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Financial Variables and Euro Area Growth: A Non-parametric Causality Analysis

Panopoulou, Ekaterini (2009) Financial Variables and Euro Area Growth: A Non-parametric Causality Analysis. Economic Modelling, 26 (6). pp. 1414-1419. ISSN 0264-9993. (doi:10.1016/j.econmod.2009.07.013) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34604)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1016/j.econmod.2009.07.013

Abstract

This paper investigates the predictive ability of financial variables for euro area growth through bivariate and multivariate non-parametric Granger causality tests. Apart from assessing the within-country forecasting ability of commonly-employed financial variables, such as the term spread, the stock market returns and the growth of real money supply, we also test for cross-country influences. In this way, we reveal the countries that are more useful in predicting growth in other member countries along with the ones that are more receptive to other countries' financial developments. Our results suggest that financial variables are useful leading indicators for euro area growth at a joint level, albeit at different horizons, ranging from one to six quarters. Our finding of overall increased levels of receptivity among member states provides useful information for policy makers, especially in the case of monetary union such as the euro area.

Item Type: Article
DOI/Identification number: 10.1016/j.econmod.2009.07.013
Uncontrolled keywords: Cross-correlations; Granger causality; Money supply; Output growth; Term spread; Stock returns
Subjects: H Social Sciences
H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Catherine Norman
Date Deposited: 10 Jul 2013 15:24 UTC
Last Modified: 16 Nov 2021 10:11 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/34604 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID: https://orcid.org/0000-0001-5080-9965
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