Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209124
Authors: 
Prats Albentosa, María Asuncíon
Sandoval, Beatriz
Year of Publication: 
2019
Series/Report no.: 
Economics Discussion Papers No. 2019-64
Abstract: 
This paper analyses the relationship between stock market capitalization and real GDP in ten Central and Eastern European countries (CEECs) that joined the European Union in 2004 and 2007, with the objective of determining if the financial markets have played a role as a driver of the economic development in these countries or vice versa. The methodology is based on the application of three different measures of causality between the relevant variables, in order to determine the existence and the direction of causality. Using a cointegrated Vector Autoregressive model (VAR), the authors study the relationship between the relevant variables through the following tests: Granger causality test, Toda-Yamamoto approach and Frequency Domain approach. The results obtained suggest evidence of the existence of this relationship, in both directions, in a significant number of this group of countries, and especially in those there is a long-term relationship.
Subjects: 
stock market development
economic growth
Granger causality
Toda-Yamamoto
Frequency Domain
JEL: 
C32
F43
G15
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

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