scholarly journals A Bootstrap Method to Test Granger-Causality in the Frequency Domain

Author(s):  
Matteo Farnè ◽  
Angela Montanari

AbstractWe propose a bootstrap test for unconditional and conditional Granger-causality spectra in the frequency domain. Our test aims to detect if the causality at a particular frequency is systematically different from zero. In particular, we consider a stochastic process derived applying independently the stationary bootstrap to the original series. At each frequency, we test the sample causality against the distribution of the median causality across frequencies estimated for that process. Via our procedure, we infer about the relationship between money stock and GDP in the Euro Area during the period 1999–2017. We point out that the money stock aggregate M1 had a significant impact on economic output at all frequencies, while the opposite relationship is significant only at low frequencies.

2014 ◽  
Vol 41 (1) ◽  
pp. 71-86 ◽  
Author(s):  
Abdur Chowdhury

Purpose – Inflation and its related uncertainty can impose costs on real economic output in any economy. This paper aims to analyze the relationship between inflation and inflation uncertainty in India. Design/methodology/approach – The methodology uses a generalized autoregressive conditional heteroscedasticity (GARCH) model and Granger Causality test. Findings – Initial estimates show the inflation rate to be a stationary process. The maximum likelihood estimates from the GARCH model reveal strong support for the presence of a positive relationship between the level of inflation and its uncertainty. The Granger causality results indicate a feedback between inflation and uncertainty. Research limitations/implications – The research results have important implication for policy makers and especially the Reserve Bank of India. Practical implications – It provides strong support to the notion of an opportunistic central bank in India. Originality/value – The results of the paper are of relevance not only to the monetary policy makers but also to academicians in India and other developing countries.


2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Veli Yilanci ◽  
Onder Ozgur ◽  
Muhammed Sehid Gorus

AbstractThis study investigates the stock price–economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1–2018:3. For this purpose, the study uses Granger causality in the frequency domain in the panel setting by decomposing the symmetric and asymmetric fluctuations. This methodology determines whether the predictive power of interested variables is concentrated on quickly, moderately, or slowly fluctuating components. Our findings show that the stock prices have predictive power for future long-term economic activity in the panel setting. However, economic activity has more reliable information for stock prices for negative components. Additionally, empirical findings for asymmetric shocks are not fully consistent with those of symmetric ones. Besides, the country-specific results provide different causal linkages across members and frequencies. These findings may provide valuable information for policymakers to design proper and effective policies in OECD countries regarding the stock market and economic activity nexus.


2021 ◽  
Vol 13 (14) ◽  
pp. 7765
Author(s):  
Shuizheng Song ◽  
Md Altab Hossin ◽  
Xiaohua Yin ◽  
Md Sajjad Hosain

The demand for sustainable development and the advantages of industries are expediting over time with the triggering of green innovation performance (GIP). Improving a firm’s GIP, especially in manufacturing industries, can accelerate green development and mitigate the global-concerned environmental issues. Thus, to investigate GIP from its antecedent factors, we delineate the relationship between network potential, absorptive capacity, environmental turbulence, and GIP based on social network theory, organizational learning theory, and contingency theory. We tested our hypotheses based on 233 sets of questionnaire surveys from high-tech manufacturing firms in China through deploying the hierarchical regression and bootstrap method. Our empirical findings reveal that the network potential dimensions, including network position centrality (NPC), network structure richness (NSR), and network relationship closeness (NRC), significantly positively impacted the GIP. The absorptive capacity (AC) partially mediated the relationship between the network potential dimensions and GIP. Environmental turbulence (ET) as an essential mechanism not only positively moderated the relationship between AC and GIP but also enhanced the AC mediation effect. These findings indicate that manufacturing firms should continue to improve network potential and AC and respond rapidly to changes in the external environment to enhance GIP, consequently contributing to the sustainable development of the economy.


1993 ◽  
Vol 107 (3) ◽  
pp. 179-182 ◽  
Author(s):  
J. R. Cullen ◽  
M. J. Cinnamond

The relationship between diabetes and senbsorineural hearing loss has been disputed. This study compares 44 insulin-dependent diabetics with 38 age and sex matched controls. All had pure tone and speech audiometry performed, with any diabetics showing sensorineural deafness undergoing stapedial reflecx decat tests. In 14 diabetics stapedial reflex tests showed no tone decay in any patient, but seven showed evidence of recruitment. Analysis of vaiance showed the diabetics to be significantly deafer than the control population.The hearing loss affected high frequencies in both sexes, but also low frequencies in the male. Speech discrimination scores showed no differences. Further analysis by sex showed the males to account for most of the differences. Analysys of the audiograms showered mostly a high tone loss. Finally duration of disbetes, insulin dosage and family history of diabtes were not found to have a significant effect on threshold.


