Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA

This paper uses GARCH models and daily data to investigate the effect of the Canada – U.S. Free Trade Agreement (CUSFTA) and NAFTA on the volatility of, and the relationship between stock market returns and changes in bilateral exchange rates of the member countries. Empirical results indicate that...

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Veröffentlicht in:	Open economies review 2018-02, Vol.29 (1), p.141-163
Hauptverfasser:	Daelemans, Bram, Daniels, Joseph P., Nourzad, Farrokh
Format:	Artikel
Sprache:	eng
Schlagworte:	Canadian dollar Development Economics Economic models Economic Policy Economics Economics and Finance European Integration Foreign exchange markets Foreign exchange rates Free trade International Economics Macroeconomics/Monetary Economics//Financial Economics Money North American Free Trade Agreement Research Article Securities markets Stochastic models Stock exchanges Trade agreements Volatility
Online-Zugang:	Volltext
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