Munich Personal RePEc Archive

Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis

Lupu, Dan and Asandului, Mircea (2014): Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis. Published in: Transformations in Business & Economics , Vol. 13, No. 3C (33C) (30 September 2014): pp. 430-445.

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Abstract

This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.

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