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The US Dow and the US dollar

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  • Samih Antoine Azar

Abstract

This article considers the relation between the US Dow Jones Industrial Average (Dow) and the US dollar. Monthly data sets that cover the float period of foreign exchange rates are used. Least square regressions with calendar breakpoints are estimated. The evidence is strong that for the ten currencies that have breakpoints the recent samples uncover a significant relation between the US Dow and the US dollar, while the older samples negate such a relation. The conclusion is that this relation is subject to shifts and, when these shifts are accounted for, the relation is found to be statistically very significant.

Suggested Citation

  • Samih Antoine Azar, 2014. "The US Dow and the US dollar," Applied Economics Letters, Taylor & Francis Journals, vol. 21(10), pages 683-686, July.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:10:p:683-686
    DOI: 10.1080/13504851.2014.884690
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    References listed on IDEAS

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    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(3), pages 315-352, June.
    3. Samih Antoine Azar, 2010. "Inflation and stock returns," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(3/4), pages 254-274.
    4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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    Cited by:

    1. Samih Antoine Azar, 2015. "The Relation of the US Dollar with Oil Prices, Gold Prices, and the US Stock Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 6(1), pages 159-171, March.
    2. Abid, Fathi & Kaffel, Bilel, 2018. "Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1028-1045.

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