巴西股票價(jià)格與匯率之間關(guān)系的實(shí)證分析【外文翻譯】

1、本科畢業(yè)論文外文原文外文題目：THE DYNAMIC RELATIONSHIP BETWEEN STOCKPRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL出 處：International Journal of Theoretical and Applied Finance作 者：BENJAMIN M. TABAKThis paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We use rec

2、ently developed unit root and cointegration tests, which allow endogenousbreaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relationship, b

3、ut there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach: stock prices lead exchange rates with a negative correlation. Furthermore, we found evidence of nonlinear Granger causality from exchange rates to stock prices, in line with the traditional

4、 approach: exchange rates lead stock prices. We believe these findings have practical applications for international investors and in the design of exchange rate policies.Keywords: Stock prices; exchange rates; bivariate causality; nonlinear causality.IntroductionThe literature that studies the rela

5、tionship between exchange rates and stock prices is far from conclusive. There are two main theories that relate these financial markets. The first is the traditional approach, which concludes that exchange rates should lead stock prices. The transmission channel would be exchange rate fluctuations

6、which affect firm salues through changes in competitiveness and changes in the value of firm s assets and liabilities, denominated in foreign currency, ultimately affecting firmsfits a ncproerefore the value of equity.1Alternatively, changes in stock prices may influence movements in exchange rates

7、via portfolio adjustments (inflows/outflows of foreign capital). If there were a persistent upward trend in stock prices, inflows of foreign capital would rise. 1Even firms that are not internationally integrated (low ratio of exports and imports to total sales and a low proportion of foreign curren

8、cy-denominated assets and liabilities) may be indirectly affected.However, a decreasein stock prices would induce a reduction in domestic investor s wealth, leading to a fall in the demand for money and lower interest rates, causing capital outflows that would result in currency depreciation. Theref

9、ore, under the portfolio approach, stock prices would lead exchange rates with a negative correlation.In January 1999, Brazil abandoned the crawling peg and target zone regimes and adopted a floating exchange rate.2 From January 14 to March 3, the Brazilian Real depreciated drastically, 49.51%. The

10、BOVESPA Index (the S?ao Paulo Stock Exchange Index, the most important stock index in the country) increased 4.097 points in the same period (59.34% rise). This effect on the domestic stock index is very different from that observed in Asian economies at the start of the Asian crisis. Therefore, the

11、 Brazilian case provides an interesting opportunity to study the dynamics between stock prices and exchange rates.The rapid increase of the stock index could have occurred becauseeconomic worldwide believed that the currency was overvalued, and that depreciation would lead to an increase in firm com

12、petitiveness, enhancing exports and raising profits. Moreover, many firms that comprise the stock index have American DepositoryReceipts (ADR); these stock prices would respond almost immediately through arbitrage mechanisms, since, with the rapid depreciation, domestic traded stockswould be very ch

13、eapvis-a-vis their ADR.We analyze the dynamics between the stock index and the exchange rate using linear, and nonlinear, Granger causality tests. We employ series filtered for volatility and linear dependence when performing the nonlinear causality tests. We make use of newly developed unit root an

14、d cointegration tests, which allow endogenous breaks, to test for a long-run equilibrium relationship between these variables. Furthermore, we use impulse response functions to test the validity of both the traditional and portfolio approaches.This paper is organized as follows. In the next section,

15、 we present a brief literature review and the main findings in developed and emerging countries. Section3 presents the data and methodology employed. Section 4 shows the empirical evidence for the interdependencies between stock prices and exchange rates in Brazil. Section 5 concludes the paper and

16、gives some directions for further research.Literature ReviewThe relationship between exchange rates and stock prices is of great interest to many academics and professionals, since they play a crucial role in the economy. Nonetheless, results are somewhat mixed as to whether stock indexes lead excha

17、nge rates or vice versa and whether feedback effects (bi-causality) even exist among these financial variables.Campa et al. 11 studied the credibility of the crawling peg and target zone (maxiband) regimes and have a nice description of the period prior to the maxi-devaluation of the Real in 1999. D

18、ynamic Relationship Between Stock Prices and Exchange Rates 1379Aggarwal 4 argued that changes in exchange rates provoke profits or losses in the balance sheet of multinational firms, which induces their stock prices to change. In this case, exchange rates cause changes in stock prices (traditional

19、approach).Dornbusch 14 and Boyer 10 presented models suggesting that changes in stock prices and exchange rates are related by capital movements. Decreases in stock prices reduce domestic wealth, lowering the demand for money and interest rates, inducing capital outflows and currency depreciation.Ba

