scholarly journals Non-linear Causality Between Stock Returns And Inflation Uncertainty: Evidence From The US And The UK

Author(s):  
Esin Cakan

This study analyzes the dynamic relationships between inflation uncertainty and stock returns by employing the linear and non-linear Granger causality tests for the US and the UK. Using GARCH model to generate a measure of inflation uncertainty, it does not have a predictive power for stock returns, as predicted by Friedman, and it does not support the opportunistic central bank hypothesis suggested by Cukierman-Meltzer. However, the findings from non-linear Granger causality put forth that there is a bi-directional non-linear predictive power between these variables. Stock market is used as a hedge against inflation uncertainty.

Author(s):  
Hassan Shirvani ◽  
Barry Wilbratte

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.


2007 ◽  
Vol 7 (4) ◽  
pp. 1850121 ◽  
Author(s):  
Erdal Atukeren

This paper examines the relationships between the aggregate R&D activities of the EU and the US using multivariate Granger-causality tests. Our estimation results indicate that the EU reacts positively to increases in R&D productivity in the US. On the other hand, R&D activity in the EU is a direct Granger-cause of both R&D and labour productivity in the US, and the effects are negative. It was shown in the literature that the US reacts submissively to successful Japanese R&D. We extend the literature by demonstrating that the US also reacts submissively to increased R&D effort in the EU.


Energies ◽  
2019 ◽  
Vol 12 (7) ◽  
pp. 1373 ◽  
Author(s):  
Chen ◽  
Wang ◽  
Zhang ◽  
Zheng

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.


Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 81
Author(s):  
Jarle Aarstad ◽  
Olav A. Kvitastein

Panel data show that between 2001 and 2014 Norwegian industries’ increasing aggregated operating profits per employee increased average wages and wage inequality. The data imply that increasing profits, perhaps unsurprisingly, induce a wage premium. The data further imply that employees earning high incomes at the outset had the highest wage increase percentage-wise. Decreasing operating profits per employee had opposite but less robust effects on average wages and wage inequality. Panel data Granger causality tests finally showed that average wages, but not wage inequality, reversely and positively affect operating profits per employee.


2016 ◽  
Vol 63 (1) ◽  
pp. 113-133 ◽  
Author(s):  
Constantinos Alexiou ◽  
Joseph Nellis

Within the context of financialization, this empirical study sheds some light on the distributional aspects of the existing intra-capitalist conflict between financial and industrial capital and its concomitant impact, via investment, on the macroeconomy. In doing so, bounds-test cointegration techniques in conjunction with Granger causality tests provide the econometric framework upon which the respective models are tested. Annual time series were used spanning from 1971 to 2012, for the UK. The empirical evidence is in line with the theoretical exposition insofar as investment decisions by industry are significantly conditioned by industrial profit. Moreover, the distribution of profits between industry and finance, in conjunction with policy objectives, appears to be playing an instrumental role in affecting capital accumulation.


2020 ◽  
Author(s):  
Juan M.C. Larrosa

AbstractThere is a debate in Argentina about the effectiveness of mandatory lockdown measures in containing COVID-19 that lasts five months making it one of the longest in the World. The population effort to comply the lockdown has been decreasing over time given the economic and social costs that it entails. We contributes by analyzing the Argentinian case through information of mobility and contagion given answers to recurrent questions on these topics. This paper aims to fill the gap in the literature by assessing the effects of lockdown measures and the regional relaxation on the numbers of rate of new infections. We also respond to issues of internal political discussion on regional contagion and the effect of marches and unexpected crowd events. We use pool, fixed and random effects panel data modeling and Granger causality tests identifying relations between mobility and contagion. Our results show that lockdown in Argentina has been effective in reducing the mobility but not in way that reduces the rate of contagion. Strict lockdown seems to be effective in short periods of time and by extend it without complementary measures loss effectiveness. Contagion rate seems to be discretely displaced in time and resurging amidst slowly increasing in mobility.


Author(s):  
Aviral Kumar Tiwari ◽  
Juncal Cunado ◽  
Rangan Gupta ◽  
Mark E. Wohar

Abstract This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790–February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample.


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