The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis
This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using a wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and stock price in US over the period from january 1...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2011-01-01
|
| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | http://www.econjournals.com/index.php/ijefi/article/view/47/pdf |