Opis

• Tytuł:
  The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis
• Twórca:
  Syczewska, Ewa M.
• Opis:
  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.
• Dostępność obiektu:
  Dostęp otwarty
• Prawa:
  Prawa autorskie (c) 2015 Dynamic Econometric Models
• Data:
  2015.04.15
• Typ:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Język:
  angielski
• Źródło:
  Dynamic Econometric Models; Vol. 14 (2014); 93-104;
  Dynamic Econometric Models; Tom 14 (2014); 93-104;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Wydawca:
  Nicolaus Copernicus University
• Relacja: https://apcz.umk.pl/DEM/article/view/DEM.2014.005/5253
• Temat i słowa kluczowe:
  Exchange rates;
  stock indices;
  financial crisis;
  risk;
  Granger causality;
  instantaneous causality;
  Diks-Panchenko test
• Identyfikator: https://apcz.umk.pl/DEM/article/view/DEM.2014.005
• Dostawca danych:
  Akademicka Platforma Czasopism
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