The Relationships Among Monetry Policy, Stock Prices and the Exchange Rate

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dc.contributor.advisor Dr. Douglas K. Pearce, Committee Chair en_US
dc.contributor.author Ivrendi, Mehmet en_US
dc.date.accessioned 2010-04-02T19:19:05Z
dc.date.available 2010-04-02T19:19:05Z
dc.date.issued 2005-12-31 en_US
dc.identifier.other etd-12282004-111638 en_US
dc.identifier.uri http://www.lib.ncsu.edu/resolver/1840.16/5740
dc.description.abstract In this dissertation, we are interested in the relationships among monetary policy, stock prices and exchange rates. This thesis argues that on the one hand, monetary policy affects both stock prices and the exchange rate, on the other hand, stock prices and exchange rates affect monetary policy as well as each other. Therefore, the relationships between these variables are reciprocal, and it is highly probable that a shock to one variable will affect the other variables. This paper takes into account the endogenous relationship among the above mentioned variables, the conditional variances and conditional cross covariances among these variables . We examine the simultaneous relationship between monetary policy and stock prices, and between monetary policy and the exchange rate by employing the Identification Through Heteroscedasticity (ITH) method. We also examine the dynamic relationships among monetary policy and the financial variables(stock prices and the exchange rate) and the dynamic relationships among the volatilities of shocks to monetary policy and financial variables using the Vector Error Correction Model (VECM) , Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q, p) models. Our findings indicate that monetary policy reacts to the fluctuations in the stock market and the exchange rate and that monetary policy has significant effects on the stock and exchange rate. We also find that there are strong spillover effects of shocks and volatilities across interest rates, stock prices and the exchange rate. en_US
dc.rights I hereby certify that, if appropriate, I have obtained and attached hereto a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to NC State University or its agents the non-exclusive license to archive and make accessible, under the conditions specified below, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. en_US
dc.subject VECM en_US
dc.subject VECTOR AUTOREGRESSIVE AND GENERALIZED ARCH en_US
dc.subject VAR-GARCH en_US
dc.subject VAR-ARCH en_US
dc.subject GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDA en_US
dc.subject EXCHANGE MARKET en_US
dc.subject STOCK PRICE en_US
dc.subject STOCK MARKET en_US
dc.subject VECTOR ERROR CORRECTION METHOD en_US
dc.subject ITH en_US
dc.subject ITH ESTIMATION METHOD en_US
dc.subject VARX en_US
dc.subject VECTOR AUTOREGRESSIVE MODEL en_US
dc.subject VAR en_US
dc.title The Relationships Among Monetry Policy, Stock Prices and the Exchange Rate en_US
dc.degree.name PhD en_US
dc.degree.level dissertation en_US
dc.degree.discipline Economics en_US


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