Hungarian macroeconomic variables — Reflections on causal relationships

2003 ◽  
Vol 53 (1) ◽  
pp. 61-73
Author(s):  
N. Dritsakis
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Causal Relationships ◽  
Transition Country ◽  
Macroeconomic Variables ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Relationship ◽  
The Empirical Analysis ◽  
Multivariate Cointegration

The paper investigates the relationship among macroeconomic variables for a transition country: Hungary. The purpose of this paper is to measure the dynamic interrelationship among macroeconomic variables such as money supply, output, interest rates, inflation and exchange rates. For the empirical analysis of this investigation, quarterly data have been used for the period from 1980 to 2000, and the Johansen multivariate cointegration technique and the Granger causality tests have been applied. The results provide evidence of the existence of important causal relationships between variables that describe macroeconomic activity in Hungary.

scholarly journals Asymmetric Macroeconomic Shocks and Asset Price Behaviors in Selected African Countries

2021 ◽  
Vol 11 (2) ◽  
pp. 90
Author(s):  
Saliu Mojeed Olanrewaju ◽  
Ogunleye Edward Oladipo
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Asset Prices ◽  
Asset Price ◽  
Panel Cointegration ◽  
African Countries ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Real Estate Prices ◽  
The Relationship

This study examines the relationship between Asset prices (Stock and Real estate prices) and Macroeconomic variables in four selected African countries. The study employs the Westerlund Error Correction Based Panel Cointegration test and Eight-variable Structural Vector Autoregressive model to examine the relationship between asset prices and macroeconomic variables. Findings from the study confirm that no long-run relationship exists between both Asset prices and macroeconomic variables. The study equally reveals that portfolio diversification benefits of both stock and real estate markets are more pronounced in the period of a boom than the recession period in Africa. The results also show that GDP growth rate shock exerts a significant impact on both asset prices during expansion and recession periods. The study reveals that foreign interest rates and World oil price shocks are better predictors of both stock and real estate prices during the crisis period than in the expansion period.

scholarly journals An analysis of the relationship of inflation and unemployment to the gross domestic product (gdp) in zimbabwe

2014 ◽  
Vol 1 (3) ◽  
pp. 156-162
Author(s):  
Tendai Makoni
Keyword(s):  
Time Series ◽  
Gross Domestic Product ◽  
Cointegration Test ◽  
Domestic Product ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Relationship Of ◽  
The Relationship ◽  
Yearly Data

The time series yearly data for Gross Domestic Product (GDP), inflation and unemployment from 1980 to 2012 was used in the study. First difference of the logged data became stationary as suggested by the time series plots. Johansen Maximum Likelihood Cointegration test indicated a long-run relationship among the variables. Granger Causality tests suggested unidirectional causality between inflation and GDP, implying that GDP is Granger caused by inflation in Zimbabwe. Another unidirectional causality was noted between unemployment and inflation. The causality between unemployment and inflation imply that unemployment do affect GDP indirectly since unemployment influences inflation which in turn positively affect GDP.

Exchange Rates and the Effectiveness of Actual and Oral Official Interventions: A Survey on Findings, Issues and Policy Implications

2010 ◽  
Vol 10 (4) ◽  
pp. 1850213 ◽  
Author(s):  
Nevin Cavusoglu
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Policy Implications ◽  
Consistent Finding ◽  
Macroeconomic Variables ◽  
Explanatory Variables ◽  
Monetary Authorities ◽  
Exchange Rate Movements ◽  
Exchange Markets

Monetary authorities of many open economies have been regularly intervening in foreign exchange markets for years to limit volatility in exchange rates and/or push exchange rates back to some desired level. Such interventions have taken the form of actual and oral official interventions. Review of studies investigating the effectiveness of interventions reveals one major issue, related to the assumption that interventions are mostly sterilized. This assumption might lead to unreliable results when changes in interest rates and interventions are both used as explanatory variables for exchange rates. One major consistent finding is that intervention has a significant but short-lasting effect on exchange rates. Studies have reached this conclusion by investigating whether intervention has been effective in turning around the exchange rate over the few days, weeks or months following intervention(s). Only a few studies have investigated and provided evidence that intervention has been effective in limiting long swings in exchange rates. Studies testing for the effectiveness of interventions specifically through the signaling channel also provide evidence on the importance of macroeconomic variables for exchange rates. The significance of official intervention and official communication for exchange rate movements combined with the importance of macroeconomic variables for exchange rates provide a role for official intervention and parity announcement to influence exchange rate movements and limit the magnitude of exchange rate swings.

