scholarly journals Grain prices, oil prices, and multiple smooth breaks in a VAR

2016 ◽  
Vol 20 (4) ◽  
Author(s):  
Walter Enders ◽  
Paul Jones
Keyword(s):  
Structural Change ◽  
Granger Causality ◽  
Null Hypothesis ◽  
Structural Breaks ◽  
Oil Prices ◽  
Misspecified Model ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Relationship ◽  
Smooth Breaks

AbstractIgnored structural breaks in a VAR result in a misspecified model such that Granger causality tests are improperly sized; there is a bias towards a rejection of the null hypothesis of non-causality even when the null is correct. Instead of modeling structural breaks as being sharp, changes in the relationship between the maize and petroleum markets are likely to have occurred gradually. We show the flexible Fourier form has good size and power properties in testing for smooth structural change in a VAR. When applied to a VAR including maize and oil prices, we uncover important linkages between the two markets.

scholarly journals The relationship between the relative GDP share of agriculture and the unemployment rate in selected Central and Eastern European countries

2017 ◽  
Vol 63 (No. 7) ◽  
pp. 308-317
Author(s):  
Bein Murad A ◽  
 Ciftcioglu Serhan
Keyword(s):  
Granger Causality ◽  
Unemployment Rate ◽  
European Countries ◽  
Regression Equations ◽  
Eastern European ◽  
Causality Tests ◽  
Dynamic Panel Regression ◽  
Granger Causality Tests ◽  
Eastern European Countries ◽  
The Relationship

The study empirically investigates the relationship between the relative GDP share of agriculture and the unemployment rate in a sample of ten Central and Eastern European countries. Utilising the annual data for the sample period 1996–2013, the empirical analysis is carried out using the dynamic panel regression analysis and the Granger causality tests. The estimation results based on the alternative specification of regression equations for the unemployment rate suggest that the unemployment rate is negatively related to the relative GDP share of agriculture. In addition, a similar effect has been obtained for some other explanatory variables we have included in the unemployment equation as controlling variables: higher investment rate and trade openness are likely to lower the rate of unemployment. The financial development has also been found to be negatively related to the unemployment rate, although the statistical significance of its effect depends on the estimation technique used. On the other hand, the GDP growth and the government consumption have been found to be insignificantly related to the unemployment rate. While the Granger causality tests performed for each country produced evidence of a causal effect of the relative GDP share of agriculture in some countries, in some other countries the direction of causality has been found to be from the unemployment rate to the relative GDP share of agriculture. Our findings suggest that agriculture may play a potential role in lowering the prevailing rates of high unemployment; but this potential is likely to vary between countries.  

New Evidence of Dynamic Links between Tourism and Economic Growth Based on Mixed-Frequency Granger Causality Tests

2017 ◽  
Vol 57 (7) ◽  
pp. 899-907 ◽  
Author(s):  
Han Liu ◽  
Haiyan Song
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Large Body ◽  
P Value ◽  
Mixed Frequency ◽  
Causality Tests ◽  
Short Run ◽  
Empirical Regularities ◽  
Granger Causality Tests ◽  
The Relationship

The relationship between tourism and economic growth has created a large body of literature investigating the hypotheses of tourism-led economic growth (TLEGH) and economy-driven tourism growth (EDTGH). In this article, we use mixed-frequency Granger causality tests to investigate the relationship between the two types of growth in Hong Kong from 1974 to 2016. Our analysis reveals the following empirical regularities. First, the hidden short-run causality of TLEGH is detected, and EDTGH is proved in the short run and also in the long run when Granger causality tests are performed in a mixed-frequency framework. Second, mixed-frequency Granger tests demonstrate more power in testing the TLEGH and EDTGH via the rejection frequencies (bootstrap p value). Finally, rolling Granger causality tests reveal an unstable relationship between tourism and economic growth in both magnitude and direction, and the relationship is highly economic- and tourism-event-dependent.

GDP, energy consumption and financial development in Italy

2018 ◽  
Vol 12 (1) ◽  
pp. 28-43 ◽  
Author(s):  
Cosimo Magazzino
Keyword(s):  
Energy Consumption ◽  
Granger Causality ◽  
Financial Development ◽  
Oil Prices ◽  
Content Type ◽  
Real Gdp ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Toda And Yamamoto

Purpose This study aims to explore the relationship among energy consumption, real income, financial development and oil prices in Italy over the period 1960-2014. Design/methodology/approach Different econometric techniques – such as the General Methods of Moment (GMM) or the AutoRegressive Distributed Lags (ARDL) bounds test – are usually used in the empirical analysis. Moreover, both the Toda and Yamamoto causality tests and the Granger causality tests are applied to the data. Findings The results of unit root and stationarity tests show that the variables are non-stationary at levels, but stationary in first-differences form, or I(1). The ARDL bounds F-test reveals an evidence of a long-run relationship among the four variables at 1% significance level. Moreover, an increase in real GDP and oil prices has a significant effect on energy consumption in the long run. The coefficients of estimated error correction term are also negative and statistically significant. In addition, the paper explores the causal relationship between the variables by using a VAR framework, with Toda and Yamamoto but also Granger causality tests, within both multivariate and bivariate systems. The findings indicate that energy consumption is affected by real GDP. Originality/value The study also filled the literature gap of applying ARDL technique to examine this relevant issue for Italy.

