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An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal

Mitra Lal Devkota & Humnath Panta

Dynamic Econometric Models2018https://doi.org/10.12775/dem.2018.003article
ABDC C
Weight
0.41

What the paper says

This study examines the causal relationship between the Nepalese Stock Exchange (NEPSE) Index, the interest rate, gold price, and the USD exchange rate in Nepal. The monthly time series data from January 2006 to June 2018 are used. Time series properties of the data are diagnosed using the Ng-Perron unit root test and Johansen's cointegration test. Finally, the Granger causality test based on the Vector Error Correction Model (VECM) is used to find the direction of causation, and to model the short and long-run relationships between the variables. The findings suggest that there exists a feedback relationship between the NEPSE Index and the interest rate, and there exists a unidirectional causation from the gold price to both the exchange rate and the interest rate. There is also a unidirectional causation from the exchange rate to the NEPSE Index during the sample period. These findings have implications for government agencies, investors, researchers, stakeholders, and others interested in the topic.

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https://doi.org/https://doi.org/10.12775/dem.2018.003

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@article{mitra2018,
  title        = {{An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal}},
  author       = {Mitra Lal Devkota & Humnath Panta},
  journal      = {Dynamic Econometric Models},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.12775/dem.2018.003},
}

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.