Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/219999
Authors: 
Prats Albentosa, María Asuncíon
Sandoval, Beatriz
Year of Publication: 
2020
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Year:] 2020 [Volume:] 14 [Issue:] 2020-17 [Pages:] 1-29
Abstract: 
This paper analyzes the relationship between stock market capitalization to GDP and real GDP in 10 Central and Eastern European countries (CEECs) that joined the European Union in 2004 and 2007, with the objective of determining whether the financial markets played a role as drivers of economic development in these countries or vice versa. The methodology, using a cointegrated Vector Autoregressive (VAR) model, is based on the application of three different measures of causality: Granger causality test, Toda-Yamamoto approach and Frequency Domain approach. The results obtained suggest evidence of a causal relationship in both directions between the variables in a significant number of countries, and especially in those where the variables show to be clearly cointegrated (Bulgaria, Hungary, Latvia, Romania, Slovakia and Slovenia).
Subjects: 
stock market development
economic growth
Granger causality
Toda-Yamamoto
frequency domain
JEL: 
C32
F43
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

Files in This Item:
File
Size
445.67 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.