Essays about: "Causality relationships"

Showing result 31 - 35 of 43 essays containing the words Causality relationships.

  1. 31. The relationship between carry trade currencies and equity markets, during the 2003-2012 time period

    University essay from Företagsekonomi

    Author : Andrei Dumitrescu; Antti Tuovila; [2013]
    Keywords : carry trade; correlation; currency; equity indexes; financial crisis; foreign exchange; risk premia; uncovered interest parity; volatility; S P 500; FTSE All-World; VIX;

    Abstract : One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. READ MORE

  3. 32. Money Supply Behavior in ‘BRICS’ Economies : - A Time Series Analysis on Money Supply Endogeneity and Exogeneity

    University essay from IHH, Economics, Finance and Statistics

    Author : PENGCHENG LUO; [2013]
    Keywords : Money Supply; Monetary Policy; BRIC; BRICS; Emerging Economy; Endogeneity; Exogeneity; Monetary Targeting; Time Series; VAR; VECM; Granger Causality; Monetary Economics;

    Abstract : This thesis investigated money supply behaviors in the ‘BRICS’ group from 1982 to 2012. It empirically analyzed causality relationships between related monetary indicators by using quarterly data and time series econometric methods. READ MORE

  4. 33. The Dynamics of Equity Risk Premium : The case of France, Germany, Sweden, United Kingdom and USA

    University essay from IHH, Economics, Finance and Statistics

    Author : Atis Praudins; [2012]
    Keywords : Equity risk premium; equity risk premium puzzle; historical equity premium; implied equity premium; time series analysis; Granger causality;

    Abstract : Equity risk premium is a financial variable that is surrounded by mystery. Starting from the almost 30 year old equity premium puzzle caused by considerations that equity premium values which are observable in past data imply an implausibly high risk aversion to more recent statements that equity premium does not exist anymore. READ MORE

  5. 34. The stock market and government debt : the impact of government debt changes on the stock market

    University essay from Internationella Handelshögskolan

    Author : Wendela Gerleman; [2012]
    Keywords : Stock Market; Government Debt; Granger Causality Test and Efficient Market Hypothesis;

    Abstract : This thesis investigates whether or not changes in a country’s government debt could affect its domestic stock market performance. The relationship is investigated by examining three different European countries, Germany, Portugal and Sweden, on the basis of two variables; (1) quarterly government debt changes as a percentage of gross domestic product and (2) the quarterly stock market changes over the time period2000:Q2 – 2011:Q2. READ MORE

  6. 35. New Insights Into Electricity Consumption and Economic Growth Nexus in Transition Economies

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Chen Yao; Elena Khramova; [2012]
    Keywords : Energy Consumption; Panel Unit Root Tests; Panel Cointegration; Granger Causality; Transition Economies;

    Abstract : This paper explores the long-run and the short-run causality relationships between electricity consumption, economic growth, and inflows of foreign direct investments in 17 European transition economies on the period between 1992 and 2009 for the purpose of designing an optimal energy policy in these countries. This paper employs the newly developed dynamic panel cointegration techniques to explore the direction of the causality links between the selected variables. READ MORE