أبعاد إقتصادية
Volume 14, Numéro 1, Pages 454-471
2024-06-30

Study Of The Causal Relationship Between Inflation, Exchange Rate And Market Value Of The Saudi Capital Market Between 2000-2022



Authors : Guettaf Mohamed Zoheir .

Abstract

This paper aimed to find out the extent of inflation and exchange rate fluctuations on the performance of the Saudi capital market during the period (2000-2022) . To achieve this goal, we used the descriptive approach, where the joint integration test (Johansen and Juselius Test) and the Granger causality test (Granger causality ) were used, by EViews to find out that there is a simultaneous integration relationship between the real exchange rate index, inflation rates and the market value of the capital market in Saudi Arabia. The study concluded that there is no relationship or impact between the variables of the study, in addition to the fact that there is no causal relationship between the variables of the study except between inflation and fluctuations and changes in exchange rates, as the latter cause inflation.

Keywords

exchange rate, inflation, market capitalization, co-integration, time series..

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