scholarly journals The Role of Economic Contagion in the Inward Investment of Emerging Economies: The Dynamic Conditional Copula Approach

Mathematics ◽  
2021 ◽  
Vol 9 (20) ◽  
pp. 2540
Author(s):  
Paravee Maneejuk ◽  
Woraphon Yamaka
Keyword(s):  
Granger Causality ◽  
Emerging Economies ◽  
Granger Causality Test ◽  
The Philippines ◽  
Economic Research ◽  
Time Varying ◽  
Causality Test ◽  
Contagion Effects ◽  
Contagion Risk ◽  
The U.S

Contagion has been one of the most widely studied and challenging problems in recent economic research. This paper aims at capturing the main impact of contagion risk of the U.S. on foreign direct investment inflows in 18 emerging countries. To quantify the degree of contagion, the time-varying tail dependence copula is employed. Then, the Granger causality test and time series regression analysis are used to investigate the temporal and contemporaneous effects of contagion risk on investment inflows, respectively. Overall, the results confirm the time-varying contagion effects of the U.S. economy on 18 emerging economies. The size of contagion effects gradually increases for all countries, except Thailand, the Philippines, Argentina, and Chile. Furthermore, the results of the Granger causality test and regression reveal that temporal and contemporaneous effects of contagion risk on investment inflows exist in 8 out of 18 countries.

scholarly journals Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 1-33 ◽  
Author(s):  
Syed Kumail Abbas Rizvi ◽  
Bushra Naqvi
Keyword(s):  
Granger Causality ◽  
Strong Evidence ◽  
Garch Model ◽  
Granger Causality Test ◽  
Time Varying ◽  
Inflation Uncertainty ◽  
Causality Test ◽  
Quarterly Data ◽  
Second Stage ◽  
Asymmetric Behavior

This paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time varying process using the GARCH framework. In the second stage, we analyze the asymmetric behavior of inflation uncertainty using the GJR-GARCH and EGARCH models. For further analysis of asymmetry and leverage effects, we develop news impact curves as proposed by Pagan and Schwart (1990). Finally we investigate the causality and its direction between inflation and inflation uncertainty by using the bivariate Granger-Causality test to determine which inflation uncertainty hypothesis (Friedman-Ball or Cukierman-Meltzer) holds true for Pakistani data. We obtain two important results. First, the GJR-GARCH and EGARCH models are more successful in capturing inflation uncertainty and its asymmetric behavior than the simple GARCH model. This can also be seen from news impact curves showing a significant level of asymmetry. Second, there is strong evidence that the Friedman-Ball inflation uncertainty hypothesis holds true for Pakistan.

scholarly journals Link between Technically Derived Energy Efficiency and Ecological Footprint: Empirical Evidence from the ASEAN Region

Energies ◽  
2021 ◽  
Vol 14 (13) ◽  
pp. 3923
Author(s):  
Dilawar Khan ◽  
Muhammad Nouman ◽  
József Popp ◽  
Muhammad Asif Khan ◽  
Faheem Ur Rehman ◽  
...  
Keyword(s):  
Energy Efficiency ◽  
Granger Causality ◽  
Ecological Footprint ◽  
Granger Causality Test ◽  
The Philippines ◽  
Causality Test ◽  
Ardl Model ◽  
Sustainable Environment ◽  
Long Run ◽  
Panel Granger Causality

The sustainable environment has been a desired situation around the world for the last few decades. Environmental contaminations can be a consequence of various economic activities. Different socio-economic factors influence the environment positively or negatively. Many previous studies have resulted in the efficient allocation of inputs as an environment-friendly component. This paper investigates the effects of energy efficiency on ecological footprint in the ASEAN region using balanced panel data from 2001 to 2019. First, this paper technically derives the energy efficiency, using the stochastic frontier analysis (SFA) of the translog production type of single output and multiple inputs. Findings of the SFA show that the Philippines and Singapore have the highest energy efficiency (94%) and Laos has the lowest energy efficiency (85%) in the ASEAN region. The estimated average efficiency score of the ASEAN region was around 90%, ranging from 85% to 96%, indicating that there is still 10% room for improvement in energy efficiency. Second, this study employed the panel autoregressive distributed lag (ARDL) model to explore the short run and long run impact of technically derived energy efficiency on ecological footprint in the ASEAN region. Results of the panel ARDL model show that energy efficiency is a reducing factor of ecological footprint in the long run. Moreover, energy efficiency plays a significant role to control the environmental contaminations. In addition, results of this study also explored that urbanization is an increasing factor of ecological footprint, and investment in agriculture is also beneficial for the environment. Moreover, to obtain the directional nature of the associations between the ecological footprint and its independent variables, this paper has employed the paired-panel Granger causality test. The results of the paired wise panel Granger causality test also confirm that the energy efficiency, urbanization, and investment in agriculture cause ecological footprint. Finally, this study recommends that efficient utilization of energy resources as well as investment in agriculture are necessary for sustainable environment.

scholarly journals Bidirectional Relationship between Stock Market Decline and Liquidity: A Study of Emerged & Emerging Economies

2021 ◽  
Vol 7 (1) ◽  
pp. 37-50
Author(s):  
Maria Shams Khakwani ◽  
Rehana Kouser
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Emerging Economies ◽  
Granger Causality Test ◽  
Market Liquidity ◽  
Causality Test ◽  
Significance Level ◽  
Market Return ◽  
Ardl Bounds Test ◽  
Bounds Test