scholarly journals The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 89 ◽  
Author(s):  
Jatin Malhotra ◽  
Angelo Corelli
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Credit Default ◽  
The Us ◽  
Before And After ◽  
The Global Financial Crisis ◽  
Industry Sectors ◽  
The Relationship

The paper analyzes the relationship between the credit default swaps (CDS) spreads for 5-year CDS in Europe and US, and fundamental macroeconomic variables such as regional stock indices, oil prices, gold prices, and interest rates. The dataset includes consideration of multiple industry sectors in both economies, and it is split in two sections, before and after the global financial crisis. The analysis is carried out using multivariate regression of each index vs. the macroeconomic variables, and a Granger causality test. Both approaches are performed on the change of value of the variables involved. Results show that equity markets lead in price discovery, bidirectional causality between interest rate, and CDS spreads for most sectors involved. There is also bidirectional causality between stock and oil returns to CDS spreads.

scholarly journals ANALYSIS OF THE HOUSING MARKET IN LITHUANIA

2008 ◽  
Vol 12 (4) ◽  
pp. 271-280 ◽  
Author(s):  
Feliksas Ivanauskas ◽  
Rimantas Eidukevičius ◽  
Albinas Marčinskas ◽  
Birutė Galinienė
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Housing Market ◽  
Supply And Demand ◽  
Economic Factors ◽  
Causality Tests ◽  
The One ◽  
The Cost ◽  
The Given ◽  
The Relationship

Cointegration and Granger causality tests were used for the statistical analyses of the housing market in Lithuania. The relationship between the cost of housing and afford‐ability on the one hand, and interest rates, GDP and average incomes on the other was not proven to exist using the given statistical methods. The period of increase in the cost of housing in Lithuania over the last five years is exceptional and difficult to explain using fundamental economic factors and their fluctuation trends alone. The cost of housing has made a clear departure from the economic (business) cycle; the economy has grown, however at a much slower rate than rising costs in the housing market. The reasons for this situation are record lows in interest rates, good conditions to gain financing, the liberalisation of financial markets, speculative attitudes in expectation of the introduction of the Euro, and a divide between the supply and demand of housing that is available. It should be noted that the evaluation of the influence of these factors on fluctuations in costs in the housing market is more hypothetical in nature. Santrauka Nekilnojamojo turto rinkos Lietuvoje statistinei analizei buvo naudojami kointegravimo ir Grangerio priežastingumo testai. Taikant esamus statistinius metodus nebuvo įrodyta, kad egzistavo ryšys tarp nekilnojamojo turto kainos ir įperkamumo, viena vertus, ir palūkanų normų, BVP bei vidutinių pajamų, kita vertus. Nekilnojamojo turto kainos Lietuvoje didėjimo per pastaruosius penketą metų laikotarpis yra išskirtinis ir sunkiai paaiškinamas remiantis vien pagrindiniais ekonominiais veiksniais ir jų svyravimų tendencijomis. Nekilnojamojo turto kaina aiškiai nukrypo nuo ekonomikos (verslo) ciklo; ekonomika išaugo, tačiau gerokai lėtesniu tempu nei augančios kainos nekilnojamojo turto rinkoje. Šios situacijos priežastys – rekordiškai mažos palūkanų normos, geros sąlygos gauti fi nansavimą, fi nansų rinkos liberalizavimas, spekuliaciniai požiūriai tikintis įsivesti eurą ir takoskyra tarp esamo nekilnojamojo turto pasiūlos ir paklausos. Pažymėtina, kad šių veiksnių įtakos kainų svyravimo nekilnojamojo turto rinkoje įvertinimas yra labiau hipotetinis.

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.  

scholarly journals WOMEN FEEL MORE PESSIMISTIC THAN MEN: EMPIRICAL EVIDENCE FROM TURKISH CONSUMER CONFIDENCE INDEX

2010 ◽  
Vol 11 (1) ◽  
pp. 146-171 ◽  
Author(s):  
Ashi Küçükaslan ◽  
Sadullah Çelik
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Consumer Confidence ◽  
Data Set ◽  
Confidence Index ◽  
Market Variables ◽  
The Relationship

