Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries

Pradhan, Rudra P.; Arvin, Mak B.; Bahmani, Sahar

doi:10.1016/j.gfj.2015.04.006

Cited by 64 publications

(45 citation statements)

References 60 publications

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“…Evidence that the expected return on stock assets contains a premium that is related to business conditions was made clear in 1990 by the authors Fama and French [7]. The relation between the three most important indicators of economic development: economic growth, inflation and market capitalization for developed countries was have identified by the authors Pradhan, Arvin and Bahmani [8]. Jouins [9] have revealed a significance long-term influence of oil prices on almost all GCC stock markets, and for some revealed the impact of the MSCI World Index.…”

Section: Literature Reviewmentioning

confidence: 99%

Correlation of Financial Markets and It Significance for the New Silk Road: The Case of Russia

Колесник¹,

Evlakhova²,

Alifanova³

2020

Proceedings of the “New Silk Road: Business Cooperation and Prospective of Economic Development” (NSRBCPED 2019)

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The integration of countries and regions into global economic processes, among which we can mention The Belt and Road Initiative, is significantly affected by the existing interconnections of national financial markets. The paper gives a detailed analysis of the relation between the dynamics of the Russian stock market (based on the RTS index) and changes in external economic factors of the real and financial sectors. We propose to divide the period of the study (from 2002 to 2018) into different economic activity phases, which will allow to estimate the structure of the factors of the RTS index dynamics during pre-crisis, crisis and post-crisis periods. We used a correlation analysis of time series of indicators to analyze the structure of factors. We demonstrate that the structure of external factors of the real sector of the economy underwent changes as a result of the financial and economic crisis in 2008, just the relation between the RTS index and oil prices remained. In the period of Russian economy recovery from 2009 to 2014, the relation between the Russian market and the US consumer price index is again revealed. In the crisis of 2014, the structure of the external factors of the real economy became similar to that from 2002 to 2008. Conclusions are drawn that significant changes concerned the external financial factors structure influencing the Russian market only during the recovery of the domestic economy from 2009 to 2014. The practical implication is that the nature of world crisis is associated with globalization of financial markets. And overcoming global recession can be solved by means of international coordination of financial and economic policies.

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Section: Literature Reviewmentioning

confidence: 99%

Correlation of Financial Markets and It Significance for the New Silk Road: The Case of Russia

Колесник¹,

Evlakhova²,

Alifanova³

2020

Proceedings of the “New Silk Road: Business Cooperation and Prospective of Economic Development” (NSRBCPED 2019)

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“…Nickell [69] revealed that the employment rate (Ec4) is an important variable that reflects the quality of labor markets. As Pradhan et al [70] pointed out, the inflation rate (Ec5) can reflect the stability of economic development. Furthermore, the indicators Internet users (Ec6), fixed telephone lines (Ec7), and mobile cellular telephone subscribers (Ec8) are usually applied to evaluate modern technology [11,61].…”

Section: Sample 2(s2)mentioning

confidence: 99%

A Global Perspective on the Sustainable Performance of Urbanization

et al. 2016

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Urbanization, particularly in developing countries, is a major strategy for development. However, major concerns accompany it, such as air pollution, habitat destruction, and loss of arable land. In responding to these challenges, governments throughout the world have been implementing various policy mechanisms to guide the practice of urbanization towards sustainable development. It appears that there is little research investigating the outcomes of those efforts in implementing sustainable urbanization strategies. This paper provides a profile of sustainable urbanization from a global perspective. Data used for this research cover 111 countries and are collected from the World Bank database and the United Nation database. A ranking list of sustainable performance of urbanization between these countries is produced and discussed. The study suggests that countries at different stages of urbanization have achieved different levels of sustainable performance. The research results provide significant references for future study in the field of urbanization from a global perspective.

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“…Further, applying a panel vector autoregressive model to 34 OECD country data, Pradhan et al (2015) examined their cointegration relations and Granger causality nexuses with regard to economic growth, inflation, and stock market developments. Chuluun (2016) examined global portfolio investment networks and stock market comovements in 49 international countries using network analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

Forecasting Large Price Declines of the Nikkei Using the S&P 500 Implied Volatility

Tsuji¹

2016

IJBA

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This paper empirically examines the forecast power of the previous day's US implied volatility for large declines of the Nikkei by using several versions of quantile regression models. All our empirical results suggest that the previous day's US S&P 500 implied volatility has forecast power for large price drops of the Nikkei 225 in Japan. Since we repeatedly and carefully tested the several left tail risks in price changes of the Nikkei and we also tested by using some different versions of quantile regression models, our evidence of the predictive power of the S&P 500 implied volatility for downside risk of the Nikkei is very robust.

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Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries

Cited by 64 publications

References 60 publications

Correlation of Financial Markets and It Significance for the New Silk Road: The Case of Russia

Correlation of Financial Markets and It Significance for the New Silk Road: The Case of Russia

A Global Perspective on the Sustainable Performance of Urbanization

Forecasting Large Price Declines of the Nikkei Using the S&P 500 Implied Volatility

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