Hasanujzaman, Muhammad (2016): The impact of export growth to stock market in a managed floating exchange rate regime: A VAR Analysis.
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Abstract
This paper examines the dynamic effects of export growth to the stock market index in a managed-floating exchange rate regime in Bangladesh during the period 2004:M06-2013:M07. Using vector autoregressive (VAR) model, the impulse responses of the exchange rate and stock index (as well as prices, import and money market rate) to the export shock is studied. The result shows that exchange rate reacts negatively against a positive export shock.On the contrary, the response of stock index to one standard deviation positive innovation on export is positive, at least after certain period.
Item Type: | MPRA Paper |
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Original Title: | The impact of export growth to stock market in a managed floating exchange rate regime: A VAR Analysis |
English Title: | The impact of export growth to stock market in a managed floating exchange rate regime: A VAR Analysis |
Language: | English |
Keywords: | Vector Autoregression, Stock Market, Managed Floating Exchange rate Regime |
Subjects: | E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies |
Item ID: | 77123 |
Depositing User: | Mr. Muhammad Hasanujzaman |
Date Deposited: | 03 Mar 2017 14:31 |
Last Modified: | 28 Sep 2019 10:26 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/77123 |