The leading role that is attributable to economic indicators like consumer confidence has been well documented in the literature for many developed nations. Moreover, the relationship between high frequency financial market data has been a common research topic for world economies. However, there is hardly any study that attempts to search for the possible functional relationship between consumer confidence and financial market variables. This paper is a simple attempt to link these two brands of literature by focusing on the relationship between financial market variables and consumer confidence index before the global crisis has started. We have two distinctive points. First, we derive separate consumer confidence indices for men and women by employing micro‐level consumer confidence data from an emerging market (Turkish CNBC‐e consumer confidence index) for the period of January 2003 ‐ January 2008. Second, employing this data set, we do not only check for the existence of a relationship between consumer confidence and financial market variables (such as interest rates, exchange rates and stock exchange index) but also focus on the possibility of gender response. We find evidence of gender response difference as throughout the period women are more pessimistic than men‐due probably to lower levels of wealth‐and respond less to changes in exchange rates than men‐due probably to lower purchasing power. Santrauka Ekonominiu rodikliu kaip pirkejo pasitikejimo vaidmens svarba yra išsamiai pagrista daugelio išsivys‐čiusiu šaliu literatūroje. Be to, ryšys tarp aukšto finansu. rinkos svyravimo duomenu yra dažna tyrimu tema daugelyje pasaulio šaliu. Tačiau vargu ar galima būtu rasti tyrimu, kuriuose būtu bandoma surasti funkcini ryši tarp pirkejo pasitikejimo ir finansu. rinku rodikliu. Šis straipsnis ‐ tai meginimas susieti šias dvi rūšis, orientuojantis i ryši tarp finansu. rinku rodikliu ir pirkejo pasitikejimo indekso prieš prasi‐dedant pasaulinei krizei. Šiame straipsnyje pabrežti du išskirtiniai bruožai. Pirma, nustatomi atskiri mo‐teru ir vyru pasitikejimo indeksai naudojantis 2003 m. sausio men. ‐ 2008 m. sausio men. laikotarpio augančiu rinku mikrolygmens pirkejo pasitikejimo duomenimis (Turku CNBC‐e pirkejo pasitikejimo indeksas). Antra, naudojantis šia informacija tikrinamas ne tik esamas ryšys tarp pirkejo pasitikejimo ir finansu. rinku rodikliu (pavyzdžiui, palūkanu normos, valiutu kurso, akciju biržos indekso). Buvo rasta akivaizdžiu skirtumu tarp atsakymu, gautu iš skirtingu lyčiu atstovu. Visa laikotarpi moterys buvo pesi‐mistiškesnes nei vyrai, tikriausiai del žemo geroves lygio. Jos mažiau reagavo i valiutu kurso pokyčius nei vyrai del mažesnes perkamosios galios.

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.

scholarly journals ANALISIS PENGARUH FAKTOR VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2013

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Herni Ali
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Regression Models ◽  
Secondary Data ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Relationship ◽  
Positive Effect

The aim of this study is examining the relationship between cointergration and causality levels of Exchange Rate, GDP, BI interest rates and inflation on Islamic Capital Markets. The data used in this study is a quantitative secondary data in the form of time series of the period January 2010 to December 2013. The test were conducted with the approach of multiple regression models with variable index research JII (Y), the exchange rate (X1), GDP (X2) , BI rate (X3) and inflation (X4) as for hypothesis testing performed using SPSS statistical software. From the results obtained by testing the hypothesis that: a positive effect on the exchange rate, positive effect on GDP, interest harga sewa rates BI negative effect and inflation positive effect on JII. Simultanious testing into four macroeconomic variables affect the JII.DOI: 10.15408/sjie.v3i2.2061   

scholarly journals An Empirical Evidence of International Fisher Effect in Bangladesh with India and China: A Time-Series Approach

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Kazi Ashraful Alam ◽  
Anisuzzaman Shuvo
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Fisher Effect ◽  
Nominal Interest Rates ◽  
Trading Partners ◽  
Time Series Approach ◽  
The Relationship ◽  
Casual Relationship

This paper is an attempt to examine the empirical evidence of International Fisher Effect (IFE) between Bangladesh and its two other major trading partners, China and India. The IFE uses interest rate differentials to explain why exchange rates change over time. A time series approach is considered to trace the relationship between nominal interest rates and exchange rates in these countries. The estimated value, by applying OLS, is used to determine the casual relationship between interest rates and exchange rates for quarterly data from 4th Quarter, 1995 to the 2nd Quarter, 2008. The empirical results suggest that there is a little correlation between exchange rates and interest rates differential for Bangladesh with China and Bangladesh with India, and the relationship between the variables is also not noteworthy for Bangladesh. Further, the trends advocate that the forecasting of exchange rates with the hypothesis of IFE is not realistic for these countries.

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