scholarly journals Bitcoin and Fiat Currency Interactions: Surprising Results from Asian Giants

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1395
Author(s):  
Samet Gunay ◽  
Kerem Kaskaloglu ◽  
Shahnawaz Muhammed
Keyword(s):  
Regime Switching ◽  
Market Timing ◽  
Harmful Effect ◽  
Downward Trend ◽  
Switching Regression ◽  
Indian Rupee ◽  
Non Linear ◽  
Causality Tests ◽  
Causal Nexus ◽  
Chinese Yuan

This study examines the interaction of Bitcoin with fiat currencies of three developed (euro, pound sterling and yen) and three emerging (yuan, rupee and ruble) market economies. Empirical investigations are executed through symmetric, asymmetric and non-linear causality tests, and Markov regime-switching regression (MRSR) analysis. Results show that Bitcoin has a causal nexus with Chinese yuan and Indian rupee for price and various return components. The MRSR analysis justifies these findings by demonstrating the presence of interaction in contractionary regimes. Accordingly, it can be stated that when markets display a downward trend, appreciation of the Chinese yuan and Indian rupee positively and strongly affects the value of Bitcoin, possibly due to the market timing. The MRSR analysis also exhibits a transition from a tranquil to a crisis regime in March 2020 because of the pandemic. However, a shorter duration spent in the crisis regime in 2020 indicates the limited and relatively less harmful effect of the pandemic on the cryptocurrency market when compared to the turmoil that occurred in 2018.

Multivariate Linear and Non-Linear Causality Tests

2009 ◽  
Author(s):  
Zhidong Bai ◽  
Bingzhi Zhang ◽  
Wing-Keung Wong
Keyword(s):  
Non Linear ◽  
Causality Tests

scholarly journals Granger Causal Nexus between Good Public Governance and Unemployment: Evidence from Cross-Country Panel Data Investigation

2021 ◽  
Vol 14 (2) ◽  
pp. 63
Author(s):  
Cristina Boţa-Avram ◽  
Adrian Groşanu ◽  
Paula-Ramona Răchişan ◽  
Sorin Romulus Berinde
Keyword(s):  
Labour Market ◽  
Labour Force ◽  
Public Governance ◽  
Country Level ◽  
Governance Indicators ◽  
Causality Tests ◽  
Data Investigation ◽  
Labour Market Activity ◽  
Causal Nexus ◽  
Total Labour

The purpose of this paper is to investigate the causality between good public governance captured through six World Bank governance indicators and unemployment rate (unemployment as % of the total labour force) as a clear indicator of labour market performance. Although some previous papers have empirically demonstrated the casual nexus between country-level governance and economic development, this study investigates the relation of causality between public governance and the labour market. By employing Granger non-causality tests, we tested two hypotheses with regard to this nexus. We argue that bidirectional Granger causality is predominant for the relation of country-level governance and unemployment. Finally, our paper offers a complex quantitative analysis of the causal nexus between public governance quality and one of the most known labour market activity indicators for an extended panel dataset of countries worldwide for 10 years.

scholarly journals Do US Government Tax Revenues and Expenditures Respond to Debt Levels and Economic Conditions Asymmetrically over the Business Cycle?

2018 ◽  
Vol 5 (3) ◽  
pp. 8
Author(s):  
Steven P Cassou ◽  
Hedieh Shadmani
Keyword(s):  
Business Cycle ◽  
Regime Switching ◽  
Statistical Significance ◽  
Economic Conditions ◽  
Tax Revenue ◽  
Switching Regression ◽  
Us Government ◽  
The Business Cycle ◽  
The Government ◽  
Debt Levels

This paper empirically investigates whether there are asymmetries in the responses of US government tax revenue and expenditure to debt levels and economic conditions over the business cycle. State of the art regime switching regression models, including Threshold Regression and Markov Switching, are investigated. Both sides of the government budget show asymmetries, but the asymmetries for tax revenue show greater statistical significance. The results show that both tax revenue and expenditure respond to high debt levels, with the asymmetry in this response showing that fiscal authorities take weaker action in response to debt during poor economic times. In addition, the asymmetric response to economic conditions for both sides of the budget shows that stronger countercyclical policy is taken during poor economic times.

Electricity Consumption–Economic Growth Nexus: Evidence from ARDL Bound Testing Approach in the Tunisian Context

2020 ◽  
pp. 097215092092543 ◽  
Author(s):  
Zouheir Mighri ◽  
Hanen Ragoubi
Keyword(s):  
Economic Growth ◽  
Electricity Consumption ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Causality Tests ◽  
Short Run ◽  
Testing Approach ◽  
Causal Nexus

This article investigates the causal nexus between electricity consumption and economic growth in Tunisia for the period 1971–2013 by using autoregressive distributed lag (ARDL) bounds testing approach of cointegration and Granger causality tests. The empirical findings indicate the existence of a long-term relationship between electricity consumption and economic growth. Besides, they support the conservation hypothesis in the long run, while they confirm the growth hypothesis in the short run.

UK House Prices – Connectedness or Ripple Effect?

2021 ◽  
Author(s):  
Taufiq Choudhry ◽  
Syed S. Hassan ◽  
Sarosh Shabi
Keyword(s):  
Northern Ireland ◽  
Housing Market ◽  
Economic Activity ◽  
House Prices ◽  
Ripple Effect ◽  
Non Linear ◽  
Causality Tests ◽  
Effect Hypothesis

The performance of the housing market is currently considered a measure of economic activity. This research explores the connectedness vs. the ripple effect hypothesis in the current house pricing literature. Using linear causality and nonlinear causality tests we show significant bidirectional dependence between the London house prices and other UK regions’ house prices except for Northern Ireland and Wales in contrast to the existing literature where more evidence of ripple effect is reported. Furthermore, linear and non-linear forecasting tests back these results. This result has important implications for policymakers and investors.

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