Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors

2021 ◽  
Author(s):  
Mohamed Sahbi Nakhli ◽  
Abderrazak Dhaoui ◽  
Julien Chevallier
Keyword(s):  
Granger Causality ◽  
Rolling Window

scholarly journals TRADE OPENNESS AND ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM INDIA

2014 ◽  
Vol 16 (1) ◽  
pp. 188-205 ◽  
Author(s):  
Qazi Muhammad Adnan Hye ◽  
Wee-Yeap Lau
Keyword(s):  
Economic Growth ◽  
Human Capital ◽  
Granger Causality ◽  
Trade Openness ◽  
Granger Causality Test ◽  
Causality Test ◽  
Long Run ◽  
Rolling Window ◽  
Short Run ◽  
The Impact

The main objective of this study is to develop first time trade openness index and use this index to examine the link between trade openness and economic growth in case of India. This study employs a new endogenous growth model for theoretical support, auto-regressive distributive lag model and rolling window regression method in order to determine long run and short run association between trade openness and economic growth. Further granger causality test is used to determine the long run and short run causal direction. The results reveal that human capital and physical capital are positively related to economic growth in the long run. On the other hand, trade openness index negatively impacts on economic growth in the long run. The new evidence is provided by the rolling window regression results i.e. the impact of trade openness index on economic growth is not stable throughout the sample. In the short run trade openness index is positively related to economic growth. The result of granger causality test confirms the validity of trade openness-led growth and human capital-led growth hypothesis in the short run and long run.

scholarly journals When The Last Tree Dies, The Last Man Dies: Do Forests Hold The Key To Survival In Ghana? A Critical Analysis Using The Bootstrapped Rolling Window Granger Causality Test Approach

2022 ◽  
Author(s):  
Michael Kaku Minlah ◽  
Xibao Zhang ◽  
Philipine Nelly Ganyoh ◽  
Ayesha Bibi
Keyword(s):  
Life Expectancy ◽  
Causal Relationship ◽  
Granger Causality ◽  
Human Life ◽  
Granger Causality Test ◽  
Causality Test ◽  
Vector Borne Diseases ◽  
Long Run ◽  
Rolling Window

Abstract This paper investigates the role of forests in the life expectancy of people in Ghana. We test whether the extinction of forests will inevitably lead to extinction of people in Ghana. We first examined the causal relationship between life expectancy and deforestation using the full sample bootstrap Granger causality test approach and find causality to run from deforestation to life expectancy with no feedback from life expectancy to deforestation. Testing for parameter stability, we found the short run and long run parameters of the estimated Vector Auto Regressive models to be unstable. A time-varying approach, the rolling window bootstrapped Granger causality test was then employed to investigate the causal relationship between life expectancy and deforestation. The results showed that deforestation has a negative effect on life expectancy, confirming the widely accepted saying that the health of forests is inextricably linked to the health of mankind. The empirical results further show that, on trend higher life expectancy increases the rate of deforestation in Ghana. Highlighting the importance of the role of forests in influencing life expectancy in Ghana, we recommend awareness creation on the role of forests in supporting human life and also extensive afforestation programs to reduce the rate of deforestation in Ghana. This, we believe, will reduce the spread of vector borne diseases such as malaria and reduce the surge in respiratory diseases which shorten the life span of Ghanaians.JEL codesQ23, Q50, Q53, Q58, Q58

scholarly journals High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Walid Mensi ◽  
Mobeen Ur Rehman ◽  
Muhammad Shafiullah ◽  
Khamis Hamed Al-Yahyaee ◽  
Ahmet Sensoy
Keyword(s):  
Granger Causality ◽  
Portfolio Management ◽  
High Frequency ◽  
Long Term Memory ◽  
Portfolio Risk ◽  
Hedging Strategies ◽  
Rolling Window ◽  
Causality Tests ◽  
Granger Causality Tests

AbstractThis paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min—data. Empirical RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.

scholarly journals Can Sound Health Insurance Increase the Internal Circulation in the Economy of China?

