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Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach

Author

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  • Sima Siami-Namini

    (Department of Agricultural and Applied Economics, Texas Tech University, USA)

Abstract

This research article attempts to examine the relationship between exchange rate (EX) and stock price using quarterly data of Iran on nominal EX, stock price index, liquidity and consumer price index covering the period of 1994:02 to 2010:01. It also investigates the long-run relationship between variables using Johansen and Juselius (1990) co-integration test and the short-run dynamic causal relationship by using Toda and Yamamoto (1995) procedure. Likewise, variance decompositions serve as tools for evaluating the dynamics interactions and strength of causal relations among variables in the system. The results show that there is no any significant evidence of a relationship between stock prices and EXs.

Suggested Citation

  • Sima Siami-Namini, 2017. "Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 603-607.
    • Handle: RePEc:eco:journ1:2017-04-70
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange Rates; Stock Prices; Johansen and Juselius Co-integration Test; Toda Yamamoto Causality Test;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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