TESTING FOR LINEAR AND NON-LINEAR GRANGER NON-CAUSALITY HYPOTHESIS BETWEEN STOCK AND BOND: THE CASES OF MALAYSIA AND SINGAPORE

2014 ◽  
Vol 59 (05) ◽  
pp. 1450045 ◽  
Author(s):  
SHEUE LI ONG ◽  
CHONG MUN HO
Keyword(s):  
Linear Relationship ◽  
Taylor Expansion ◽  
Empirical Studies ◽  
Causal Relationships ◽  
Test Results ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Non Linear ◽  
Causality Hypothesis ◽  
Actual Relationship

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.

Money supply in Russia for the period from 2015 to 2019: The exogenous and endogenous approaches

2020 ◽  
Vol 26 (6) ◽  
pp. 1338-1351
Author(s):  
O.V. Lunyakov
Keyword(s):  
Granger Causality ◽  
Money Supply ◽  
Cross Correlation ◽  
Granger Causality Test ◽  
Causal Relationships ◽  
Test Results ◽  
Var Models ◽  
Causality Test ◽  
Russian Economy ◽  
The Future

Subject. This article explores the process of money supply generation in the Russian economy. Objectives. The article aims to define the direction of causal relationships between monetary indicators and credit in Russia from the perspective of exogenous and endogenous approaches. Methods. For the study, I used VAR models, group cross-correlation, and the Granger causality test. Results. Based on the analysis of the formation of money supply in Russia for the period from 2015 to 2019, the article presents certain formalization of causal relationships between monetary indicators and credit. The results of the study show that the formation of money supply in Russia was rather exogenous. Conclusions and Relevance. The results of the study are aimed at the development of the science of money and formalization of cause-and-effect relationships in the change of money supply based on real statistics. They can be used in the future in terms of clarifying the size of money supply changing.

Is tracking and modeling Covid-19 infection dynamics for Bangladesh using daily data feasible? (Preprint)

2020 ◽  
Author(s):  
Karar Zunaid Ahsan ◽  
Rashida Ijdi ◽  
Peter Kim Streatfield
Keyword(s):  
Test Results ◽  
Infection Rates ◽  
Causality Test ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Daily Number ◽  
Infection Dynamics ◽  
Daily Data ◽  
Daily Change ◽  
Testing Coverage

UNSTRUCTURED Given the low Covid-19 testing coverage in the country, this study tested whether the daily change in the number of new Covid-19 cases is due to increase (or decrease) in the number of tests done daily. We performed Granger causality test based on vector autoregressive models on Bangladesh case and test numbers between 8 March and 5 June 2020, using publicly available data. The test results show that the daily number of tests Granger-cause the number of new cases (p <0.001), meaning the daily number of new cases is perhaps due to an increase in test capacity rather than a change in the infection rates. From the results of this test we can infer that if the number of daily tests does not increase substantially, data on new infections will not give much information for understanding covid-19 infection dynamics in Bangladesh.

scholarly journals Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

Econometrics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 17
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Costas Siriopoulos
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Infectious Diseases ◽  
Granger Causality ◽  
Predictive Value ◽  
High Frequency ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Causality Test ◽  
Non Linear

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

Type/Token Ratios: what do they really tell us?

1987 ◽  
Vol 14 (2) ◽  
pp. 201-209 ◽  
Author(s):  
Brian Richards
Keyword(s):  
Language Development ◽  
Sample Size ◽  
Linear Relationship ◽  
Child Language ◽  
Lexical Diversity ◽  
Diversity Measure ◽  
Closed Class ◽  
Language Research ◽  
Non Linear

ABSTRACTType/Token Ratios have been extensively used in child language research as an index of lexical diversity. This paper shows that the measure has frequently failed to discriminate between children at widely different stages of language development, and that the ratio may in fact fall as children get older. It is suggested here that such effects are caused by a negative, though non-linear, relationship between sample size (i.e. number of tokens) and Type/Token Ratio. Effects of open and closed class items are considered and an alternative Verbal Diversity measure is examined. Standardization of the number of tokens before computing Type/Token Ratios is recommended.

scholarly journals The drivers of economic growth in China and India: globalization or financial development?

