The dynamic linkage between exchange rate, stock price and interest rate in India

Malepati, J and Rath, Badri Narayan and Wagner, N F and Narayan, P K (2017) The dynamic linkage between exchange rate, stock price and interest rate in India. Studies in Economics and Finance, 34 (3). pp. 383-406. ISSN 1086-7376

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Abstract

Our major findings indicate that the empirical relationship between these variables is not significant at lower scales. As we go on higher scales, there is a clear linkage between them and three markets are associated with each other. Moreover, the direction and type of the relationship depends on the frequency bands and finally with the help of Granger causality tests we established a lead/lag relationship between stock price, exchange rate and interest rate.

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IITH Creators:	IITH Creators ORCiD Rath, Badri Narayan http://orcid.org/0000-0001-7211-0952
Item Type:	Article
Uncontrolled Keywords:	Exchange rate; India; Interest rate; Modified overlap discrete wavelet transform (MODWT); Stock price
Subjects:	Social sciences > Political Science & Economics
Divisions:	Department of Liberal Arts
Depositing User:	Team Library
Date Deposited:	10 Jul 2017 05:19
Last Modified:	07 Sep 2017 07:15
URI:	http://raiithold.iith.ac.in/id/eprint/3360
Publisher URL:	https://doi.org/10.1108/SEF-02-2016-0043
OA policy:	http://www.sherpa.ac.uk/romeo/issn/1086-7376/
Related URLs:	Google Scholar

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