Conducting Causal Analysis by Means of Approximating Probabilistic Truths

The current paper develops a probabilistic theory of causation using measure-theoretical concepts and suggests practical routines for conducting causal inference. The theory is applicable to both linear and high-dimensional nonlinear models. An example is provided using random forest regressions and daily data on yield spreads. The application tests how uncertainty in short- and long-term inflation expectations interacts with spreads in the daily Bitcoin price. The results are contrasted with those obtained by standard linear Granger causality tests. It is shown that the suggested measure-theoretic approaches do not only lead to better predictive models, but also to more plausible parsimonious descriptions of possible causal flows. The paper concludes that researchers interested in causal analysis should be more aspirational in terms of developing predictive capabilities, even if the interest is in inference and not in prediction per se. The theory developed in the paper provides practitioners guidance for developing causal models using new machine learning methods that have, so far, remained relatively underutilized in this context.

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The Effects of Exchange Rate on Export Performance in Tanzania

Advances in Marketing, Customer Relationship Management, and E-Services - Handbook of Research on Decision-Making Techniques in Financial Marketing ◽

10.4018/978-1-7998-2559-3.ch003 ◽

2020 ◽

pp. 47-67

Author(s):

Haroub Hamad Omar ◽

Nildag Basak Ceylan ◽

Ayhan Kapusuzoglu

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Export Performance ◽

Causality Test ◽

Foreign Demand ◽

Causality Tests ◽

Auto Regressive ◽

Short And Long Term ◽

Exchange Rate Level

The chapter analyzes the effects of exchange rate of Tanzanian shilling on the country's exports performance applying Vector Auto-Regressive (VAR) model covering the sample period from 1993:Q1 to 2016:Q4. Cointegration and causality tests are performed to investigate the short- and long-term relationships between the variables to evaluate the financial competition. The results show that; there is no long-term relationship (cointegration) between exchange rates and exports and between foreign demand and exports. Moreover, the results of causality test show no short-term relationship (causality) between exchange rates and exports and between foreign demand and exports. As the findings suggest, the exchange rate level of Tanzanian shilling (in nominal terms) does not statistic-significantly affect the country's exports performance.

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The relationship between trend and volume on the bitcoin market

Eurasian Economic Review ◽

10.1007/s40822-021-00166-5 ◽

2021 ◽

Author(s):

Beata Szetela ◽

Grzegorz Mentel ◽

Yuriy Bilan ◽

Urszula Mentel

Keyword(s):

Downward Trend ◽

Volume Changes ◽

Vector Error Correction ◽

Vector Error ◽

Daily Data ◽

Directional Movement ◽

Movement Index ◽

Short And Long Term ◽

The Relationship

AbstractThe aim of the paper is to verify the existence of short- and long-term relationships between the strength of a trend and the volume in bullish and bearish cryptocurrency markets. We applied the vector error correction model to bitcoin daily data from 14.01.2015 to 22.12.2019. Based on the prices and following Wilder’s algorithm, the average directional movement index was calculated, and upward and downward trend periods were determined. No long-term relationship was found to exist between the strength of a trend and the volume in both bearish and bullish markets. Hence, trends do not react to volume changes. However, a long-term relationship exists between volume and trend—but only for the downward trend—with an adjustment speed of 88%. In the short-term, a statistically significant but very weak dependency is revealed; hence, the conclusion that trend strength is insensitive to volume changes can be reached.

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Choosing between linear and nonlinear models and avoiding overfitting for short and long term groundwater level forecasting in a linear system

Journal of Hydrology ◽

10.1016/j.jhydrol.2019.124015 ◽

2019 ◽

Vol 578 ◽

pp. 124015 ◽

Cited By ~ 3

Author(s):

Chiara Zanotti ◽

Marco Rotiroti ◽

Simone Sterlacchini ◽

Giacomo Cappellini ◽

Letizia Fumagalli ◽

...

