scholarly journals Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models

2017 ◽  
Vol 22 (2) ◽  
Author(s):  
Sheung-Chi Chow ◽  
Juncal Cunado ◽  
Rangan Gupta ◽  
Wing-Keung Wong
Keyword(s):  
Granger Causality ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Causality Test ◽  
China And India ◽  
Causality Tests ◽  
Causality Relationship ◽  
Granger Causality Tests ◽  
Linear And Nonlinear ◽  
Housing Returns

AbstractIn this paper, we modify the multivariate nonlinear causality test to be panel nonlinear causality test and we apply these and other existing related tests to examine the causal relationship between growth in economic policy uncertainty (EPU) and real housing returns in China and India using quarterly data from 2003:01 to 2012:04. Both panel linear and nonlinear Granger causality tests suggest the existence of only linear and nonlinear unidirectional causality relationships from growth in EPU to real housing returns in both China and India, and bivariate linear Granger causality tests suggest the existence of only linear unidirectional causality relationship from growth in EPU to real housing returns only in China. However, nonlinear bivariate Granger causality tests conclude the existence of nonlinear bidirectional causality relationships between growth in EPU and real housing returns in both China and India and cross bivariate linear and nonlinear Granger causality tests discover that there is only a linear causality relationship from Indian growth in EPU to Chinese housing returns. The results confirm the relevance of EPU data to better understand and predict the future behaviour of housing market returns in these countries.

THE LINKAGE BETWEEN EXPORT AND INCOME: FURTHER EVIDENCE FROM BANGLADESH

2011 ◽  
Vol 56 (01) ◽  
pp. 79-95 ◽  
Author(s):  
RUHUL A. SALIM ◽  
MOHAMMAD A. HOSSAIN
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Cointegration Analysis ◽  
Income Growth ◽  
Causality Test ◽  
Long Run ◽  
Export Expansion ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Growth Hypothesis

This article empirically re-examines the export-led growth hypothesis in the context of Bangladesh using the quarterly data from 1973:1 to 2005:4. The standard time series econometric techniques, such as cointegration and Granger causality tests within the error correction modelling (ECM) are used for this purpose. The results from cointegration analysis suggest that there is stable long-run relationship between exports and income and the results from Granger causality test based on the ECM shows unidirectional causal relationship between exports and income. Thus, these results validate the country's export expansion programs to achieve long-run income growth.

Causal Relationship between Foreign Direct Investment and Economic Growth

2015 ◽  
pp. 319-330 ◽  
Author(s):  
Hasan Bakır ◽  
Filiz Eryılmaz
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Foreign Investment ◽  
Direct Investment ◽  
Direct Foreign Investment ◽  
Causality Test ◽  
Causality Tests ◽  
Causality Relationship ◽  
Granger Causality Tests ◽  
Per Capita

In this chapter, the authors investigate the causality relationship between the inflows of foreign direct investment (FDI) and economic growth as measured by Real Gross Domestic Product (GDP) per capita in Turkey during the period 1974-2012 by using the Granger causality tests. The causality test indicates that economic growth Granger-causes FDI. This means that there is bidirectional causality from Reel GDP to FDI in Turkey. So the author results support “the growth – driven FDI hypothesis”. This demonstrates that in the related time in Turkey, more direct foreign investment entered the economy together with an increase in economic growth.

scholarly journals A Dynamic Analysis of Oil Revenue and the Performance of the Agricultural Sector in Nigeria

2016 ◽  
Vol 2 (1) ◽  
pp. 203
Author(s):  
Lawrence, U. Egbadju ◽  
Victor, E. Oriavwote
Keyword(s):  
Granger Causality ◽  
Agricultural Development ◽  
Agricultural Sector ◽  
Granger Causality Test ◽  
International Market ◽  
Causality Test ◽  
Agricultural Output ◽  
Oil Revenue ◽  
Causality Tests ◽  
Granger Causality Tests

