scholarly journals Profits and Risks of ASEAN Commercial Banks: Granger Causality Test

2021 ◽  
Vol 23 (3) ◽  
Author(s):  
Duong Thi Anh Tien ◽  
Keyword(s):  
Moral Hazard ◽  
Causal Relationship ◽  
Commercial Banks ◽  
Granger Causality Test ◽  
Causality Test ◽  
Net Return ◽  
Using Data ◽  
Executive Managers ◽  
Set Up ◽  
Panel Vector Autoregression

The purpose of this chater is to the profit and risk causality of ASEAN commercial banks. Using data from 118 ASEAN commercial banks from 2002 to 2017, we measure returns by the ratio of net return to total assets (ROA) and net return to equity (ROE). Banking risk is measured by the Zscore index. We set up panel vector autoregression (PVAR) to estimate this relationship. Our result indicate that there is a causal relationship between ASEAN banks returns andd risks, supporting the “bad management”, “skimping”, and “moral hazard” hypothese of . The result of this study are the basis for providing governance implications for executive managers to improve the bank’s proofitability while ensuring safety.

scholarly journals Causal Analysis Between Liquidity and Profitability: Is There Any Difference Between Public and Private Commercial Banks in Bangladesh?

2020 ◽  
Vol 2/2020 (14) ◽  
pp. 38-46
Author(s):  
Qamarullah Bin Tariq Islam ◽  
Keyword(s):  
Causal Relationship ◽  
Commercial Banks ◽  
Granger Causality Test ◽  
Causal Analysis ◽  
Policy Formulation ◽  
Causality Test ◽  
Public And Private ◽  
Policy Makers ◽  
Augmented Dickey Fuller ◽  
Public Banks

This paper analyzes the causal relationship between liquidity and profitability for public and private commercial banks in Bangladesh. The augmented Dickey-Fuller test of stationarity is carried out first. As they are found to be integrated of the same order, the Engle-Granger test of cointegration is applied. Finally, the Granger causality test is applied to check if there is any causal relationship between liquidity and profitability for public and private commercial banks in Bangladesh from 2001 to 2019. Another aim of the paper is to see if there is any difference in the causal relationship between these two bank typologies. The results show that there is unidirectional causality from profitability to liquidity for public banks while no causal relationship is evident for private commercial banks in Bangladesh. The findings further confirm that different bank typologies behave differently in Bangladesh and hence policy makers should keep this in mind during policy formulation.

scholarly journals Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange

2020 ◽  
Vol 3 (2) ◽  
pp. 17-27
Author(s):  
Kamaljit Singh ◽  
Vinod Kumar
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Unit Root ◽  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Financial Service ◽  
Causality Test

The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

scholarly journals Financial Development and Economic Growth: Time Series Analysis of Economy of Pakistan

2018 ◽  
Vol 5 (2) ◽  
pp. 59
Author(s):  
Muhammad Shoukat Malik ◽  
Raisham Hayee ◽  
Raima Adeel
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Analysis ◽  
Causal Relationship ◽  
Financial Development ◽  
Granger Causality Test ◽  
Growth Time ◽  
Annual Data ◽  
Causality Test ◽  
Stationary Level

This study aims in understanding the causal relationship between financial development and economic growth. This research used annual data and applied dickey fuller test and granger causality test in order to understand stationary level and causation in variables. The results of this test give support to first hypothesis that financial development causes economic growth. While no evidence was found on the support of our second hypothesis i.e. economic growth is causing financial development.

scholarly journals ODA and Provincial Economic Growth in Vietnam

2019 ◽  
Vol 6 (1) ◽  
pp. 1
Author(s):  
Dang Ngoc Duc ◽  
Do Thi Ngoc Lan
Keyword(s):  
Economic Growth ◽  
Panel Data ◽  
Empirical Evidence ◽  
Case Studies ◽  
Causal Relationship ◽  
Granger Causality ◽  
Focal Point ◽  
Causal Effect ◽  
Granger Causality Test ◽  
Causality Test

The focal point of this paper is focused on assessing the causal relationship between ODA and economic growth in the localities of Vietnam. This research uses panel data of ODA and GDP from 63 provinces of Vietnam by using Granger Causality test. The results showed that ODA has a causal effect on economic growth (GDP) and vice versa, economic growth decides to attract ODA in provinces in Vietnam. This result complements studies on the causal relationship between ODA and economic growth using new empirical evidence through case studies in the provinces of Vietnam.

