Stock Market Growth: An analysis of cointegration and causality
Earlier 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.
Volume (Year): 11 (2006)
Issue (Month): 1 (March)
|Contact details of provider:|| Postal: |
Web page: http://www.economicissues.org.uk
More information through EDIRC
References listed on IDEAS
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.:
- Islam, Shafiqul, 1984. "Devaluation, stabilization policies and the developing countries : A macroeconomic analysis," Journal of Development Economics, Elsevier, vol. 14(1), pages 37-60.
- Sweder van Wijnbergen, 1986.
"Exchange Rate Management and Stabilization Policies in Developing Countries,"
in: Economic Adjustment and Exchange Rates in Developing Countries, pages 17-42
National Bureau of Economic Research, Inc.
- 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.
- Dimitris Christopoulos, 2004. "Currency devaluation and output growth: new evidence from panel data analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 809-813.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- 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.
- 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.
- Sebastian Edwards, 1986.
"Terms of Trade, Exchange Rates and Labor Markets Adjustment in Developing Countries,"
UCLA Economics Working Papers
425, UCLA Department of Economics.
- Sebastian Edwards, 1986. "Terms of Trade, Exchange Rates and Labor Markets Adjustment in Developing Countries," NBER Working Papers 2110, National Bureau of Economic Research, Inc.
- 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.
- Mohsen Bahmani-Oskooee & Hyun-Jae Rhee, 1997. "Response of Domestic Production to Depreciation in Korea: an Application of Johansen's Conintegration Methodology," International Economic Journal, Taylor & Francis Journals, vol. 11(4), pages 103-112.
- Sheehey, Edmund J., 1986. "Unanticipated inflation, devaluation and output in Latin America," World Development, Elsevier, vol. 14(5), pages 665-671, May.
- 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.
- P. Krugman & L. Taylor, 1976.
"Contractionary Effects of Devaluations,"
191, Massachusetts Institute of Technology (MIT), Department of Economics.
- Pedroni, Peter, 1999.
" Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
- Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers 2000-02, Department of Economics, Williams College.
- Steven B. Kamin & Marc Klau, 1998.
"Some multi-country evidence on the effects of real exchange rates on output,"
International Finance Discussion Papers
611, Board of Governors of the Federal Reserve System (U.S.).
- Steven B. Kamin & Marc Klau, 1997. "Some multi-country evidence on the effects of real exchange rates on output," BIS Working Papers 48, Bank for International Settlements.
- Buffie, Edward F., 1986. "Devaluation, investment and growth in LDCs," Journal of Development Economics, Elsevier, vol. 20(2), pages 361-379, March.
- Chou, Win Lin & Chao, Chi-Chur, 2001. "Are currency devaluations effective? A panel unit root test," Economics Letters, Elsevier, vol. 72(1), pages 19-25, July.
- Gylfason, Thorvaldur & Risager, Ole, 1984. "Does devaluation improve the current account?," European Economic Review, Elsevier, vol. 25(1), pages 37-64, June.
- Nunnenkamp, Peter & Schweickert, Rainer, 1990. "Adjustment policies and economic growth in developing countries : is devaluation contractionary?," Open Access Publications from Kiel Institute for the World Economy 1449, Kiel Institute for the World Economy (IfW).
- 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.
- Gylfason, Thorvaldur & Radetzki, Marian, 1991. "Does Devaluation Make Sense in the Least Developed Countries?," Economic Development and Cultural Change, University of Chicago Press, vol. 40(1), pages 1-25, October.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eis:articl:106bahmani. See general information about how to correct material in RePEc.
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.