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Dynamic Econometric Models

The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis
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The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis

Authors

  • Ewa M. Syczewska Warsaw School of Economics, Collegium of Economic Analysis, Institute of Econometrics

DOI:

https://doi.org/10.12775/DEM.2014.005

Keywords

Exchange rates, stock indices, financial crisis, risk, Granger causality, instantaneous causality, Diks-Panchenko test

Abstract

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.

Dynamic Econometric Models

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Published

2015-04-15

How to Cite

1.
SYCZEWSKA, Ewa M. The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis. Dynamic Econometric Models. Online. 15 April 2015. Vol. 14, pp. 93-104. [Accessed 7 July 2025]. DOI 10.12775/DEM.2014.005.
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Vol. 14 (2014)

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