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Theoretical and Applied Economics
No. 2 / 2017 (611), Summer

Panel causality analysis between exchange rates and stock indexes for fragile five

Mehmet PEKKAYA
Bulent Ecevit University, Turkey
Ersin AÇIKGÖZ
Bulent Ecevit University, Turkey
Veli YILANCI
Sakarya University, Turkey

Abstract. Having become too dependent on foreign capital inflows to finance their economies can be expressed for the fragile five countries. The purpose of this study is to determine the existence and direction of casual relationship between stock indexes and exchange rates for the fragile five. According to Dumitrescu-Hurlin’s panel causality test for fragile five countries, bidirectional Granger causality relation is detected for overall data, except before mortgage crisis term, from exchange rate to stock indexes. Dumitrescu-Hurlin’s test and a modified type of sequential panel selection methodology are also conducted for searching the determiners of the casual relationship for each time interval.

Keywords: causality relation, fragile five, exchange rates, stock markets, panel data.

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The Economicity. The Epistemic Landscape, Marin Dinu, 2016

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