The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis
DOI:
https://doi.org/10.12775/DEM.2014.005Keywords
Exchange rates, stock indices, financial crisis, risk, Granger causality, instantaneous causality, Diks-Panchenko testAbstract
In this paper the possible interdependence between bilateral exchange rate behavior and the corresponding stock indices is checked, with application to the EURPLN rate and the DAX and WIG20 stock indices. Methods and results are similar to previous study of USDPLN exchange rate, and SP500 and WIG20 indices. The linear (including instantaneous) causality test and the Diks-Panchenko test are applied to logarithmic returns and to the daily measure of volatility r(t) = ln(P(max,t)/P(min, t)). Differences between before- and during-crisis period results are less vivid than in case of the U.S. and the Polish instruments. But there is a substantial difference between linear (and Diks-Panchenko) test results and the instantaneous Granger-causality test results, on the other hand – between returns and daily volatility.References
Bauwens, L., Pohlmeier, W., Veredas, D. (2008), High Frequency Financial Econometrics. Recent Developments, Physica-Verlag A Springer Company, Heidelberg.
Bauwens, L., Rime, D., Succarat, G. (2008), Exchange Rate Volatility and the Mixture of Distribution Hypothesis, in Bauwens, L., Pohlmeier, W., Veredas, D., High Frequency Financial Econometrics. Recent Developments, Physica-Verlag A Springer Company, Heidelberg, 7–29.
Brooks, Ch. (2008), Introductory Econometrics for Finance, 2nd ed., Cambridge University Press, New York.
Diks, C., Panchenko, V. (2006), A New Statistics and Practical Guidelines for Nonparametric Granger Causality Testing, Journal of Economic Dynamics and Control, 30, 1647–1669, DOI: http://dx.doi.org/10.1016/j.jedc.2005.08.008.
Hiemstra, C., Jones, J. D. (1994), Testing for Linear and Nonlinear Granger Causality in the Stock Price-volume Relation, Journal of Finance, 49(5), 1639–1664, DOI: http://dx.doi.org/10.2307/2329266.
Matuszewska, A., Witkowska, D. (2007), Wybrane aspekty analizy kursu euro/dolar: Modele autoregresyjne z rozkładami opóźnień i sztuczne sieci neuronowe (Some Aspects of the EuroUSD Exchange Rate Analysis: ADL Models and Neuron Network), Metody ilo-ściowe w badaniach ekonomicznych VIII, Modele ekonometryczne, 203–212.
Osińska, M. (2008), Ekonometryczna analiza zależności przyczynowych (Econometric Analysis of Causal Relationships), Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika, Toruń.
Osińska, M. (2011), On the Interpretation of Causality in Granger Sense, Dynamic Econometric Models, 11, 129–139.
Syczewska, E. M. (2010a), Increase of Exchange Rate Risk During Current Crisis, Roczniki Kolegium Analiz Ekonomicznych, 21, 99–122.
Syczewska, E. M. (2010b), Changes of Exchange Rate Behaviour During and After Crisis, in Metody ilościowe w badaniach ekonomicznych (Quantitative Methods in Economics), 11, 145–157.
Syczewska, E. M. (2013), On Exchange-rate Model with Stock Indices as Additional Regressors (During and After Crisis), presented at the international conference „CEST’2013. Current Economic and Social Topic International Colloquium, focused on Gender Disparities and Financial Market Analysis”, May 23–24, 2013 r., Warsaw.
Syczewska, E. M. (2014), Przyczynowość w sensie Grangera – wybrane metody (The Granger causality – selected tools), Metody Ilościowe w Badaniach Ekonomicznych, 15(4), 169–180.
Downloads
Published
How to Cite
Issue
Section
License
The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).
To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.
Stats
Number of views and downloads: 181
Number of citations: 0