20、hmani-Oskooee and Sohrabian 6 analyzed the relation between stock prices and exchange rates in the US economy. They found no long-run relationship among these variables, but a dual causal relationship in the short-run using Granger 16 causality tests.3 Amihud 5 and Bartov and Bodnar 7 found that lag

21、ged, and not contemporaneous,changesin US dollar exchange rates, explain firms current stock returns.Ratner 29 applied cointegration analysis to test whether US dollar exchange rates affect US stock prices, using monthly data from March 1973 to December 1989. His results indicated that the underlyin

22、g long-term stochastic properties of the US stock index and foreign exchange rates are not related, since the null of no cointegration could not be rejected, even when dividing the sample into sub-periods.Ajayi and Mougou e3 analyzed the relationship between stock prices and exchange rates in eight

23、advanced economies (Canada, France, Germany, Italy, Japan, the Netherlands, the United Kingdom and the United States).4 Using an error correction model, they found significant short and long run feedback between these two variables.Abdalla and Murinde 1 investigated interactions between exchange rat

24、es and stock prices in India, Korea, Pakistan, and the Philippines. Using monthly observations in the period from January 1985 to July 1994. Within an error correction model framework, they found evidence of unidirectional causality from exchange rates to stock prices in all countries, except for th

25、e Philippines. There, they found that stock prices Granger influence exchange rates.Ong and Izan 28 used weekly data of “ spotand 90-day forward ” exchange rates for Australia and the G-7 countries and “ spot -adnady9fo0rward ” futures prices for equity prices in Australia, Britain, France and the U

26、S, during the period from October 1986 to December 1992. They were unable to find a significant relationship between equity and exchange rate markets. They suggested that the use of daily data (or even intra-day) could improve their empirical results.Ajayi et al. 2 used daily data and reported that

27、causality runs from the stock market to the currency market in Indonesia and the Philippines, while in Korea it runs in the opposite direction. No significant causal relation is observed in They use the S&P 500, the effective exchange rate, and monthly data over the period from July 1973 to December

28、 1988. Their sample runs from April 1985 to July 1991. Hong Kong, Singapore, Thailand, or Malaysia. However, in Taiwan, they detected bi-directional causality or feedback. Furthermore, contemporaneousadjustments are significant in only three of these eight countries. In developed countries, they fou

29、nd significant unidirectional causality from stock to currency markets and significantcontemporaneous effects.Granger et al. 17 found strong feedback relations between Hong Kong, Malaysia, Thailand and Taiwan. They used daily data and their sample period started January 3, 1986 and finished June 16,

30、 1998. Furthermore, they found that the resultsare in line with the traditional approach in Korea, while they agree with the portfolio approach in the Philippines.Nieh and Lee 26 found no significant long-run relationship between stock prices and exchange rates in G-7 countries, using both the Engle

31、-Granger and Johansen s cointegration tes6tsF.urthermore, they found ambiguous, and significant, shortrun relationships for these countries. Nonetheless, in some countries, both stock indexes and exchange rates may serve to forecast the future paths of these variables. For example, they found that c

32、urrency depreciation stimulates Canadian and UK stock markets with a one-day lag, and that increases in stock prices cause currency depreciation in Italy and Japan, again with a one-day lag.In general, empirical findings suggest that there are no long-run equilibrium relationships between these two

33、financial variables (exchange rates and stock prices) in most countries. However, many studies have found that these variables have “ predictive ability ” for each other, although the direction of causaloitydseepemnds t on specific characteristics of the country analyzed. To the best of our knowledg

34、e, this is the first paper that addresses this issue in the Brazilian economy.Data and MethodologyThe data, obtained from Bloomberg, consists of 1,922 observations, from August 1, 1994 to May 14, 2002, of daily closing prices in the S ?ao Paulo Stock Exchange Index (IBOVESPA) and foreign exchange ra

35、te (units of Real per US dollar). We use daily data since the use of monthly data may not be adequate to capture the effects of capital movements 1、 Unit rootsWe used the Augmented Dickey and Fuller 13 (ADF) test for unit roots, using both a trend and an intercept. In general, an ADFp() model is giv

36、en by 詼t = a+ (1 -(|)Xt-1 + y + 2 ijXt-i + &.(3.1)The Bayesian Schwarz Information criterion was used to choose the order of lags (p) in Eq. (3.1). Furthermore, we imposed an additional requirement, that the resulting model has white noise residuals. If the resulting model has serial correlation, th

37、e order of lags is augmented until residuals with no serial correlation are obtained.Since the failure to reject the null of a unit root may be due to the low power of unit root tests against stationary alternatives, Kwiatkowski, et al. 22 proposed a test where the null is stationary and the alterna

