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Stock market information and the relationship between real exchange rate and real interest rates

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Junttila, J.-P., & Korhonen, M. (2013). Stock market information and the relationship between real exchange rate and real interest rates. Applied Financial Economics, Vol 23(No 11), 901-920. https://doi.org/10.1080/09603107.2013.776662
Published in
Applied Financial Economics
Authors
Junttila, Juha-Pekka |
Korhonen, Marko
Date
2013
Discipline
Kauppatieteellinen koulutusala
Copyright
© 2013 Taylor & Francis

 
In this paper we propose to augment the traditional relationship between real exchange rates and real interest rates (RERI) by adding the stock market equilibrium condition to it. We introduce the relative dividend yield as the new information variable. In the empirical analysis we use recent monthly observations from the U.K., Japan, Canada and Eurozone, all relative to the U.S. We show that the introduction of stock market information is highly relevant for the functioning of the RERI hypothesis. Based on the results from the cointegration analysis the role of relative stock market performance is especially important in the short- term (3 month) horizon, where the augmented RERI representation is most stronlgy supported.
Publisher
Routledge
ISSN Search the Publication Forum
0960-3107
Keywords
RER reaalikorot osakemarkkinat yhteisintegraatio real interest rates stock markets cointegration
DOI
https://doi.org/10.1080/09603107.2013.776662
URI

http://urn.fi/URN:NBN:fi:jyu-201401291151

Publication in research information system

https://converis.jyu.fi/converis/portal/detail/Publication/22997554

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