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Using Zero-non-Zero Patterned Vector Autoregressive Modelling to Test for Causality between Money Supply, GDP Growth, The London Stock Market Index and the Euro Exchange Rate

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dc.contributor.authorLin, Edward J Y
dc.contributor.authorPenm, Jack HW
dc.contributor.authorTerrell, Richard
dc.contributor.authorWu, Soushan
dc.date.accessioned2015-12-10T21:54:20Z
dc.date.issued2003
dc.date.updated2015-12-09T07:25:25Z
dc.description.abstractIn this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency - the euro. First, "Granger causality" is employed to examine the causal linkages between the euro exchange rate, the euro area money supply and the gross domestic product (GDP) growth in the euro area. Second, we examine the hypothesis that the euro has become a major influence on international stock markets by testing for the causal relationships between movements in the euro exchange rate, the U.K. pound exchange rate and the London stock market index.
dc.identifier.issn0196-3821
dc.identifier.urihttp://hdl.handle.net/1885/38894
dc.publisherElsevier
dc.sourceResearch in Finance
dc.titleUsing Zero-non-Zero Patterned Vector Autoregressive Modelling to Test for Causality between Money Supply, GDP Growth, The London Stock Market Index and the Euro Exchange Rate
dc.typeJournal article
local.bibliographicCitation.lastpage117
local.bibliographicCitation.startpage99
local.contributor.affiliationLin, Edward J Y, Chang Gung University
local.contributor.affiliationPenm, Jack HW, College of Business and Economics, ANU
local.contributor.affiliationTerrell, Richard, College of Business and Economics, ANU
local.contributor.affiliationWu, Soushan, Chang Gung University
local.contributor.authoruidPenm, Jack HW, u7800853
local.contributor.authoruidTerrell, Richard, u6400283
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150201 - Finance
local.identifier.ariespublicationu4167262xPUB168
local.identifier.citationvolume20
local.identifier.doi10.1016/S0196-3821(03)20006-X
local.identifier.scopusID2-s2.0-12144260963
local.type.statusPublished Version

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