Keyword(s):

Linear System ◽

Groundwater Level ◽

Nonlinear Models ◽

Short And Long Term ◽

Linear And Nonlinear

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Revealing asymmetric spillover effects in hazelnut, gasoline, and exchange rate markets in Turkey: The VECM-BEKK-MGARCH approach

Panoeconomicus ◽

10.2298/pan190509005a ◽

2020 ◽

pp. 5-5

Author(s):

Emine Askan ◽

Faruk Urak ◽

Abdulbaki Bilgic

Keyword(s):

Exchange Rates ◽

Granger Causality ◽

Spillover Effects ◽

Statistical Testing ◽

The Other ◽

Causality Tests ◽

Short And Long Term ◽

Exchange Rate Markets ◽

Two Sectors

The study used the VECM-BEKK-MGARCH method to model the volatility transmission between the markets of gasoline, exchange rates, and the hazelnut market for the period of 21.07.2005-20.3.2018. The suitability of the VECM-BEKK-MGARCH method was confirmed by statistical testing. The changes in hazelnut prices were not affected by the changes in the prices or final values in the other two sectors (Granger causality). Moreover, the Granger causality tests revealed that, while the change in the gasoline market was not affected by the other two markets, the change in the exchange rates market was affected by the other two markets. Furthermore, especially the volatilities (long-term uncertainties) of the markets were affected by both their own short- and long-term volatilities and other sectors? short- and long-term volatilities. It was shown that the long-term swings in these three markets were affected by the cross-interaction in the markets. Additionally, as opposed to the case in the positive news, it was observed that pieces of negative news about the markets affected the markets.

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A study of cointegration of gold market of the emerging and developed economies

Corporate and Business Strategy Review ◽

10.22495/cbsrv2i1art1 ◽

2021 ◽

Vol 2 (1) ◽

pp. 8-17

Author(s):

Ajay Sidana ◽

Neeru Sidana ◽

Rohit Sood

Keyword(s):

Gold Price ◽

Spot Prices ◽

Developed Economies ◽

Daily Data ◽

Gold Market ◽

The Usa ◽

Price Trends ◽

Short And Long Term ◽

Ancient Times

Gold, which is considered to be the most precious metal (Bilal, Talib, Haq, Khan, & Naveed, 2013), from ancient times has been considered as a very conservative investment. Studies examining the utility of gold have found evidence in favour of gold as a source of the hedge (Narayan, Narayan, & Zheng, 2010; Bampinas & Panagiotidis, 2015), diversification (Ibrahim, 2012; Hoang, Lean, & Wong, 2015), as well as a safe haven in times of adverse market movements (Ciner, Gurdgiev, & Lucey, 2013; Bredin, Conlon, & Potì, 2015). This paper attempts to study how global gold price trends impact domestic gold prices and domestic gold price trends contemplate in international gold markets. The study has been based on 3157 observations of daily data recorded over a period of 13 years – from March 2005 to December 2018 – to show the relationship between the USA and India’s gold market. This paper fills the need for empirical evidence for the short and long-term interrelation between India and USA gold markets and the results show no evidence of a long-term association between Indian and COMEX gold spot prices.

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Integration of the GCC Stock Markets

Research in World Economy ◽

10.5430/rwe.v11n5p24 ◽

2020 ◽

Vol 11 (5) ◽

pp. 24

Author(s):

Turki Alshammari

Keyword(s):

Saudi Arabia ◽

Stock Markets ◽

Gulf Cooperation Council ◽

Impulse Response Functions ◽

Response Functions ◽

Short Term ◽

Cointegration Tests ◽

Causality Tests ◽

Short And Long Term

This study analyzes the short- and long-term interdependence among the Gulf Cooperation Council (GCC) stock markets, namely, Kuwait, Saudi Arabia, Bahrain, Emirates, and Oman. The study finds a solid long-term relationship among the GCC stock markets and that each market contributes significantly to that relationship. The short-term relationship is also supported through the causality tests as well as through impulse response functions. The analysis reveals the Kuwait stock market to be the most influential during the examined period. Also, a feedback exists between the Saudi and the Emirates stock markets. In order to corroborate the results, an ARDL model is specified and its results confirm the cointegration tests. Overall, the results place doubts against the investment diversification principle.

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Inflation hedging and protection characteristics of infrastructure and real estate assets

Journal of Property Investment and Finance ◽

10.1108/jpif-04-2014-0026 ◽

2015 ◽

Vol 33 (1) ◽

pp. 19-44 ◽

Cited By ~ 9

Author(s):

Daniel Wurstbauer ◽

Wolfgang Schäfers

Keyword(s):

