Stock Market Growth: An analysis of cointegration and causality
AbstractEarlier studies that investigated the relation between exchange rate and domestic output employed panel data. In this paper we improve upon the traditional approaches of the existing econometric literature on contractionary devaluation or depreciation by applying panel unit root and panel cointegration techniques to annual data from 42 countries (18 OECD and 24 non-OECD). After confirming the existence of unit roots in all variables of the model as well as cointegration among all variables, results from different specifications of the model revealed that in the long-run, devaluations are contractionary in non-OECD countries regardless of model specification. However, for OECD countries the results were sensitive to model specification.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Economic Issues in its journal Economic Issues.
Volume (Year): 11 (2006)
Issue (Month): 1 (March)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John H. Rogers & Ping Wang, 1993.
"Output, inflation, and stabilization in a small open economy: evidence from Mexico,"
9315, Federal Reserve Bank of Dallas.
- Rogers, John H. & Wang, Ping, 1995. "Output, inflation, and stabilization in a small open economy: Evidence from Mexico," Journal of Development Economics, Elsevier, vol. 46(2), pages 271-293, April.
- Upadhyaya, Kamal P., 1999. "Currency devaluation, aggregate output, and the long run: an empirical study," Economics Letters, Elsevier, vol. 64(2), pages 197-202, August.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Van Wijnbergen, Sweder, 1986.
"Exchange rate management and stabilization policies in developing countries,"
Journal of Development Economics,
Elsevier, vol. 23(2), pages 227-247, October.
- Sweder van Wijnbergen, 1986. "Exchange Rate Management and Stabilization Policies in Developing Countries," NBER Chapters, in: Economic Adjustment and Exchange Rates in Developing Countries, pages 17-42 National Bureau of Economic Research, Inc.
- Solimano, Andres, 1986. "Contractionary devaluation in the southern cone : The case of Chile," Journal of Development Economics, Elsevier, vol. 23(1), pages 135-151, September.
- Islam, Shafiqul, 1984. "Devaluation, stabilization policies and the developing countries : A macroeconomic analysis," Journal of Development Economics, Elsevier, vol. 14(1), pages 37-60.
- Barbone, Luca & Rivera-Batiz, Francisco, 1987. "Foreign capital and the contractionary impact of currency devaluation, with an application to Jamaica," Journal of Development Economics, Elsevier, vol. 26(1), pages 1-15, June.
- M Bahmani-Oskooee & I Miteza, 2003. "Are Devaluations Expansionary or Contractionary? A survey article," Economic Issues Journal Articles, Economic Issues, vol. 8(2), pages 1-28, September.
- Buffie, Edward F., 1986. "Devaluation, investment and growth in LDCs," Journal of Development Economics, Elsevier, vol. 20(2), pages 361-379, March.
- Bahmani-Oskooee, Mohsen & Miteza, Ilir & Nasir, A. B. M., 2002. "The long-run relation between black market and official exchange rates: evidence from panel cointegration," Economics Letters, Elsevier, vol. 76(3), pages 397-404, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dan Wheatley).
If references are entirely missing, you can add them using this form.