The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis

The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis

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This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using a wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and stock price in US over the period from january...

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Bibliographic Details
Main Authors: Mohamed Essaied Hamrita, Abdelkader Trifi
Format: Article
Language:English
Published: EconJournals 2011-10-01
Series:International Journal of Economics and Financial Issues
Online Access:https://econjournals.com/index.php/ijefi/article/view/47

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