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

2012 ◽  
Vol 12 (1) ◽  
pp. 63
Author(s):  
Esin Cakan
Keyword(s):  
Stock Returns ◽  
Granger Causality ◽  
Predictive Power ◽  
Inflation Uncertainty ◽  
The Us ◽  
Non Linear ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Uk ◽  
Dynamic Relationships

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.

scholarly journals Modeling Nonlinear Granger Causality and Co-Integration Between Gold Price Returns and Crude Oil Price Returns

2018 ◽  
Vol 14 (2) ◽  
pp. 105-116
Author(s):  
Nawaz Ahmad ◽  
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Oil Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Long Run ◽  
Gold Market ◽  
Oil Markets ◽  
Causality Tests ◽  
Multiplicative Effects

To model the nonlinear analysis of commodities, Gold market and crude oil market have importance to test their lead and lag price mechanism between the two. For this purpose, the log transformation has been done to calculate easier multiplicative effects. However, to record the dynamic effects of long run cointegreation model applied and tested to find the significance of the problem statement issues. Furthermore, granger causality approach also uses to examine the fundamental linkages between Gold Prices and Crude Oil prices. Meanwhile, the study of Gold markets and oil markets gained popularity among development economists during in last some decades. And try to find out stochastic relationship between the two nonlinear markets. The academic practitioners paved their efforts to run casual time series models in order to find out the robust results which help the economists and financial experts to drive the industry indicator in positive way. This study confirmed that there is cointegration between the two important indicators of large market commodities i.e Gold and crude oil and also casual interactions. Pairwise Granger Causality Tests concluded that Gold Prices return has Granger Cause on Oil Prices return in the long run and if the βeta change in the prices of gold may affect on the prices of crude oil in the long run.

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.

Time-varying Granger causality tests for applications in global crude oil markets

2014 ◽  
Vol 42 ◽  
pp. 289-298 ◽  
Author(s):  
Feng-bin Lu ◽  
Yong-miao Hong ◽  
Shou-yang Wang ◽  
Kin-keung Lai ◽  
John Liu
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Time Varying ◽  
Oil Markets ◽  
Causality Tests ◽  
Granger Causality Tests
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