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The impact of export growth to stock market in a managed floating exchange rate regime: A VAR Analysis

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  • Hasanujzaman, Muhammad

Abstract

This paper examines the dynamic effects of export growth to the stock market index in a managed-floating exchange rate regime in Bangladesh during the period 2004:M06-2013:M07. Using vector autoregressive (VAR) model, the impulse responses of the exchange rate and stock index (as well as prices, import and money market rate) to the export shock is studied. The result shows that exchange rate reacts negatively against a positive export shock.On the contrary, the response of stock index to one standard deviation positive innovation on export is positive, at least after certain period.

Suggested Citation

  • Hasanujzaman, Muhammad, 2016. "The impact of export growth to stock market in a managed floating exchange rate regime: A VAR Analysis," MPRA Paper 77123, University Library of Munich, Germany, revised Oct 2016.
    • Handle: RePEc:pra:mprapa:77123
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    References listed on IDEAS

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    1. Christopher J. Erceg & Andrew T. Levin, 2002. "Optimal monetary policy with durable and non-durable goods," International Finance Discussion Papers 748, Board of Governors of the Federal Reserve System (U.S.).
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    3. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
    4. Lin, Chien-Hsiu, 2012. "The comovement between exchange rates and stock prices in the Asian emerging markets," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 161-172.
    5. Md. Rafayet Alam, 2015. "Effectiveness of monetary policy in Bangladesh," Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(2), pages 363-372, April-Jun.
    6. Ivanov Ventzislav & Kilian Lutz, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-36, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Vector Autoregression; Stock Market; Managed Floating Exchange rate Regime;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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