The relationship between energy consumption and gross domestic product in Hong Kong (1992–2015): Evidence from sectoral analysis and implications on future energy policy

2019 ◽  
Vol 31 (2) ◽  
pp. 215-236
Author(s):  
Ruixiaoxiao Zhang ◽  
Geoffrey QP Shen ◽  
Meng Ni ◽  
Johnny Wong
Keyword(s):  
Time Series ◽  
Energy Consumption ◽  
Gross Domestic Product ◽  
Causal Relationship ◽  
Granger Causality ◽  
Value Added ◽  
Granger Causality Test ◽  
Domestic Product ◽  
Causality Test ◽  
Per Capita

The causal relationship between energy consumption and gross domestic product in Hong Kong from 1992 to 2015 is investigated in this study. Different from the previous studies focusing on the causal relationship between total energy consumption and total gross domestic product per capita, this study further investigates the causal relationship from sectoral perspective, including residential, commercial, industrial and transportation sectors. For each sector, the time series data of sectoral energy consumption and sectoral per capita value added are collected. To conduct the Granger causality test, the unit root test is first applied to analyse the stationarity of time series. The cointegration test is then employed to examine whether causal relationship exists in long-term. Finally, based on the aforementioned tests, both vector error correction model and vector autoregression model can be selected to determine the Granger causality between time series. It is interesting to find that the sectoral energy consumption and corresponding sectoral per capita value-added exhibit quite different causal relationships. For both residential sector and commercial sectors, a unidirectional causal relationship is found running from the sectoral per capita value added to sectoral energy consumption. Oppositely, for industrial sector and transportation sector, a unidirectional causal relationship is found running from sectoral energy consumption to sectoral per capita value added. Regarding the Granger causality test results, the indicative suggestions on energy conservation policies, energy efficiency policies and greenhouse gas emission reduction policies are discussed based on the background of Hong Kong’s economic structure and fuel types.

The Influence of International Tourism Receipts on Economic Development: Evidence from China’s 31 Major Regions

2017 ◽  
Vol 57 (7) ◽  
pp. 871-882 ◽  
Author(s):  
Tsung-Pao Wu ◽  
Hung-Che Wu
Keyword(s):  
Causal Relationship ◽  
Granger Causality Test ◽  
Policy Implications ◽  
International Tourism ◽  
Causality Test ◽  
Panel Granger Causality ◽  
Study Support ◽  
Reverse Relationship ◽  
Growth Hypothesis ◽  
Support Evidence

This study applies a bootstrap panel Granger causality test to examine the causal relationship between international tourism receipts and economic growth in China’s 31 major regions for the period from 1995 to 2015, accounting for both dependency and heterogeneity across regions. The empirical results of this study support evidence for the growth hypothesis in the regions, such as Anhui, Henan, Jiangxi, Jilin, Fujian, Jiangsu, Shandong, Tianjin, Chognqing, Inner Mongolia, Qinghai, Tibet, and Yunnan. A reverse relationship supports evidence on the conservation hypothesis for the regions, such as Hubei and Hunan. A reciprocal causal relationship was found in Hebei and Shannxi, while the result of a neutrality hypothesis supported 14 of these 31 major regions (i.e., Heilongjiang, Shanxi, Beijing, Guangdong, Hainan, Liaoning, Shanghai, Zhejiang, Gansu, Guangxi, Guizhou, Ningxia, Sichuan, and Xinjiang). The empirical findings of this work provide important policy implications for China’s 31 major regions.

