EN
The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis
Abstract
This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using a wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and stock price in US over the period from january 1990 to december 2008 and using the definitions of wavelet variance, wavelet correlation and cross-correlations to analyze the association as well as the lead/lag relationship between these series at the different time scales. Our results show that the relationship between interest rate and exchange rate is not significantly different from zero at all scales. On the other hand, the relationship between interest rate returns and stock index returns is significantly different from zero only at the highest scales. The exchange rate returns and stock index returns have a bidirectional relationship in this period at longer horizons.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
December 1, 2011
Submission Date
December 1, 2011
Acceptance Date
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Published in Issue
Year 2011 Volume: 1 Number: 4
APA
Hamrita, M. E., & Trifi, A. (2011). The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis. International Journal of Economics and Financial Issues, 1(4), 220-228. https://izlik.org/JA72EP76TR
AMA
1.Hamrita ME, Trifi A. The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis. IJEFI. 2011;1(4):220-228. https://izlik.org/JA72EP76TR
Chicago
Hamrita, Mohamed Essaied, and Abdelkader Trifi. 2011. “The Relationship Between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis”. International Journal of Economics and Financial Issues 1 (4): 220-28. https://izlik.org/JA72EP76TR.
EndNote
Hamrita ME, Trifi A (December 1, 2011) The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis. International Journal of Economics and Financial Issues 1 4 220–228.
IEEE
[1]M. E. Hamrita and A. Trifi, “The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis”, IJEFI, vol. 1, no. 4, pp. 220–228, Dec. 2011, [Online]. Available: https://izlik.org/JA72EP76TR
ISNAD
Hamrita, Mohamed Essaied - Trifi, Abdelkader. “The Relationship Between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis”. International Journal of Economics and Financial Issues 1/4 (December 1, 2011): 220-228. https://izlik.org/JA72EP76TR.
JAMA
1.Hamrita ME, Trifi A. The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis. IJEFI. 2011;1:220–228.
MLA
Hamrita, Mohamed Essaied, and Abdelkader Trifi. “The Relationship Between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis”. International Journal of Economics and Financial Issues, vol. 1, no. 4, Dec. 2011, pp. 220-8, https://izlik.org/JA72EP76TR.
Vancouver
1.Mohamed Essaied Hamrita, Abdelkader Trifi. The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis. IJEFI [Internet]. 2011 Dec. 1;1(4):220-8. Available from: https://izlik.org/JA72EP76TR