Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013

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dc.contributor.author Antonakakis, Nikolaos
dc.contributor.author Gupta, Rangan
dc.contributor.author Tiwari, Aviral K.
dc.date.accessioned 2018-02-23T11:18:51Z
dc.date.issued 2018-02
dc.description.abstract The relationship between stock prices and the trade balance can be either negative or positive, depending on the signs of the wealth effect channel and the exchange rate channel. While previous studies examined this relationship in a time-invariant framework, we employ a time-varying approach so as to examine the dynamic correlations of trade balance and stock prices in the United States over the period 1792–2013. The results of our empirical analysis, which remain robust to alternative specifications, reveal that correlations between the trade balance and stock prices in the United States are indeed not constant, but evolve heterogeneously overtime. In particular, the correlations are, in general, significantly positive between 1800 and 1870, while significantly negative thereafter. The policy implications of these findings are then discussed. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2019-02-06
dc.description.librarian hj2018 en_ZA
dc.description.uri https://link.springer.com/journal/12197 en_ZA
dc.identifier.citation Antonakakis, N., Gupta, R. & Tiwari, A.K. Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013. Journal of Economics and Finance (2018). https://doi.org/10.1007/s12197-018-9428-z. NYP. en_ZA
dc.identifier.issn 1389-2843 (print)
dc.identifier.issn 1573-1812 (online)
dc.identifier.other 10.1007/s12197-018-9428-z
dc.identifier.uri http://hdl.handle.net/2263/64074
dc.language.iso en en_ZA
dc.publisher Springer en_ZA
dc.rights © Springer Science+Business Media, LLC, part of Springer Nature 2018. The original publication is available at : https://link.springer.com/journal/12197. en_ZA
dc.subject Conditional correlation en_ZA
dc.subject GARCH en_ZA
dc.subject Trade-balance en_ZA
dc.subject Stock price en_ZA
dc.subject Comovement en_ZA
dc.subject US economy en_ZA
dc.title Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013 en_ZA
dc.type Postprint Article en_ZA


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