yifeng"

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    Exploring the relationship between stock prices and exchange rates in North America and China
    (University of New Brunswick, 2016) Zhang, Yifeng; Dalkir, Mehmet
    This report explores the relationship between stock prices and exchange rates in North America and China during the post-crisis period. It is found that there is a stable long-run relationship between stock prices and exchange rates in Canada and China, but not for the US. Another finding is that Canadian exchange rates and stock prices exhibit bi-directional Granger causality, which supports both “flow-orientated” model and “stock-orientated” model. Conversely, the two financial variables in China interact in a manner consistent with the “flow-orientated” model. On the other hand, no Granger causality is found between these two financial variables for the US in either direction. Finally, this report provides a few implications for monetary policy makers and global investors.