Search Results - subject:"Nonlinear causality"

Relationship Between Exchange Rates and Stock Prices in Transition Economies Evidence from Linear and Nonlinear Causality Tests

Nazl, Saban; Kar, Muhsin; Akel, Gunay - International Institute of Social and Economic Sciences - 2014

The existence of causation linkage between stock prices and exchange rates is one of the popular debate especially since the beginning of 1990s. The aim of this paper is to investigate the nature of the causal transmission mechanism between foreign exchange and stock markets in 9 transition...

Persistent link: https://www.econbiz.de/10011210383

Causality across international equity and commodity markets: When asymmetry and nonlinearity matter

Ajmi, Ahdi N.; Hammoudeh, Shawkat; Khalifa, Ahmed A. A.; … - Institut de Préparation à l'Administration et à la … - 2014

Two recent nonlinear causality tests are used to examine the causal linkages across increasingly important … international equity and commodity markets. We show that nonlinear causality is more appealing when asymmetric patterns are …

Persistent link: https://www.econbiz.de/10010891075

Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests

Ajmi, Ahdi Noomen; Montasser, Ghassen El; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

Knowing the real causal links between energy consumption and national

Persistent link: https://www.econbiz.de/10010778660

Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period

Ajmi, Ahdi Noomen; Montasser, Ghassen El; Hammoudeh, Shawkat - Institut de Préparation à l'Administration et à la … - 2014

causality links between the variables; and iii) the nonlinear causality is more pronounced in the case of the Brent than WTI oil …

Persistent link: https://www.econbiz.de/10010754797

Price formation and intertemporal arbitrage within a low-liquidity framework: Empirical evidence from European natural gas markets

Nick, Sebastian - 2013

In this study, the informational efficiency of the European natural gas market is analyzed by empirically investigating price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that explicitly account for nonlinearities and the low...

Persistent link: https://www.econbiz.de/10010332656

Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework

Bouoiyour, Jamal; Selmi, Refk - Volkswirtschaftliche Fakultät, … - 2013

-inflation uncertainty by combining component GARCH model, wavelets decomposition and scale-by-scale nonlinear causality test. We find a …

Persistent link: https://www.econbiz.de/10011107856

The tax-spend nexus in Nigeria: Evidence from Nonlinear Causality

Aworinde, Olalekan Bashir - In: Economics Bulletin 33 (2013) 4, pp. 3117-3130

government revenue to government expenditure in the first period and uni-directional nonlinear causality from government revenue …

Persistent link: https://www.econbiz.de/10010727913

Interest Rates and Exchange Rate Relationship in BRIC-T Countries

KAYHAN, Selim; BAYAT, Tayfur; UGUR, Ahmet - In: Ege Academic Review 13 (2013) 2, pp. 227-236

This study examines the dynamic relationships between the real exchange rate and the real interest rate in the BRIC-T (Brazil, Russia, India, China and Turkey) countries by employing monthly data from the beginning of flexible exchange rate regime to July 2011. For this aim, non-linear causality...

Persistent link: https://www.econbiz.de/10010643661

Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets

Bekiros, Stelios D. - Rimini Centre for Economic Analysis (RCEA) - 2013

. This indicates that nonlinear causality can, to a large extent, be explained by simple volatility effects, although tail …

Persistent link: https://www.econbiz.de/10010656018

Price formation and intertemporal arbitrage within a low-liquidity framework : empirical evidence from European natural gas markets

Nick, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010190788