This study applies the bootstrap panel causality test proposed by Kónya (2006. Econ Modell 23, 978) to investigate the causal link between political uncertainty and stock prices for seven OECD countries over the monthly period of 2001.01 to 2013.04. This modeling approach allows us to examine both cross-sectional dependency and country-specific heterogeneity. Our empirical results indicate that not all the countries are alike and that the theoretical prediction that stock prices fall at the announcement of a policy change is not always supported. Specifically, we find evidence for the stock price leading hypothesis for Italy and Spain, while the political uncertainty leading hypothesis cannot be rejected for the United Kingdom and the United States. In addition, the neutrality hypothesis was supported in the remaining three countries (Canada, France and Germany), while no evidence for the feedback hypothesis was found. 相似文献
This study examines the relationship between crude oil prices, US dollar exchange rates and 30 selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of agricultural commodity prices (as well as specific agricultural commodity sub-groups) and fertilizer prices with monthly observations of the period from June 1983 to June 2013. The empirical results of the present study indicate that crude oil prices as well as US dollar exchange rates affect international agricultural commodity and fertilizer prices. Furthermore, contrary to the findings of several studies in the literature, the present study supports bidirectional panel causality effects between crude oil prices and international agricultural prices as well as between US exchange rates and international agricultural prices. 相似文献
The present paper examines the directional causality between export diversification and real exchange rate in the middle-income countries of Asia and Latin America over the period from 1995 to 2013. Additionally, we investigate asymmetries in the causality issue by examining the direction across trading partners.
Our empirical results show that there is a two-way causality between the two variables when we look at the sample as a whole. A causal link running from the real exchange rate to export diversification is consistent with the standard literature but it is not systematic at all. The reverse causation is very appealing and challenges the standard argument on exchange rate determination. When the causality issue is investigated by treating export markets differently, our findings at the aggregate level are confirmed in exports destined for the advanced countries. The analysis for ‘South-South’ trade only shows a unidirectional link from the real exchange rate to changes in export diversification. The same tests performed at the individual countries level reveal a heterogeneous causality across trading partners. 相似文献