Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries

This paper analyses the relationship between stock market capitalization and real GDP in ten Central and Eastern European countries (CEECs) that joined the European Union in 2004 and 2007, with the objective of determining if the financial markets have played a role as a driver of the economic development in these countries or vice versa. The methodology is based on the application of three different measures of causality between the relevant variables, in order to determine the existence and the direction of causality. Using a cointegrated Vector Autoregressive model (VAR), the authors study the relationship between the relevant variables through the following tests: Granger causality test, Toda-Yamamoto approach and Frequency Domain approach. The results obtained suggest evidence of the existence of this relationship, in both directions, in a significant number of this group of countries, and especially in those there is a long-term relationship.本文针对2004年与2007年加入欧盟的10个中东欧国家（CEECs）的股票市值与实际国内生产总值（real GDP）之间的关联展开分析，旨在探究金融市场是否为这些国家经济发展的驱动因素，抑或经济发展反向带动金融市场。本次研究采用三类不同的因果关系测度方法，以判定相关变量间因果关系的存在性与作用方向。研究人员借助协整向量自回归模型（VAR），通过格兰杰因果检验、托达-山本方法以及频域分析法三类检验手段，对相关变量间的关联进行探究。所得研究结果表明，在该样本组内的多数国家中，双向因果关系均存在显著证据，且在存在长期均衡关系的国家中这一特征尤为显著。