Δυναμικές / αλληλεξαρτήσεις ανάμεσα στην βιομηχανική παραγωγή και αγορές συναλλάγματος / αγορές χρηματιστηριακές
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Keywords
Βιομηχανική παραγωγικότητα ; Χρηματιστηριακή αγορά ; Συνάλλαγμα ; VAR ; Granger causality ; Impulse Response Functions ; Stock market ; Industrial productionAbstract
This paper explores bidirectional effects between industrial production and stock markets / exchange markets in a sample of five countries (USA, UK, Japan, Greece, Canada).
The aim is to investigate the existence of causality, the direction and the interdependencies between variables. To complete the investigation we made use of various econometric techniques such as Vector Autoregressive Model (VAR), the Granger causality and Impulse Response Analysis.
Τhe empirical results of the study show that: a) there is bidirectional effects between industrial production and stock markets in the USΑ and England. But there is not for Japan and Canada. In Greece only the stock markets affect industrial production b) there is bidirectional effects between industrial production and foreign exchange markets in Japan. But there is no interdependence in the USA, England and Greece. For Canada only currency markets affect industrial production.
Finally, we use a dummy variable that international crises seems to predict the USA stock markets and inflation in England.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
145Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές