Ewa M. Syczewska

Author(s):

• Ewa M. Syczewska, Warsaw School of Economics (Warsaw)
• Zbigniew R. Struzik, The University of Tokyo (Tokyo)

Abstract title:
Granger causality, transfer entropy for financial time series – role of crises

Abstract:
In our earlier research causal relationship between financial variables has been shown for returns of bilateral exchange rates and stock indices (see Syczewska and Struzik (2014)). The possible Granger causality was tested with use of both linear and nonlinear Dicks-Panchenko method, showing differences in causality direction for subperiods covering the last crisis (2007-2010) and earlier periods of the same length.
The causality tests are applied to extended time series, to check if similar effect exists for other financial crises. The linear Granger test, the nonlinear test and transfer entropy method (introduced by Schreiber (2000), Barnett et al. (2009) and generalized by Hlavackova (2011)) are applied to returns and to financial series prefiltered with the ARMA-GARCH models, in order to check possible causality between conditional variance (risk measure) of the financial instruments.