TY - JOUR
T1 - On the causality between exchange rates and stock prices
T2 - A note
AU - Hatemi-J, Abdulnasser
AU - Irandoust, Manuchehr
PY - 2002
Y1 - 2002
N2 - 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.
AB - 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.
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U2 - 10.1111/1467-8586.00148
DO - 10.1111/1467-8586.00148
M3 - Article
AN - SCOPUS:0036207301
SN - 0307-3378
VL - 54
SP - 197
EP - 203
JO - Bulletin of Economic Research
JF - Bulletin of Economic Research
IS - 2
ER -