The price behavior of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets - Panel cointegration and the VAR models applications

• Main Authors: Ta-Li Shih, 史大麗
• Other Authors: Ai-Chi, Hsu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/vmx4p5

博士 === 國立雲林科技大學 === 管理研究所博士班 === 100 === This study examines the price behavior and their interaction of stock prices, exchange rates and interest rates in the Asia Pacific emerging markets. We employ panel cointegration tests and vector autoregressive model, generalized impulse response function to test for pairwise long-run equilibrium relationship between stock prices, exchange rates and interest rates. Furthermore, we compare the price behavior resulting in three variables change and influence from the Asian financial crisis and the U.S. subprime mortgage crisis events. The empirical results of panel cointegration still show that three variables have cointegration relationship. From vector autoregressive model, generalized impulse response functions point out that the stock prices, exchange rates has dual relationship and exchange rates, interest rate has dual relationship, too. On the other hand, stock prices, interest rate just have one-side relationship. The price behavior of the three variables does change after these financial crises, indeed.