Διερεύνηση ύπαρξης αιτιότητας κατά Granger ανάμεσα στο δημόσιο χρέος και στη συναλλαγματική ισοτιμία
Granger causality between public debt and exchange rate
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Abstract
The purpose of this study is to examine whether a causal relationship exists between exchange rate and public debt as a percent of gross domestic product. The first step in order to achieve this was to examine the order of integration of these two timeseries. The next step, was applying the Johansen cointegration test in order to examine whether a long-run equilibrium exists between the two variables. Finally, to test the existence of a causal relationship between public debt and exchange rate the Granger causality test was applied.
The data used for this study were the public debt as a percent of gross domestic product of three countries, Australia, Greece and Holland and the exchange rate of their currencies(EUR/AUD). The observations were measured quarterly for the years 2001-2018. After conducting all necessary tests, the conclusion that a long-run equilibrium between the two variables doesn’t exist was made. Also the only causal relationship found was between the Australian debt and the EUR/AUD exchange rate. Specifically, the past values of the public debt seem to affect the exchange rate. These results may not be valid due to the fact that the amount of observations was not big enough.
Postgraduate Studies Programme
Οικονομική και Επιχειρησιακή ΣτρατηγικήDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής ΕπιστήμηςNumber of pages
120Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές