Tesla under International Capital Flow: An Empirical Research Based on Time-series Model

Research Article
Open access

Tesla under International Capital Flow: An Empirical Research Based on Time-series Model

Lei Zhou 1*
  • 1 Monash university    
  • *corresponding author lzho0052@student.monash.edu
Published on 13 September 2023 | https://doi.org/10.54254/2754-1169/23/20230384
AEMPS Vol.23
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-89-8
ISBN (Online): 978-1-915371-90-4

Abstract

The announcement that the Federal Reserve may announce its eighth interest rate hike in almost a year on 23 March 2023. The trend of international capital flows to the U.S. has become more pronounced. However, this is a double-edged sword for U.S. multinationals. The entry of international capital into the U.S. may contribute to a more prosperous U.S. financial market. However, at the same time, a higher dollar exchange rate means that multinationals' revenues may fall. This paper, therefore, chooses to analyse Tesla, one of the most representative US multinationals. A VAR and an ARMA-GARCH model are used to analyse Tesla's share price movement and the U.S. dollar index futures price movement. This paper finds a correlation between the U.S. dollar index futures price and Tesla's share price. Based on the results of this paper, investors can adjust their investment decisions in Tesla stock based on the following Federal Reserve policy.

Keywords:

federal reserve interest rate hike, Tesla, VAR, ARMA-GARCH

Zhou,L. (2023). Tesla under International Capital Flow: An Empirical Research Based on Time-series Model. Advances in Economics, Management and Political Sciences,23,235-242.
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References

[1]. N. Eichacker, (2023) A Political Economy of Fiscal Space: Political Structures, Bond Markets, and Monetary Accommodation of Government Spending Potential in the Core and Periphery. Review of political economy. Vol. ahead-of-print (ahead-of-print)., p.1-19

[2]. Q. Deng, WG. Xiao, H. Yan, (2022) The Spillover Effects of U.S. Monetary Policy Normalization on the BRICS Based on Panel VAR Model. Journal of mathematics (Hidawi), Vol.2022., p.1-9

[3]. DY. Zhang, YM. Guo, ZR. Wang, YB. Chen, (2020) The impact of US monetary policy on Chinese enterprises’ R&D investment. Finance research letters, Vol.35., p.101301

[4]. HY. Chen, Andrew. Tsang, (2020) Impact of US monetary policy rate shock and other external shocks on the Hong Kong economy: A factor-augmented vector autoregression approach. Pacific economic review (Oxford, England), Vol.25 (1)., p.3-20

[5]. J. Hoek, S. Kamin, E. Yoldas, (2022) Are higher U.S. interest rates always bad news for emerging markets?. Journal of international economics, Vol.137., p.103585

[6]. Ester. Gutiérrez, Sebastián. Lozano, (2012) A competing risks analysis of the duration of federal target funds rates. Computers & operations research, 2012, Vol.39 (4)., p.785-791

[7]. M. Jarocinski, (2022) Central bank information effects and transatlantic spillovers. Journal of international economics, Vol.139., p.103683

[8]. Investing.com. (2023) https://www.investing.com

[9]. GN. Gregoriou (2009) The VaR implementation handbook McGraw-Hill. New York

[10]. K. Shimizu (2010) Bootstrapping Stationary ARMA-GARCH Models. Vieweg+Teubner Verlag : Imprint: Vieweg+Teubner Verlag. Wiesbaden

[11]. D. van Dijk, RL. Lumsdaine, M. van der Wel. (2016) MARKET SET-UP IN ADVANCE OF FEDERAL RESERVE POLICY RATE DECISIONS The Economic journal, Vol.126 (592), p.618-653

Cite this article

Zhou,L. (2023). Tesla under International Capital Flow: An Empirical Research Based on Time-series Model. Advances in Economics, Management and Political Sciences,23,235-242.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 2023 International Conference on Management Research and Economic Development

ISBN：978-1-915371-89-8(Print) / 978-1-915371-90-4(Online)
Editor：Javier Cifuentes-Faura, Canh Thien Dang
Conference website: https://2023.icmred.org/
Conference date: 28 April 2023
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.23
ISSN：2754-1169(Print) / 2754-1177(Online)

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References

[1]. N. Eichacker, (2023) A Political Economy of Fiscal Space: Political Structures, Bond Markets, and Monetary Accommodation of Government Spending Potential in the Core and Periphery. Review of political economy. Vol. ahead-of-print (ahead-of-print)., p.1-19

[2]. Q. Deng, WG. Xiao, H. Yan, (2022) The Spillover Effects of U.S. Monetary Policy Normalization on the BRICS Based on Panel VAR Model. Journal of mathematics (Hidawi), Vol.2022., p.1-9

[3]. DY. Zhang, YM. Guo, ZR. Wang, YB. Chen, (2020) The impact of US monetary policy on Chinese enterprises’ R&D investment. Finance research letters, Vol.35., p.101301

[4]. HY. Chen, Andrew. Tsang, (2020) Impact of US monetary policy rate shock and other external shocks on the Hong Kong economy: A factor-augmented vector autoregression approach. Pacific economic review (Oxford, England), Vol.25 (1)., p.3-20

[5]. J. Hoek, S. Kamin, E. Yoldas, (2022) Are higher U.S. interest rates always bad news for emerging markets?. Journal of international economics, Vol.137., p.103585

[6]. Ester. Gutiérrez, Sebastián. Lozano, (2012) A competing risks analysis of the duration of federal target funds rates. Computers & operations research, 2012, Vol.39 (4)., p.785-791

[7]. M. Jarocinski, (2022) Central bank information effects and transatlantic spillovers. Journal of international economics, Vol.139., p.103683

[8]. Investing.com. (2023) https://www.investing.com

[9]. GN. Gregoriou (2009) The VaR implementation handbook McGraw-Hill. New York

[10]. K. Shimizu (2010) Bootstrapping Stationary ARMA-GARCH Models. Vieweg+Teubner Verlag : Imprint: Vieweg+Teubner Verlag. Wiesbaden

[11]. D. van Dijk, RL. Lumsdaine, M. van der Wel. (2016) MARKET SET-UP IN ADVANCE OF FEDERAL RESERVE POLICY RATE DECISIONS The Economic journal, Vol.126 (592), p.618-653

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