The Study of Relationships between Stock Index and Real Exchange Rate in Sub-prime Crisis: Cases of American Trading Countries

• Main Authors: Ya-Hua Shiu, 徐雅華
• Other Authors: Chun-Hsuan Wang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/31496985943583179329

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 100 === In mid-2006, American housing price declined sharply. As a result, the default risk of those original sub-prime loans or refinancing loans was climbing. In 2007, US subprime loan crisis were out of control and negatively affected the US economy. This led to global economic panic, global stock selloffs, higher unemployment rate and financial institution bankruptcy. Thus the purpose of this study is to hopefully prevent similar event from happening again, basing on the examination of relationships between stock index and real exchange rate in sub-prime crisis. This study will focus on reviewing top 10 American trading countries including Canada, China, Mexico, Japan, Germany, United Kingdom, South Korea, France, Taiwan and Brazil. The studying periods are prior to subprime crisis (2005-2006), during subprime crisis (2007-2008) and after subprime crisis (2009-2010). Also, we will analyze the relationships between stock index and real exchange rate on those 10 countries during those 3 periods respectively. First, the unit root tests are used to investigate if all of the series are stable. Then, the existence of co-integrated relationship between stock index and real exchange rate is examined. We further use Vector Error Correction Model or VAR model, causal relationship test, impulse response analysis and Forecast Error Variance Decomposition. The study shows that all series in our data were unstable, stock index and real exchange rate does not have co-integrated relationship and there are different causalities and impulse responses prior, during and after the subprime crisis.