This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)'s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...

This paper examines the causality between the exchange rates and stock prices in the Middle East and North Africa Region before and after Asian financial crisis. Applying a non-causality testing procedure developed by Toda and Yamamoto (1995), we empirically find that there is a unidirectional...

In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model which is the foundation to initiate the theoretical...

This paper focuses on testing possible linkages among international gold and ASEAN emerging markets based on daily data from July 28, 2000 to March 31, 2009. The Granger causality test and the Johansen cointegration technique were applied to examine possible short-run associations and the...

This study explores the linkages between regional stock markets of three Asian (China, Pakistan and India) countries with well-established stock markets of Germany, United Kingdom, United States of America and Japan. Impact of global financial crisis (2008) has been analyzed on stock markets of...

Testing for causation—defined as the preceding impact of the past value(s) of one variable on the current value of another when all other pertinent information is accounted for—is increasingly utilized in empirical research using the time-series data in different scientific disciplines. A...

This paper investigates the nature of the causal relationships among stock prices and effective exchange rates in four old EU member countries (Austria, France, Germany, and the UK), four new EU member countries (Czech Republic, Hungary, Poland, and Slovakia), and in the United States. Both the...

This paper investigates the nature of the causal relationships among stock prices and effective exchange rates in four old EU member countries (Austria, France, Germany, and the UK), four new EU member countries (Czech Republic, Hungary, Poland, and Slovakia), and in the United States. Both the...

This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run...

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...