2021 ◽  
Vol 9 ◽  
Author(s):  
Peng Zhao ◽  
Li-Yong Wang ◽  
Li Zhao
Keyword(s):  
Granger Causality ◽  
Housing Price ◽  
Medical Insurance ◽  
Medical Expenditure ◽  
Time Interval ◽  
Government Investment ◽  
Medical Spending ◽  
Production And Consumption ◽  
Rolling Window ◽  
New Development

In 2020, President Xi Jinping put forward a constructing cycle that has been given priority in this study. This particular cycle, when considered within the inner loop and outer loop, promotes the guiding ideology of the new development pattern of the binary economy that exists in recent times. Therefore, to gauge the extent of the promotion of domestic production and consumption, from the perspectives of medical expenses, this study refers to the bootstrap rolling window causality method, which considers the evidence-based medical spending on the consumption Granger causality. The results show that the Granger causality exists between medical expenditure and consumption expenditure at different time interval endpoints. In contrast, however, the variable of consumption does not produce Granger causality between medical expenditure and consumption. In this regard, a series of measures, such as increasing medical insurance expenditure, improvement of the medical insurance system, reduction of the housing price rise, and increasing government investment have been proposed to promote the development of the domestic circular economy.

scholarly journals Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*

2019 ◽  
Vol 18 (1) ◽  
pp. 158-180 ◽  
Author(s):  
Shuping Shi ◽  
Stan Hurn ◽  
Peter C B Phillips
Keyword(s):  
Granger Causality ◽  
Recursive Algorithm ◽  
The United States ◽  
Causal Link ◽  
Forward Algorithm ◽  
Vector Autoregressive ◽  
Wald Tests ◽  
Window Method ◽  
Past Half Century ◽  
Rolling Window

Abstract This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959–2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the data. These methods are a forward recursive algorithm, a rolling window algorithm, and a recursive evolving algorithm all of which utilize subsample tests of Granger causality within a lag-augmented vector autoregressive framework. The limit distributions for these subsample Wald tests are provided. Bootstrap methods are developed to control family-wise size in the implementation of the recursive testing algorithms. The results from a suite of simulation experiments suggest that the recursive evolving window algorithm provides the most reliable results, followed by the rolling window method. The forward expanding window procedure is shown to have the worst performance. Both the rolling window and recursive evolving approaches find evidence of Granger causality running from money to income during the Volcker period in the 1980s. The forward algorithm does not find any evidence of causality over the entire sample period.

scholarly journals Does the Environmental Kuznets Curve for CO2 Emissions Exist for Rwanda? Evidence from Bootstrapped Rolling-Window Granger Causality Test

2020 ◽  
Vol 12 (20) ◽  
pp. 8636 ◽  
Author(s):  
Felix Nutakor ◽  
Sylvestre Bizumuremyi ◽  
Jinke Li ◽  
Wei Liu
Keyword(s):  
Granger Causality ◽  
Co2 Emissions ◽  
Carbon Dioxide Emissions ◽  
Environmental Kuznets Curve ◽  
Window Size ◽  
Granger Causality Test ◽  
Kuznets Curve ◽  
Annual Data ◽  
Causality Test ◽  
Rolling Window

This paper examined the causal relationship between economic growth and carbon dioxide emissions (CO2) in Rwanda using annual data from 1960–2014. The study was conducted within the framework of the environmental Kuznets curve (EKC) hypothesis using the rolling-window bootstrap Granger causality test approach with a rolling-window size of 15 years. The methodology allows for non-constancy in the parameters of the vector autoregression (VAR) model in the short run as well as in the long run. The study found bi-direction causality between the real gross domestic product (GDP) and CO2 emissions in metric tons per capita. The results from the rolling-window bootstrap Granger causality test show that GDP negatively influenced CO2 emissions in the 1976–1977, 1990–1993, 2005–2006, and 2007–2013 sub-sample periods. This result depicts a monotonically decreasing EKC, contrary to the standard EKC relationship. The downward-sloping EKC was explained by the transition of the Rwandan economy from an industrial-based economy to a service-based economy. Further, a feedback effect from CO2 emissions to the economy was established.

Sign in / Sign up

Export Citation Format

Share Document