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- Title
On the Causality Between Exchange Rates and Stock Prices: A Note.
- Authors
Hatemi–J, Abdulnasser; Irandoust, Manuchehr
- Abstract
This study uses a new Granger non–causality testing procedure developed by Toda and Yamamoto (1995) to contribute to the debate on exchange rates and stock prices in Sweden. It examines a possible causal relation between these variables in a vector autoregression (VAR) model. The results show that Granger causality is unidirectional running from stock prices to effective exchange rates. The results also reveal that an increase in Swedish stock prices is associated with an appreciation of the Swedish krona. Special attention is given to the estimation methodology and the lag choosing process.
- Subjects
SWEDEN; FOREIGN exchange rates; STOCK prices
- Publication
Bulletin of Economic Research, 2002, Vol 54, Issue 2, p197
- ISSN
0307-3378
- Publication type
Article
- DOI
10.1111/1467-8586.00148