<p><em>The main objective of the research is to empirically investigate the relevance of oil revenue to agricultural development in Nigeria. This is important because despite the numerous efforts by successive governments to diversify the economy, the level of agricultural output still remains abysmally low. The fallen oil price in the international market also makes this research to be timely. The research covered the period between 1981 and 2014. The cointegration technique and the granger causality tests were used for the study. The result indicates that oil revenue is not statistically significant in explaining the level of economic growth. The result of the granger causality test indicates that oil revenue does not granger cause agricultural output. The result is symptomatic since it casts some doubts on the diversification policies of successive governments in Nigeria. The result recommends, amongst others concerted efforts to revamp the agricultural sector through judicious use of the dwindling oil revenue and foreign investors should be encouraged to go into the agricultural sector in Nigeria.</em><em></em></p>

scholarly journals Vector autoregressive-based Granger causality test in the presence of instabilities

2019 ◽  
Vol 19 (4) ◽  
pp. 883-899 ◽  
Author(s):  
Barbara Rossi ◽  
Yiru Wang
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test ◽  
Robust Test ◽  
Vector Autoregressive ◽  
Causality Tests ◽  
Granger Causality Tests

In this article, we review Granger causality tests that are robust to the presence of instabilities in a vector autoregressive framework. We also introduce the gcrobustvar command, which illustrates the procedure in Stata. In the presence of instabilities, the Granger causality robust test is more powerful than the traditional Granger causality test.

Contemporaneous and Granger causality among US corn cash and futures prices

2018 ◽  
Vol 46 (4) ◽  
pp. 663-695 ◽  
Author(s):  
Xiaojie Xu
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Futures Prices ◽  
Causality Test ◽  
Out Of Sample ◽  
Causality Tests ◽  
Granger Causality Tests

AbstractThis paper examines contemporaneous and Granger causality among US corn futures and seven cash prices from major producing states for January 2006–March 2011. Causal flows from futures to cash prices are identified with contemporaneous and in-sample Granger causality tests but not with the out-of-sample Granger causality test. While no interstate in-sample or out-of-sample Granger causality is found, contemporaneous causal linkages are revealed. No causality from cash to futures prices is determined.

scholarly journals The co-movement and asymmetry between energy and grain prices: Evidence from the crude oil and corn markets

Energies ◽  
2019 ◽  
Vol 12 (7) ◽  
pp. 1373 ◽  
Author(s):  
Chen ◽  
Wang ◽  
Zhang ◽  
Zheng
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Price Change ◽  
Oil Price ◽  
Oil Market ◽  
Non Linear ◽  
Causality Tests ◽  
Causality Relationship ◽  
Granger Causality Tests ◽  
Grain Prices

This paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that there is a consistent trend between the crude oil price and corn price with a significant positive correlation coefficient 0.7471 during the sampling period, from January 2008 to February 2016. In addition, we find that there is a long-run equilibrium relationship between the two commodities’ prices. Moreover, while linear Granger causality tests suggest that there is a two-way Granger causality relationship between the price changes in the two markets, non-linear Granger causality tests suggest that there is only a one-way causality relationship from corn to oil price. However, both linear and non-linear Granger causality tests indicate the asymmetry of causality relationship between the two markets (the price change in corn market can more significantly Granger cause the change in crude oil market). Further analysis suggests that the contribution of the corn market to price discovery in a large commodity market is larger than that of the crude oil market.

scholarly journals Existe Alguma Relação entre Retornos Contábeis e Retornos do Mercado de Ações no Brasil?

2007 ◽  
Vol 5 (2) ◽  
pp. 233
Author(s):  
Newton Carneiro Affonso da Costa Jr. ◽  
Roberto Meurer ◽  
César Medeiros Cupertino
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Weak Evidence ◽  
Causality Tests ◽  
The Relationship

This paper examines the relationship between accounting and stock market returns of Brazilian companies on a quarterly basis. The sample consisted of 97 companies with stocks traded in the Sao Paulo Stock Exchange from January of 1995 to March of 2007. A Granger causality test was applied to the two return series for each of the sampled companies. The results of the causality tests suggested that there is weak evidence that accounting returns lead stock market returns rather than the reverse.

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