We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Can the Dollar Yen Exchange Rate Predict the S&P500?
- Authors
COHEN, Gil; QADAN, Mahmod
- Abstract
In this study we discuss the existence of a unique relationship between the dollar/yen exchange rate and the U.S capital market movements in recent years. We hypothesize that relatively low Japanese interest rates - compared to those of the U.S. - motivate investors to borrow yen and invest in other exchanges, including those of the U.S. Hence, a devaluation of the yen may cause a subsequent rise in the S&P 500. Using recent data from the U.S., we find that the dollar/yen exchange rate Granger-causes movements of the S&P500.
- Subjects
UNITED States; JAPAN; FOREIGN exchange rates; JAPANESE yen; U.S. dollar; STANDARD &; Poor's 500 Index; CAPITAL market
- Publication
Banking & Finance Letters, 2010, Vol 2, Issue 2, p261
- ISSN
1308-6588
- Publication type
Article