Forestry Investment and Output Value of Forestry in China

2014 ◽  
Vol 926-930 ◽  
pp. 3826-3829
Author(s):  
Yang Gao ◽  
Yi Lei Hou ◽  
Zheng Zhao ◽  
Ya Li Wen
Keyword(s):  
Empirical Evidence ◽  
Causal Relationship ◽  
Granger Causality ◽  
Improve Efficiency ◽  
Causality Tests ◽  
Speed Up ◽  
Granger Causality Tests ◽  
The Relationship

The relationship between output value of forestry and forestry investment is considered as an imperative issue in forestry economy. In this paper, Granger causality tests are applied to examine the causal relationship between the output value of forestry and the forestry investment for China during 1998 to 2012. Empirical evidence reveals forestry investment and output value of forestry are co-integrated and there is unidirectional causality running from forestry investment to the output value of forestry but not vice versa. With the purpose of conquering the lack of forestry investment, government need to speed up the finance expenditure on forestry, to expand sources of forestry investment and to improve efficiency of investment.

Research on the Relationship between the Development of our Country Service Industries and Tax Based on the Co-Integration Model

2014 ◽  
Vol 543-547 ◽  
pp. 4335-4338
Author(s):  
Zai Tang Wang ◽  
Na Wang
Keyword(s):  
Granger Causality ◽  
Service Industry ◽  
Service Industries ◽  
Integration Model ◽  
Tax System ◽  
Development Level ◽  
Integration Test ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Relationship

In our country tax system, the most category of taxes have relationship with service, involving almost every part of the service industry. With the development of service industry, the tax revenues will increase. This paper uses co-integration test and Granger causality tests to analysis the relationship between the development level of the service industry and tax revenue.In order to use tax policy to promote the transformation and upgrading of service industry.

scholarly journals Stock Prices, Consumer Sentiment, And Economic Activity: Some Robust Bilateral Causality Tests For The US And The UK

2011 ◽  
Vol 7 (1) ◽  
Author(s):  
Hassan Shirvani ◽  
Barry Wilbratte
Keyword(s):  
Granger Causality ◽  
Stock Prices ◽  
Economic Activity ◽  
Structural Breaks ◽  
Consumer Sentiment ◽  
Test Procedures ◽  
The Us ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Uk

This paper performs robust bilateral Granger causality tests for stock prices, consumer sentiment, and economic activity for the US and the UK. The robust test procedures involve the use of recently developed time series analysis of nonstationary data with possible structural breaks. Applying a battery of such tests, the paper finds the underlying data to be generally nonstationary and noncointegrated, even after allowing for possible breaks in the data, thus implying that the standard bilateral Granger causality tests are robust. The empirical results indicate the presence of unidirectional causality from stock prices to consumer sentiment for both countries. Given that stock prices drive consumer sentiment, we perform additional causality tests to determine the effect of consumer sentiment on the economy. Our finding of a unidirectional causality from consumer sentiment to the economy in both countries is consistent with a chain of causality from stock prices to consumer sentiment to the economy.

scholarly journals LOCALE-VARYING RELATIONSHIPS BETWEEN TOURISM DEVELOPMENT AND RETAIL PROPERTY PRICES IN A SHOPPING DESTINATION

2020 ◽  
Vol 24 (5) ◽  
pp. 323-334
Author(s):  
Linchuan Yang ◽  
K.W. Chau ◽  
Yi Lu ◽  
Xu Cui ◽  
Fanyu Meng ◽  
...  
Keyword(s):  
Hong Kong ◽  
Granger Causality ◽  
Tourism Development ◽  
Correction Model ◽  
Property Prices ◽  
Shopping Area ◽  
Causality Tests ◽  
Retail Property ◽  
Granger Causality Tests ◽  
The Relationship

Existing literature has inadequately examined the nexus between tourism and property prices. Additionally, it mainly focuses on hotels and housing, thereby overlooking other property categories (e.g., retail properties). The relationship between tourism development and retail property prices in shopping destinations (e.g., Hong Kong and Singapore) may hinge on the locale. More specifically, the relationship may be different in the tourist precinct or popular tourism shopping area (PTSA) and the unpopular tourism shopping area (UTSA). This study examines locale-varying relationships between tourism development (measured by tourist volume and tourism expenditure) and retail property prices from 2002Q1 to 2014Q4 in Hong Kong using standard and error-correction-model-based (ECM-based) Granger causality tests. Results of standard Granger causality tests indicate that tourism development Granger causes the increase in retail property prices in the PTSA but not in the UTSA. Moreover, results of ECM-based Granger causality tests further verify the robustness and plausibility of the tourism-led growth (in retail property prices) hypothesis in the PTSA. In other words, we find that tourism development measures can be used to better predict changes in retail property prices in the PTSA than simply referring to the price history.

scholarly journals INVESTIGATION OF THE RELATIONSHIP BETWEEN TRADE OPENNESS AND ECONOMIC GROWTH IN THE CASE OF CHINA

2017 ◽  
Vol 5 (7) ◽  
pp. 199-213
Author(s):  
Masoud Ali Khalid ◽  
Khalid Hayder A.Ali
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Trade Openness ◽  
Capital Formation ◽  
Sample Period ◽  
Ardl Model ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Relationship

In this paper, we have investigated the relationship between trade openness and long-run economic growth over the sample period 1960–2015, utilizing ARDL model. We found evidence that trade openness is directly correlated with economic growth in the long run. Furthermore, Granger Causality tests recommended that a change in trade openness impacts the long-run of economic growth through the interaction with gross capital formation in the case of China.

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