2017 ◽  
Vol 16 (1) ◽  
pp. 54-84 ◽  
Author(s):  
Magda Kandil ◽  
Muhammad Shahbaz ◽  
Mantu Kumar Mahalik ◽  
Duc Khuong Nguyen
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Emerging Market ◽  
Annual Data ◽  
Test Results ◽  
Causality Test ◽  
Content Type ◽  
China And India ◽  
Integration Test ◽  
The Impact

Purpose Using annual data from 1970 to 2013 for China and India, this paper aims to examine the impact of globalization and financial development on economic growth by endogenizing capital and inflation and drawing comparisons between the two fastest growing emerging market economies. Design/methodology/approach In the long run, co-integration test results indicate that financial development increases economic growth in China and India. Findings The results also reveal that globalization accelerates economic growth in India but, surprisingly, impairs economic growth in China, as it increases competition for exports. The results furthermore disclose that acceleration in capitalization and inflation, as a proxy for aggregate demand, are positively linked to economic growth in China and India. Originality/value Causality test results indicate that both financial development and economic growth are interdependent. In contrast, causality runs from higher economic growth to increased globalization in India, while the results do not support long-term causality between globalization and economic growth in China.

scholarly journals Association between serum uric acid and triglycerides in Chinese children and adolescents with short stature

2021 ◽  
Vol 20 (1) ◽  
Author(s):  
Yuntian Chu ◽  
Qianqian Zhao ◽  
Mei Zhang ◽  
Bo Ban ◽  
Hongbing Tao
Keyword(s):  
Uric Acid ◽  
Standard Deviation ◽  
Children And Adolescents ◽  
Linear Relationship ◽  
Short Stature ◽  
Serum Uric Acid ◽  
Standard Deviation Score ◽  
Short Children ◽  
Non Linear ◽  
Males And Females

Abstract Background Elevated triglyceride (TG) levels are a biomarker for cardiovascular disease (CVD) risk. The correlation between serum uric acid (SUA) and TG concentrations in adults or obese children is well established. However, studies on SUA and TG in children with short stature are limited. Aim To determine the relationship between SUA and TG levels in short children and adolescents. Method This was a cross-sectional evaluation of a cohort of 1095 patients with short stature (720 males and 375 females). The related clinical characteristics, including anthropometric and biochemical parameters, were determined. Results Smooth curve fitting, adjusted for potential confounders was performed, which indicated the existence of a non-linear relationship between these measures. Piecewise multivariate linear analysis revealed a significant positive relationship between SUA and TG at SUA concentrations over 7 mg/dL (β = 0.13, 95% CI: 0.05–0.22, P = 0.002) but no significant correlation at lower SUA levels (β = 0.01, 95% CI: 0.01–0.04, P = 0.799). Furthermore, a stratified analysis was performed to appraise changes in this relationship for different sexes and standard deviation levels of body mass index (BMI). The non-linear relationship remained consistent in males and females with BMI standard deviation scores (BMI SDS) ≥ 0, with inflection points of 6.71 mg/dL and 3.93 mg/dL, respectively. Within these two groups, SUA and TG levels showed a positive association when SUA levels were higher than the inflection point (β = 0.21, 95% CI: 0.11–0.31, P < 0.001 for males and β = 0.1, 95% CI: 0.03–0.17, P = 0.005 for females). However, a specific relationship was not observed at lower SUA levels. No significant relationships were found between SUA and TG levels in males and females with BMI SDS < 0. Conclusion The present study identified the non-linear association of SUA and TG levels with short children and adolescents. This relationship was based on BMI status. This finding suggests that health status should be considered for short stature children with high SUA levels, especially in children with a high BMI standard deviation score.

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