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Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis 31
Ahmedov, Zafarbek; Bessler, David A..
In this study, we apply directed acyclic graphs and search algorithm designed for time series with non-Gaussian distribution to obtain causal structure of innovations from an error correction model. The structure of interdependencies among six international stock markets is investigated. The results provide positive empirical evidence that there exist long-run equilibrium and contemporaneous causal structure among these stock markets. DAG analysis results show that Hong Kong is influenced by all other open markets in contemporaneous time, whereas Shanghai is not influenced by any of the other markets in contemporaneous time. Historical decompositions indicate that New York and Shanghai stock markets are highly exogenous and Germany and Hong Kong are the...
Tipo: Conference Paper or Presentation Palavras-chave: VAR; Cointegration; Error correction; DAG; Causality; Financial contagion; Agricultural Finance; Financial Economics.
Ano: 2011 URL: http://purl.umn.edu/98858
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The Causality of Foreign Direct Investment and Its Effects on Economic Growth: Re-estimated by a Directed Graph Approach 31
Li, Yarui; Woodard, Joshua D.; Leatham, David J..
This paper uses the directed acyclic graph approach to analyze the causal patterns among foreign direct investment and other economic, social, and political variables, including GDP per capita as a proxy for economic growth. We find that economic growth causes FDI inflows for developing countries, while FDI induces economic growth for developed countries. Also, stock market is found to be an intermediary that amplifies the influence on FDI from many causal variables of FDI.
Tipo: Conference Paper or Presentation Palavras-chave: FDI; Economic growth; DAG; Financial Economics.
Ano: 2011 URL: http://purl.umn.edu/98791
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