USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE

Edward J.Y. Lin; J. H.W. Penm; R. D. Terrell; Soushan Wu

doi:10.1016/S0196-3821(03)20006-X

USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE

Edward J.Y. Lin, J. H.W. Penm, R. D. Terrell, Soushan Wu

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

2 Citations (Scopus)

Abstract

In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency - the euro. First, "Granger causality" is employed to examine the causal linkages between the euro exchange rate, the euro area money supply and the gross domestic product (GDP) growth in the euro area. Second, we examine the hypothesis that the euro has become a major influence on international stock markets by testing for the causal relationships between movements in the euro exchange rate, the U.K. pound exchange rate and the London stock market index.

Original language	English
Title of host publication	Research in Finance
Publisher	JAI Press
Pages	99-117
Number of pages	19
ISBN (Print)	0762310731, 9780762310739
DOIs	https://doi.org/10.1016/S0196-3821(03)20006-X
Publication status	Published - 2003

Publication series

Name	Research in Finance
Volume	20
ISSN (Print)	0196-3821

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10.1016/S0196-3821(03)20006-X

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title = "USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE",

abstract = "In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency - the euro. First, {"}Granger causality{"} is employed to examine the causal linkages between the euro exchange rate, the euro area money supply and the gross domestic product (GDP) growth in the euro area. Second, we examine the hypothesis that the euro has become a major influence on international stock markets by testing for the causal relationships between movements in the euro exchange rate, the U.K. pound exchange rate and the London stock market index.",

author = "Lin, {Edward J.Y.} and Penm, {J. H.W.} and Terrell, {R. D.} and Soushan Wu",

year = "2003",

doi = "10.1016/S0196-3821(03)20006-X",

language = "English",

isbn = "0762310731",

series = "Research in Finance",

publisher = "JAI Press",

pages = "99--117",

booktitle = "Research in Finance",

address = "United States",

}

USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE. / Lin, Edward J.Y.; Penm, J. H.W.; Terrell, R. D. et al.
Research in Finance. JAI Press, 2003. p. 99-117 (Research in Finance; Vol. 20).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

TY - CHAP

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AU - Wu, Soushan

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AB - In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency - the euro. First, "Granger causality" is employed to examine the causal linkages between the euro exchange rate, the euro area money supply and the gross domestic product (GDP) growth in the euro area. Second, we examine the hypothesis that the euro has become a major influence on international stock markets by testing for the causal relationships between movements in the euro exchange rate, the U.K. pound exchange rate and the London stock market index.

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SN - 9780762310739

T3 - Research in Finance

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PB - JAI Press

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USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE

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