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Dynamics of macroec...
Dynamics of macroeconomic and financial variables in different time horizons
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- Karlsson, Hyunjoo Kim (author)
- Jönköping University,IHH, Economics, Finance and Statistics
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- Hacker, R. Scott (thesis advisor)
- Jönköping University,IHH, Economics, Finance and Statistics
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- Mann, Catherine L., Professor (opponent)
- Brandeis University, Massachusetts, USA
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(creator_code:org_t)
- ISBN 9789186345297
- Jönköping : Jönköping International Business School, Jönköping University, 2012
- English 48 s.
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Series: JIBS Dissertations Series, 1403-0470 ; 077
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Abstract
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- This dissertation consists of an introductory chapter and four papers dealing with financial issues of open economies, which can be in two broad categorizations: 1) exchange rate movements and 2) stock market interdependence. The first paper covers how the exchange rate changes affect the prices of internationally traded goods. With the variables (the price of exports in exporters’ currency and the exchange rate, both of which are in logarithmic form) being cointegrated, a model with both long- and short-run characteristics (the Error Correction Model, ECM) is formulated.The second paper relates to the standard macroeconomic models of exchange rate determination. This paper investigates the relationship between the exchange rate and the domestic-foreign interest rate differential.A relevant issue associated with the relationship between export prices and exchange rates for different industries is found in the third paper. The responsiveness of firms’ profitability to changes in exchange rates (i.e. exchange rate exposure) is tested using a factor model.After the three papers noted above, the dissertation moves on to the final paper which explores the relationship between national stock markets (i.e. interdependence). The causal linkages of the U.S. stock market to each of six eastern Asian national stock markets (China, Hong Kong, Japan, Singapore, South Korea and Taiwan) as well as the causal linkages among those Asian equity markets are tested in a vector autoregression (VAR) model using wavelet-decomposed data.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Publication and Content Type
- vet (subject category)
- dok (subject category)
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