38、tive is a unit root. This test is given by KPSS=1/T22 2/S2(L)WhereStKc(t=1, 2, 3,T)AndS2=1/T 2 (e)+2/T 2 -S/(L+1) Hees)The residuals are given by the e_i s, T is the number of observations and L is the laglength.譯 文： 巴西股票價(jià)格與匯率之間關(guān)系的實(shí)證分析本文研究在巴西經(jīng)濟(jì)中股價(jià)與匯率的動(dòng)態(tài)關(guān)系， 我們使用單位根檢驗(yàn)和協(xié)整關(guān)系檢驗(yàn)來(lái)研究主要變量之間的長(zhǎng)期關(guān)系。 同時(shí)在考慮波動(dòng)性和線性

39、關(guān)系的基礎(chǔ)上， 我們還使用線性因果關(guān)系檢驗(yàn)和非線性因果關(guān)系檢驗(yàn)。 通過(guò)檢驗(yàn)， 我們發(fā)現(xiàn)，兩者之間沒(méi)有任何長(zhǎng)期關(guān)系， 但按照投資組合的方法可以得出股價(jià)與匯率之間是呈負(fù)相關(guān)的， 股票價(jià)格對(duì)匯率存在線性格蘭杰因果關(guān)系。 此外， 我們還發(fā)現(xiàn)按照傳統(tǒng)的方法發(fā)現(xiàn)匯率對(duì)股票價(jià)格存在非線性格蘭杰因果關(guān)系。 我們認(rèn)為， 這些發(fā)現(xiàn)對(duì)國(guó)際投資者和政策制定者有著實(shí)際的用處。關(guān)鍵詞：股票價(jià)格，匯率，二元因果關(guān)系，非線性因果關(guān)系1、介紹本文所用的文獻(xiàn)中主要是通過(guò)遠(yuǎn)離定律研究匯率與股價(jià)之間的關(guān)系。 它涉及兩個(gè)主要的金融市場(chǎng)的理論。 首先是傳統(tǒng)做法的理論， 它認(rèn)為匯率變動(dòng)會(huì)導(dǎo)致股票價(jià)格的變動(dòng)。匯率波動(dòng)對(duì)股權(quán)價(jià)值的的影響是通過(guò)

40、以外幣計(jì)價(jià)的公司的資產(chǎn)和負(fù)債的價(jià)值的變化最終引起公司的利潤(rùn)的改變而實(shí)現(xiàn)的。 而另一種方法是投資組合的方法理論，在投資組合的方法中通過(guò)調(diào)整利率使得股票價(jià)格的變化可能對(duì)匯率的變化帶來(lái)影響。 如果保持股票價(jià)格持續(xù)上升的趨勢(shì)， 將會(huì)導(dǎo)致國(guó)外資本的流入的增加。 而在股票價(jià)格下跌的時(shí)候， 會(huì)引起國(guó)內(nèi)投資者的資產(chǎn)的外流， 導(dǎo)致貨幣需求和利率的下降， 而資本的外流使得國(guó)內(nèi)貨幣的貶值。 因此， 在投資組合的方法下，股票價(jià)格和匯率之間是呈負(fù)相關(guān)。1999 年 1 月，巴西放棄了固定匯率制度，而選擇使用浮動(dòng)匯率制度。在 1月 14 日至 3 月 3 巴西貨幣大幅貶值了 49.51%， 巴西證券交易所指數(shù)在同一時(shí)期上

41、升了 4.097 個(gè)百分點(diǎn)（即上升了59.34%） 。亞洲經(jīng)濟(jì)學(xué)家從巴西股價(jià)指數(shù)變化對(duì)國(guó)內(nèi)經(jīng)濟(jì)的產(chǎn)生了重大的影響中觀察到了這是亞洲經(jīng)濟(jì)危機(jī)的開(kāi)始。 因此， 巴西的情況為我們提供了一個(gè)學(xué)習(xí)股票價(jià)格與匯率動(dòng)態(tài)關(guān)系的好機(jī)會(huì)。巴西股票指數(shù)的快速增長(zhǎng)的基礎(chǔ)是經(jīng)濟(jì)的快速增長(zhǎng)， 在全世界都認(rèn)為貨幣價(jià)值是被高估時(shí)， 貨幣的貶值將會(huì)給企業(yè)提供更多的出口量和利潤(rùn)， 增加企業(yè)的競(jìng)爭(zhēng)力。此外，許多公司的股票指數(shù)的構(gòu)成包括美國(guó)存托憑證收據(jù)（ADR） ，因此在面對(duì)貨幣貶值的時(shí)候這些股票價(jià)格使用套利機(jī)制幾乎會(huì)立即做出反應(yīng)， 使得國(guó)內(nèi)交易的股票的價(jià)格在面對(duì)美國(guó)存托憑證收據(jù)時(shí)會(huì)變得很廉價(jià)。我們通過(guò)對(duì)股票價(jià)格與匯率之間的線性檢驗(yàn)