2005 ◽  
Vol 6 (1) ◽  
pp. 23-42
Author(s):  
Bala Ramasamy ◽  
Matthew Yeung

The objective of this paper is to evaluate the relationship between FDI and wage rates using the wellestablished Granger causality method but with a panel data setting. The paper considers the dynamic relationship between these two variables for 27 provinces over the 1985 – 2000 period. We also distinguish between the coastal and inland provinces. Results indicate that Granger causality runs from FDI to wages for the coastal provinces but no significant relationships are found for the inland provinces. These results imply that FDI is a contributing factor for increasing wage rates in China. In particular, our findings show that the “cheap labour” hypothesis does not apply for China. It further indicates that increasing inflow of FDI into the coastal provinces relative to the inland provinces exacerbate the unequal distribution of wealth between the regions.


Author(s):  
Pavel Pavlov

The article provides the analysis of the relationship between the rule-making activity of Russia’s state authorities: parliament, president, government and federal executive bodies. The analysis of Granger causality, carried out for statistical series of federal authorities rulemaking activity, indicates that the level of laws specification largely determines the level of by-laws specification (government decrees and orders of federal executive bodies), thereby exerting a significant impact on entire Russian regulatory framework volume. Econometric analysis based on a corpus of federal laws and aggregated corpus of regulations shows that the entire rule-making activity of the Russian parliament and federal authorities is explained by overlapping sets of factors. The findings indicate that to consolidate the effect of the “regulatory guillotine” it may be useful to develop mechanisms (procedural rules) that correct the balance between the pace and quality of developing legislative initiatives.


2021 ◽  
pp. 1-8
Author(s):  
Yi-Tse Hsiao ◽  
Yun-Wen Peng ◽  
Pin Huan Yu

Monitoring blood pressure helps a clinical veterinarian assess various conditions in birds. Blood pressure is not only a bio-indicator of renal or cardiovascular disease but is also a vital indicator for anesthesia. Anesthetic- and sedation-related mortality is higher in birds than dogs or cats. The traditional method of blood pressure measurement in mammals mainly relies on indirect methods. However, indirect blood pressure measurement is not reliable in birds, making the direct method the only gold standard. Although an arterial catheter can provide continuous real-time arterial pressure in birds, the method requires technical skill and is limited by bird size, and is thus not practical in birds with circulatory collapse. Intra-osseous (IO) blood pressure is potentially related to arterial pressure and may be a much easier and safer technique that is less limited by animal size. However, the relationship between IO pressure and arterial blood pressure has not been established. This study used mathematical methods to determine the relationship between IO pressure and arterial blood pressure. The Granger causality (G.C.) theory was applied in the study and used to analyze which pressure signal was leading the other. Our findings suggest that IO pressure is G.C. by arterial blood pressure; thus, the use of IO pressure measurements as an alternative to arterial blood pressure measurement is a rational approach.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.


2007 ◽  
Vol 14 (4) ◽  
pp. 513-523 ◽  
Author(s):  
H. Erdoğan ◽  
B. Akpınar ◽  
E. Gülal ◽  
E. Ata

Abstract. Engineering structures, like bridges, dams and towers are designed by considering temperature changes, earthquakes, wind, traffic and pedestrian loads. However, generally, it can not be estimated that these structures may be affected by special, complex and different loads. So it could not be known whether these loads are dangerous for the structure and what the response of the structures would be to these loads. Such a situation occurred on the Bosporus Bridge, which is one of the suspension bridges connecting the Asia and Europe continents, during the Eurasia Marathon on 2 October 2005, in which 75 000 pedestrians participated. Responses of the bridge to loads such as rhythmic running, pedestrian walking, vehicle passing during the marathon were observed by a real-time kinematic (RTK) Global Positioning System (GPS), with a 2.2-centimeter vertical accuracy. Observed responses were discussed in both time domain and frequency domain by using a time series analysis. High (0.1–1 Hz) and low frequencies (0.00036–0.01172 Hz) of observed bridge responses under 12 different loads which occur in different quantities, different types and different time intervals were calculated in the frequency domain. It was seen that the calculated high frequencies are similar, except for the frequencies of rhythmic running, which causes a continuously increasing vibration. Any negative response was not determined, because this rhythmic effect continued only for a short time. Also when the traffic load was effective, explicit changes in the bridge movements were determined. Finally, it was seen that bridge frequencies which were calculated from the observations and the finite element model were harmonious. But the 9th natural frequency value of the bridge under all loads, except rhythmic running could not be determined with observations.


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