Asymmetric Impact of Exchange Rate Changes on Stock Prices: Empirical Evidence from Germany

This study examines whether shifts in exchange rate has symmetric or asymmetric impact on stock prices in Germany. Linear and nonlinear autoregressive distribution lag models are applied by using monthly data from the period January 1993 till April 2017. Findings suggest that only currency devaluation affects stock prices which implies asymmetric impact of changes in exchange rate on stock prices. The empirical results from this study would be useful for policymaking as well as for forecasting the impact of exchange rate changes on stock prices.