The dynamic linkage between exchange rate, stock price and interest rate in India

Malepati, J and Rath, B N and Wagner, N F and Narayan, P K (2017) The dynamic linkage between exchange rate, stock price and interest rate in India. Studies in Economics and Finance. 00-00. ISSN 1086-7376 (In Press)

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Abstract

Our major findings indicate that the empirical relationship between these variables is not significant at lower scales. As we go on higher scales, there is a clear linkage between them and three markets are associated with each other. Moreover, the direction and type of the relationship depends on the frequency bands and finally with the help of Granger causality tests we established a lead/lag relationship between stock price, exchange rate and interest rate.

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IITH Creators:
IITH CreatorsORCiD
Rath, B Nhttp://orcid.org/0000-0001-7211-0952
Item Type: Article
Subjects: Social sciences > Political Science & Economics
Depositing User: Team Library
Date Deposited: 10 Jul 2017 05:19
Last Modified: 10 Jul 2017 05:19
URI: http://raiith.iith.ac.in/id/eprint/3360
Publisher URL: https://doi.org/10.1108/SEF-02-2016-0043
OA policy: http://www.sherpa.ac.uk/romeo/issn/1086-7376/
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