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首页> 外文期刊>The Singapore economic review >TESTING FOR LINEAR AND NON-LINEAR GRANGER NON- CAUSALITY HYPOTHESIS BETWEEN STOCK AND BOND: THE CASES OF MALAYSIA AND SINGAPORE
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TESTING FOR LINEAR AND NON-LINEAR GRANGER NON- CAUSALITY HYPOTHESIS BETWEEN STOCK AND BOND: THE CASES OF MALAYSIA AND SINGAPORE

机译：测试股票和债券之间的线性和非线性格兰德非因果关系假说：马来西亚和新加坡的情况

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摘要

The untested assumption of linear relationship between stocks and bonds in previous empirical studies may lead to an invalid conclusion if the actual relationship is non-linear. The emphasis of this paper is on the effect of non-linearities on causal relationships between stocks and bonds in the cases of Malaysia and Singapore. Results from linearity tests indicate the existence of non-linearities in the dynamic relationship between stocks and bonds. Non-linear causality test results based on Taylor expansion suggest that non-linear causality flows from stocks to bonds and vice versa. The test further confirms that bonds with different maturity dates have different relationships with stocks.
机译：如果实际关系是非线性的，则以前的经验研究中未经检验的关于股票与债券之间线性关系的假设可能导致无效的结论。本文的重点是在马来西亚和新加坡案例中，非线性对股票与债券之间因果关系的影响。线性测试的结果表明，股票与债券之间的动态关系中存在非线性。基于泰勒展开的非线性因果关系测试结果表明，非线性因果关系从股票流向债券，反之亦然。该测试进一步证实，具有不同到期日的债券与股票具有不同的关系。

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