Dynamic Relations between Stock Returns and Exchange Rate Changes
研究了五个欧洲主要国家、美国、加拿大和日本股票收益与汇率变化之间的动态关系，发现滞后汇率对股票收益有显著影响，且两者之间存在双向格兰杰因果关系，这种关系在近年和衰退期更强。
Abstract We re‐examine the relation between stock returns and exchange rate changes in five major European countries (France, Germany, Italy, Switzerland, and the UK), the USA, Canada, and Japan by taking into account dynamic effects, including lagged changes of variables, and employing causal relations. We find that lagged exchange rates have a significant impact on stock returns. We find evidence of Granger causality from exchange rate changes to stock returns, and also for the reverse direction. Furthermore, the dynamic relation has been more significant and stronger in recent years and recession periods than in early periods and expansion periods.