Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/197083
Authors: 
Drachal, Krzysztof
Year of Publication: 
2018
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 6 [Year:] 2018 [Issue:] 2 [Pages:] 1-21
Abstract: 
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according to the flexibility of exchange rate regimes in each country. A period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks-Panchenko test, while the causality in variance is checked with the Hafner-Herwartz test.
Subjects: 
causality
exchange rates
non-linear causality
oil price
stock prices
volatility spillover
JEL: 
C32
C53
E37
F31
F37
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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