Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks-Reference-Cited by-同舟云学术

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Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks

Published:2024-03 Issue: Volume:61 Page:105020
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Xiong Youlin^ORCID,Shen Jun,Yoon Seong-Min^ORCID,Dong Xiyong

Funder

National Research Foundation of Korea

Shanxi University

Publisher

Elsevier BV

Reference43 articles.

1. Computation and analysis of multiple structural change models;Bai;J. Appl. Econom.,2003

2. Measuring economic policy uncertainty;Baker;Q. J. Econ.,2016

3. Contagion and portfolio management in times of COVID-19;Belhassine;Econ. Anal. Policy,2021

4. Cross-border equity flows and information transmission: evidence from Chinese stock markets;Bian;J. Int. Financ. Markets Instit. Money,2023

5. Macroeconomic determinants of real exchange risk;Branson,1983

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1. The role of central bank communication in the long-term stock-bond correlations: Evidence from China;Finance Research Letters;2024-09

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