This study intends to examine the nature & direction of relationship between stock market movements, particularly market decline, and its liquidity in 14 selected emerged and emerging economies (G8+5 and Pakistan) for January 2001 through December 2017 by applying Autoregressive Distributed Lag (ARDL) Bounds test and Granger-causality test. Trading value and turn over ratio are employed to measure market liquidity. Results of trading value Granger-causality test highlight the evidence of no causality in Germany & India. Bi-directional causality exists in Pakistan only. Uni-directional causality subsists only in Russia at 10% significance level from trading value to market return. However, from market return to trading value, results demonstrate the presence of uni-directional causality at 5% significance level for Brazil, Japan. Canada, China, France, Italy, UK, USA, South Africa and Mexico. Negative returns are used to represent the notion of market decline. The results exhibited by both proxies of liquidity demonstrate that two-way association exists between stock market decline and liquidity in the long term. Thus co-integration in long-run is suggested by ARDL bounds test at 1% significance level for all the emerging and emerged countries in the sample.

scholarly journals Forecasting Performance of Lumber Futures Prices

2017 ◽  
Vol 2017 ◽  
pp. 1-8
Author(s):  
Shiv N. Mehrotra ◽  
Douglas R. Carter
Keyword(s):  
Granger Causality ◽  
Information Content ◽  
Risk Premium ◽  
Granger Causality Test ◽  
Time Varying ◽  
Futures Prices ◽  
Causality Test ◽  
Spot Prices ◽  
Information Assimilation ◽  
Forecasting Performance

We test the forecasting power and information content of lumber futures prices traded on the Chicago Mercantile Exchange, from 1995 to 2013, at four forecast horizons. A Mincer-Zarnowitz regression finds evidence of statistically significant forecasting power at all forecast horizons. The results also support the presence of a time-varying risk premium for the shorter forecast horizons. A Granger causality test provides evidence that lumber futures prices lag spot prices in information assimilation over longer forecast horizons, while neither lagging nor leading over shorter forecast horizons.

Cointegration and Causality between Disaggregated Exports and Economic Growth in ASEAN-4 Nations

2021 ◽  
Vol 12 (3) ◽  
pp. 633-645
Author(s):  
Shahrun Nizam Abdul-Aziz Et.al
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
The Philippines ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Manufactured Exports

This study aimed to examine the relationship between ASEAN-4’s disaggregates exports (i.e., manufactured and primary exports) and economic growth by utilising the time series data over the period from 1982 to 2017. The Johansen-Juselius multivariate procedure was performed to determine the existence of the long-run relationship between variables, while the Granger causality test within VECM was applied to analyse the long-run and short-run causal directions. Prior to that, the unit root test was conducted to examine the series properties of the variables. The empirical results from the Johansen and Juselius Multivariate Cointegration test revealed that there were long-run equilibrium relationships among variables, while the Granger causality test based on VECM found that the ELG hypothesis for manufactured exports was valid for Indonesia in the long-run and short-run, while in the Philippines this hypothesis was only valid for the short-run. On the other hand, in the case of Malaysia and Thailand, both ELG and GLE hypotheses were valid in both long-run and short-run. For each ASEAN-4 nation the results also revealed that physical capital indirectly caused economic growth via the manufactured exports. Nevertheless, in the case of Malaysia and Thailand, it seemed that the reserve effect was likely to happen whereby the economic growth caused the growth of manufactured exports through the increase of the national production. The growth of the manufactured exports due to the reverse effect in turn caused the demand for imports to increase, particularly the imports of intermediate products. As far as the primary exports were concerned, the ELG hypothesis was valid for Thailand in both long-run and short-run, while for Malaysia and Indonesia, this hypothesis was valid respectively in the long-run and short-run. For Thailand, Indonesia and Malaysia, it appeared that in the short run, human capital indirectly stimulated economic growth via primary exports.

scholarly journals Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

Econometrics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 17
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Costas Siriopoulos
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Infectious Diseases ◽  
Granger Causality ◽  
Predictive Value ◽  
High Frequency ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Causality Test ◽  
Non Linear

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

scholarly journals R&D Investment, Financial and Environmental Performance Nexuses via Bootstrap Fourier Quantiles Granger Causality Test

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 85
Author(s):  
Feng-Li Lin
Keyword(s):  
Financial Performance ◽  
Granger Causality ◽  
Environmental Performance ◽  
Co2 Emission ◽  
Positive Relationship ◽  
Granger Causality Test ◽  
Causality Test ◽  
Emission Reductions ◽  
Policy Makers ◽  
D Investment

This study investigated the relationship between R&D investments and financial and environmental performance. The direction, size, and significance of various phases of these variables were generated using the bootstrap Fourier quantiles Granger causality test. In our results, a positive relationship between R&D investment and CO2 emission reductions was found at two tails of quantiles. Additionally, we observed a significantly positive relationship between financial performance and CO2 emission reductions at the 0.5 quantile and above. The correlation between R&D investment and financial performance was identified to be positive under the 0.3, 0.4, 0.5 and 0.9 quantiles and negative under the 0.5 and 0.6 quantiles. The changing linkages among R&D investment, environmental performance and financial performance found in this study provide important information for policy makers, aiding in the development of R&D strategies to upgrade financial and environmental performance simultaneously.

The effect of spillover on the Granger causality test

2010 ◽  
Vol 37 (9) ◽  
pp. 1473-1486 ◽  
Author(s):  
Panagiotis Mantalos ◽  
Ghazi Shukur
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test
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