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Masters Thesis

Relationship Between the US Stock Market and the Euro Exchange Rate

This paper explores the relationship between the US stock market and the Euro exchange rate for the period before and after the most recent financial crisis (2007). A VAR model is employed to simultaneously estimate the short-run effect of the exchange rate on the stock market and vice versa. The time period of the study ranges from January 2000 to April 2014; using monthly data. The result of this study reveals that the stock market has a strong influence on the Euro exchange rate. However, the Euro exchange rate does not have a similar significant influence on the US stock market.
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  • 2014-08-06
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  • Masters
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  • 2014-08-06T19:39:49Z
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