scholarly journals Leveraged Bootstrap Test of Volatility: A Novel Approach to the Energy Consumption and Economic Growth Puzzle

2017 ◽  
Vol 9 (9) ◽  
pp. 117 ◽  
Author(s):  
Kuo-Hao Lee ◽  
Jonathan Ohn ◽  
Evren Eryilmaz
Keyword(s):  
Economic Growth ◽  
Energy Consumption ◽  
Stock Returns ◽  
Causal Relationship ◽  
Stock Prices ◽  
Granger Causality Test ◽  
Energy Industry ◽  
Causality Test ◽  
Bootstrap Test ◽  
Novel Approach

The main purpose of this research is to examine the causal relationship between the Energy industry and nine other industries by use of volatility instead of returns. Existing literatures find a causal relationship by use of stock returns, however, we find that using volatility reveals a causal relationship that might not otherwise be revealed through returns alone. Since the existing literature shows that volatility of stock prices is informative, we apply a Granger causality test by use of a leveraged bootstrap test developed by Hacker and Hatemi (2006) to investigate the causal behavior of the volatility. Our results show that volatility of the Energy industry causes volatility in two other industries- Industrials and Health Care. Also, the Energy industry market is affected by the Materials, Consumer Staples and Utilities industries. This finding is substantially different from the findings of previous research, and provides a novel approach to analyzing and solving the energy consumption and economic growth puzzle.

Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test

2015 ◽  
Vol 50 (10) ◽  
pp. 1728-1741 ◽  
Author(s):  
Furkan Emirmahmutoglu ◽  
Mehmet Balcilar ◽  
Nicholas Apergis ◽  
Beatrice D. Simo-Kengne ◽  
Tsangyao Chang ◽  
...  
Keyword(s):  
United States ◽  
Causal Relationship ◽  
Granger Causality ◽  
Asset Prices ◽  
State Level ◽  
Granger Causality Test ◽  
The United States ◽  
The State ◽  
Causality Test ◽  
Panel Granger Causality

scholarly journals When The Last Tree Dies, The Last Man Dies: Do Forests Hold The Key To Survival In Ghana? A Critical Analysis Using The Bootstrapped Rolling Window Granger Causality Test Approach

2022 ◽  
Author(s):  
Michael Kaku Minlah ◽  
Xibao Zhang ◽  
Philipine Nelly Ganyoh ◽  
Ayesha Bibi
Keyword(s):  
Life Expectancy ◽  
Causal Relationship ◽  
Granger Causality ◽  
Human Life ◽  
Granger Causality Test ◽  
Causality Test ◽  
Vector Borne Diseases ◽  
Long Run ◽  
Rolling Window

Abstract This paper investigates the role of forests in the life expectancy of people in Ghana. We test whether the extinction of forests will inevitably lead to extinction of people in Ghana. We first examined the causal relationship between life expectancy and deforestation using the full sample bootstrap Granger causality test approach and find causality to run from deforestation to life expectancy with no feedback from life expectancy to deforestation. Testing for parameter stability, we found the short run and long run parameters of the estimated Vector Auto Regressive models to be unstable. A time-varying approach, the rolling window bootstrapped Granger causality test was then employed to investigate the causal relationship between life expectancy and deforestation. The results showed that deforestation has a negative effect on life expectancy, confirming the widely accepted saying that the health of forests is inextricably linked to the health of mankind. The empirical results further show that, on trend higher life expectancy increases the rate of deforestation in Ghana. Highlighting the importance of the role of forests in influencing life expectancy in Ghana, we recommend awareness creation on the role of forests in supporting human life and also extensive afforestation programs to reduce the rate of deforestation in Ghana. This, we believe, will reduce the spread of vector borne diseases such as malaria and reduce the surge in respiratory diseases which shorten the life span of Ghanaians.JEL codesQ23, Q50, Q53, Q58, Q58

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