Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira

Kassouri, Yacouba; Altıntaş, Halil

doi:10.1016/j.ribaf.2019.101097

Cited by 34 publications

(19 citation statements)

References 29 publications

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“…Further, Thach et al (2019) revealed that economic activity Granger causes stock prices in the long-term, while a reverse Granger causation is confirmed in the short-term for Vietnam. Similarly, Kassouri and Altıntaş (2020) provided favorable evidence that industrial production and financial variables (exchange rates, interest rates and money supply) have a significant predictive power for future values of stock market prices. Comparing our findings with those of Yacouba and Altintas (2019), which exhibit more significant results for the impact of exchange rate, interest rate and money supply on stock market returns in asymmetric components of these variables.…”

Section: Resultsmentioning

confidence: 98%

“…Of the most recent studies, Kassouri and Altıntaş (2020) has analyzed the possible causal relationship between stock market prices and exchange rate at various frequencies in Turkey from January 2003 to December 2018. Their findings provide evidence that exchange rates, money supply, and interest rates have the predictive power to explain stock market fluctuations under different horizons.…”

Section: Literature Reviewmentioning

confidence: 99%

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Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

2021

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This study investigates the stock price–economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1–2018:3. For this purpose, the study uses Granger causality in the frequency domain in the panel setting by decomposing the symmetric and asymmetric fluctuations. This methodology determines whether the predictive power of interested variables is concentrated on quickly, moderately, or slowly fluctuating components. Our findings show that the stock prices have predictive power for future long-term economic activity in the panel setting. However, economic activity has more reliable information for stock prices for negative components. Additionally, empirical findings for asymmetric shocks are not fully consistent with those of symmetric ones. Besides, the country-specific results provide different causal linkages across members and frequencies. These findings may provide valuable information for policymakers to design proper and effective policies in OECD countries regarding the stock market and economic activity nexus.

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Section: Resultsmentioning

confidence: 98%

Section: Literature Reviewmentioning

confidence: 99%

Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

2021

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“…Recent studies of Thach et al (2019) and Wang et al (2020), using the frequency causality test, found a relation between two markets in Vietnam and China, respectively. Similarly, empirical work of Kassouri and Altıntaş (2020) chronicles the changing nature of two markets' causality over different time horizons. Very few studies explored the causal relationship between the financial cycle and business cycle for emerging economies too.…”

Section: Literature Reviewmentioning

confidence: 99%

Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation

Paramanik

Bhandari

Kamaiah

2021

Bulletin of Econ Res

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This paper is an empirical attempt to assess the relations among business cycles, financial cycles, and economic uncertainty for India during the period January 2003 to January 2020. Empirical findings from the vector autoregression model suggest a bidirectional causal relationship between the real and financial markets. Further, the aforementioned markets are found to influence the uncertainty index in India. We employ the Granger causality test in the frequency domain which exhibits the dynamic nature of causal relations, while our novel fractal connectivity approach reveals the long‐run correlation structure among all three variables.

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“…Money supply and interest rates, USD-Turkish lira exchange rates, and real effective exchange rates have substantial predictive power for stock price fluctuations at different frequencies. This indicates the need for innovative policy patterns that can control risk in the financial market in Turkey (Kassouri and Altıntaş 2020). Others that have drawn attention to the impact of exchange rate and other macroeconomic indicators such as prices and trade balance on output using different methodologies include (Kandil 2004;Kandil and Mirzaie 2005;Tadesse 2009;Bahmani-Oskooee and Kandil 2007;Nabli and Véganzonès-Varoudakis 2004).…”

Section: Literature Reviewmentioning

confidence: 99%

The Nexus among Competitively Valued Exchange Rates, Price Level, and Growth Performance in the Turkish Economy; New Insight from the Global Value Chains

Shuabiu

Usman

Çavuşoğlu

2021

JRFM

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Currently, global value chains (GVCs) are increasingly shaping the global economy, covering a growing share of international trade, GDP, and employment globally. Global trade is impacted by the emergence of GVCs in areas as diverse as commodities, electronics, and business service outsourcing, among other areas, since the countries involved in the GVCs hold some value(s) and benefit(s) from the exports of the finished product. In this study, the nexus among Competitively Valued Exchange Rates, Price level, and Growth Performance in the Turkish Economy; New insight from the GVCs is investigated using annual data from 1980 to 2020 within the framework of the ARDL bound test, Bayer and Hanck Cointegration (BHC) test, and ECM. The study results revealed that the relationship among real effective exchange rate, exports, and imports induced economic performance and external trade competitiveness particularly when directed at GVCs in both the short and long run. The study recommends that policies enhancing a 10% equilibrium convergence are required annually to competitively minimize the dependence on foreign value-added inputs by importing only world-class inputs for value addition and exports benefits in the competitive GVCs world. Furthermore, monetary policy, GVCs, and economic growth should be investigated.

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Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira

Cited by 34 publications

References 29 publications

Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

Financial cycle, business cycle, and policy uncertainty in India: An empirical investigation

The Nexus among Competitively Valued Exchange Rates, Price Level, and Growth Performance in the Turkish Economy; New Insight from the Global Value Chains

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