Real Estate ◽

Asset Returns ◽

Content Type ◽

Causality Tests ◽

Short Run ◽

Short And Long Term ◽

Infrastructure Investments ◽

Real Estate Assets ◽

Inflation Hedging

Purpose – Similar to real estate, infrastructure investments are regarded as providing a good inflation hedge and inflation protection. However, the empirical literature on infrastructure and inflation is scarce. Therefore, the purpose of this paper is to investigate the short- and long-term inflation-hedging characteristics, as well as the inflation protection associated with infrastructure and real estate assets. Design/methodology/approach – Based on a unique data set for direct infrastructure performance, a listed infrastructure index, common direct and listed real estate indices, the authors test for short- and long-term inflation-hedging characteristics of these assets in the USA from 1991-2013. The authors employ the traditional Fama and Schwert (1977) framework, as well as Engle and Granger (1987) co-integration tests. Granger causality tests are further conducted, so as to gain insight into the short-run dynamics. Finally, shortfall risk measures are applied to investigate the inflation protection characteristics of the different assets over increasingly long investment horizons. Findings – The empirical results indicate that in the short run, only direct infrastructure provides a partial hedge against inflation. However, co-integration tests suggest that all series have a long-run co-movement with inflation, implying a long-term hedge. The causality tests reveal reverse unidirectional causality – while real estate asset returns are Granger-caused by inflation, infrastructure asset returns seem to cause inflation. These findings further confirm that both assets represent a distinct asset class. Ultimately, direct infrastructure investments exhibit the most desirable inflation protection characteristics among the set of assets. Research limitations/implications – This study only presents results based on a composite direct infrastructure index, as no sub-indices for sub-sectors are available yet. Practical implications – Investors seeking assets that are sensitive to inflation and mitigate inflation risk should consider direct infrastructure investments in their asset allocation strategy. Originality/value – This is the first study to examine the ability of direct infrastructure to assess inflation risk.

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Experience with Short and Long Term Courses of Local Adrenal Steroid Therapy For Ulcerative Colitis

Gastroenterology ◽

10.1016/s0016-5085(62)80117-6 ◽

1962 ◽

Vol 42 (6) ◽

pp. 669-677 ◽

Cited By ~ 18

Author(s):

Jean A. Spencer ◽

Joseph B. Kirsner

Keyword(s):

Ulcerative Colitis ◽

Steroid Therapy ◽

Adrenal Steroid ◽

Short And Long Term

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Short- and Long-Term Results of Total vs Subtotal Thyroid- ectomies in the Surgical Treatment of Graves' Disease

Swiss Surgery ◽

10.1024/1023-9332.7.1.20 ◽

2001 ◽

Vol 7 (1) ◽

pp. 20-24 ◽

Cited By ~ 14

Author(s):

Robert ◽

Mariéthoz ◽

Pache ◽

Bertin ◽

Caulfield ◽

...

Keyword(s):

Recurrent Laryngeal Nerve ◽

Nerve Palsy ◽

Recurrent Laryngeal Nerve Palsy ◽

Laryngeal Nerve ◽

Long Term Results ◽

Graves Disease ◽

Laryngeal Nerve Palsy ◽

Short And Long Term

Objective: Approximately one out of five patients with Graves' disease (GD) undergoes a thyroidectomy after a mean period of 18 months of medical treatment. This retrospective and non-randomized study from a teaching hospital compares short- and long-term results of total (TT) and subtotal thyroidectomies (ST) for this disease. Methods: From 1987 to 1997, 94 patients were operated for GD. Thirty-three patients underwent a TT (mostly since 1993) and 61 a ST (keeping 4 to 8 grams of thyroid tissue - mean 6 g). All patients had received propylthiouracil and/or neo-mercazole and were in a euthyroid state at the time of surgery; they also took potassium iodide (lugol) for ten days before surgery. Results: There were no deaths. Transient hypocalcemia (< 3 months) occurred in 32 patients (15 TT and 17 ST) and persistent hypocalcemia in 8 having had TT. Two patients developed transient recurrent laryngeal nerve palsy after ST (< 3 months). After a median follow-up period of seven years (1-15) with five patients lost to follow-up, 41 patients having had a ST are in a hypothyroid state (73%), thirteen are euthyroid (23%), and two suffered recurrent hyperthyroidism, requiring completion of thyroidectomy. All 33 patients having had TT - with follow-ups averaging two years (0.5-8) - are receiving thyroxin substitution. Conclusions: There were no instances of persistent recurrent laryngeal nerve palsy in either group, but persistent hypoparathyroidism occurred more frequently after TT. Long after ST, hypothyroidism developed in nearly three of four cases, whereas euthyroidy was maintained in only one-fourth; recurrent hyperthyroidy was rare.

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