Manuchehr Irandoust

On the Causality between Exchange Rates and Stock Prices: A Note

This study uses a new Granger non-causality testing procedure developed by Toda and Yamamoto (1995) to contribute to the debate on exchange rates and stock prices in Sweden. It examines a possible causal relation between these variables in a vector autoregression (VAR) model. The results show that Granger causality is unidirectional running from stock prices to effective exchange rates. The results also reveal that an increase in Swedish stock prices is associated with an appreciation of the Swedish krona. Special attention is given to the estimation methodology and the lag choosing process. Copyright 2002 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Time-Series Evidence for Balassa's Export-Led Growth Hypothesis

This paper investigates Balassa’s export-led growth hypothesis for Greece, Ireland, Mexico, Portugal and Turkey by constructing a vector autoregression (VAR) model. On the basis of the Granger non-causality procedure developed by Toda and Yamamoto (1995), the results show that export and output are causally related in the long run for Ireland, Mexico and Portugal. Our findings cannot offer support for the causality link between export and output for Greece and Turkey. Granger-causality is uni-directional, running from export growth to economic growth in Ireland and Mexico, and running from economic growth to export growth in Portugal.

Export performance and economic growth causality: An empirical analysis

The cointegration and causal relationship between export growth and economic growth is investigated for the Nordic economies. On the basis of Johansens technique and the augmented Granger causality tests, the evidence shows that these macroeconomic aggregates are causally related in the long run for each economy. Granger causality is unidirectional, running from economic growth to export growth in Denmark, and bidirectional in Finland, Norway, and Sweden. The established bidirectional causality suggests that the expansion of exports is an integral part of the economic growth process.

The response of industry employment to exchange rate shocks: evidence from panel cointegration

This study investigates the long-run relationship between employment and exchange rate shocks at the industry level for France. Using panel unit roots and panel cointegration analysis, it is found that the French industries are quite sensitive to exchange rate changes. The estimated long-run elasticities reveal that exchange rates do influence industry employment in the expected way, that is, real appreciations are associated with decline in manufacturing for all industries in the sample.

Pricing strategy, mark-up adjustment and foreign competition in the car industry

This paper examines, empirically, the impact of exchange rate fluctuations and foreign competition on pricing strategy in the car industry. The study shows how the Swedish car export prices react to exchange rate changes and market conditions in the five major destination markets (France, Germany, Japan, the UK, and the USA). It has been demonstrated, through non-stationary panel analysis, that the Swedish export prices in the car industry change but not in proportion to exchange rate changes. The evidence reveals that price adjustments are associated with stabilisation of local currency prices. Our findings also show that the pricing behaviour of the Swedish car exporters varies across destination markets and such variations could be related to market-specific characteristics and market structure.