Abstract
The aim of this paper is to examine the relationship between exchange rates, real stock returns, crude oil prices, and industrial production levels for emerging countries. Toda Yamamoto Augmented VAR for Granger non-causality methodology is implemented to determine the linkages and make inferences about the results. Monthly data is used covering the period between January 1990 and December 2016 to determine the direction of the causality between variables. Our results show that there exists a significant causal relationship between production and crude oil prices. It is also observed that causality from exchange rates to manufacturing indices can be used to explain the economic dynamics of emerging countries. Weak causal linkage from stock market returns to industrial production is found for emerging countries, and it is unidirectional.
Original language | English |
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Title of host publication | Applications in Energy Finance |
Number of pages | 29 |
Publisher | Springer |
Publication date | 2022 |
Pages | 55-83 |
DOIs | |
Publication status | Published - 2022 |