42、， 非線性檢驗(yàn)及格蘭杰因果關(guān)系檢驗(yàn)對(duì)兩者之間的關(guān)系進(jìn)行分析。 我們對(duì)有波動(dòng)的數(shù)據(jù)采用線性和非線性因果關(guān)系檢驗(yàn)的方法進(jìn)行檢驗(yàn)。 我們采用新開(kāi)發(fā)的單位根和協(xié)整檢驗(yàn)， 用來(lái)測(cè)試這些變量之間的長(zhǎng)期均衡關(guān)系。 此外， 我們還使用脈沖響應(yīng)函數(shù)來(lái)測(cè)試傳統(tǒng)和組合的兩種方法對(duì)匯率與股價(jià)指數(shù)兩者之間關(guān)系的研究結(jié)果。本文敘述如下， 在下一節(jié)中， 我們提出了一個(gè)簡(jiǎn)短的主要針對(duì)對(duì)發(fā)達(dá)國(guó)家和新興國(guó)家的研究結(jié)果的分析。 第三節(jié)， 介紹了數(shù)據(jù)和方法的應(yīng)用。 第四節(jié)給出了對(duì)巴西的股價(jià)和匯率之間的相互關(guān)系的實(shí)證結(jié)果。 第五節(jié)總結(jié)本文， 并給出了結(jié)論和進(jìn)一步研究方向。2、文獻(xiàn)許多學(xué)者和專業(yè)人士對(duì)匯率和股票價(jià)格之間的關(guān)系非常感興趣，

43、 而且他們的研究在經(jīng)濟(jì)發(fā)展中發(fā)揮了關(guān)鍵作用。 然而， 研究的結(jié)果包括多種， 股價(jià)指數(shù)與匯率之間可能存在股價(jià)指數(shù)變動(dòng)導(dǎo)致匯率的變動(dòng)， 或者反之匯率的變化導(dǎo)致股價(jià)指數(shù)的變化，或者兩者是雙向的關(guān)系。Aggarwal認(rèn)為，匯率變動(dòng)引起跨國(guó)公司的資產(chǎn)負(fù)債表上利潤(rùn)或虧損的變動(dòng)，從而引起其股票價(jià)格的變動(dòng)。 這這種情況下， 他認(rèn)為匯率的變動(dòng)會(huì)引起股票價(jià)格的變化（傳統(tǒng)方法） 。Dornbusch和Boyer提出了一個(gè)表明股票價(jià)格與匯率相關(guān)的資本流動(dòng)變動(dòng)的模型。 在股票價(jià)格下跌的時(shí)候， 使得國(guó)內(nèi)的資本外流， 降低了國(guó)內(nèi)貨幣的需求導(dǎo)致利率的下降，導(dǎo)致資本外流和貨幣貶值。Bahmani-Oskooeef口Sohrab

44、ian分析了美國(guó)國(guó)內(nèi)經(jīng)濟(jì)中的股價(jià)和匯率之間的關(guān)系。 他們沒(méi)有得出在長(zhǎng)期關(guān)系中兩者的相關(guān)關(guān)系， 但他們使用了格蘭杰因果關(guān)系檢驗(yàn)得出了短期內(nèi)兩者之間的關(guān)系。Amihud, Bartov和Bodnar發(fā)現(xiàn)在不同時(shí)期，由于美元匯率的變化無(wú)法表明公司目前的股票收益率， 所以兩者之間的關(guān)系是滯后的。Ratner通過(guò)對(duì)197孫3月至1989年12月月度數(shù)據(jù)進(jìn)行協(xié)整分析來(lái)測(cè)試美元匯率對(duì)美國(guó)股價(jià)的影響。他的研究結(jié)果表明，在長(zhǎng)期中， 美國(guó)股票價(jià)格與匯率之間是不存在因果關(guān)系的，因?yàn)榧词故欠謺r(shí)段的樣本都無(wú)法得到兩者之間的協(xié)整的關(guān)系。Ajayi和Mougouet用誤差修正模型分析了八個(gè)國(guó)家的股票價(jià)格與匯率之間的關(guān)系（加拿大，法國(guó)，德國(guó)，意大利