Analysis of the relationship between the share market performance and exchange rates in New Zealand: A cointegrating VAR approach

Obben, James; Pech, Andrew; Shakur, Shamim

doi:10.1080/00779954.2006.9558559

Public

Analysis of the relationship between the share market performance and exchange rates in New Zealand: A cointegrating VAR approach

Published in New Zealand Economic Papers • Dec 1, 2006

Authors:

James Obben

Andrew Pech

Shamim Shakur

Abstract

This study employs the cointegrating VAR approach to characterise the relationships between the five exchange rates comprising the TWI and the share market in New Zealand. Weekly data covering January 1999 to June 2006 are analysed. The study discovers there are two types of long‐run relationship mi...

Subject

Exchange rate

Portfolio

Economics

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