Search results for "granger causality"

Main driving factors of the interest rate-stock market Granger causality

2017

Abstract This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. First, the time-varying Granger causality test proposed by Lu et al. (2014) is applied. Then a two-regime multifactor smooth transition regression model with a single transition variable representing a wide range of macroeconomic and financial variables is estimated in order to identify the key explanatory factors governing the causal relationship. The results show a significant bidirectional causal relationship over most of the study period, mainly due to the…

Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?

2017

This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu, Hong, Wang, Lai, and Liu (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence pr…

Cities, hinterlands and agglomeration shadows: Spatial developments in Finland during 1880–2004

2010

Abstract This paper analyzes long-term spatial developments in Finland by focusing on two predictions of the new economic geography (NEG) models: the increasing persistence of locational patterns and the rising dominance of growth centers. The empirical analysis is based on regional population data from 1880 to 2004. The results support the hypotheses. Evolutions in rank and rank-size distributions during the processes of industrialization and urbanization suggest increasing persistence of regional structures. The analysis of causal processes between population centers and their hinterlands shows that these regions grew hand-in-hand in the pre-war period, whereas agglomeration shadows start…

Excessive Focus on Risk? Non-performing Loans and Efficiency of Microfinance Institutions

2021

Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility

2019

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. This paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special attention is paid to the potential asymmetries in the causal effects between oil and forex markets. The wavelet-based Granger causality method proposed by Olayeni (2016) is applied to quantify the causal relations in the time and frequency domains simultaneously. Moreover, the realized semivariance approach of Barndoff-Nielsen et a…

The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs

2020

Abstract This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020. The investigation is based on the existing evidence on positive correlations between stock prices and oil prices, but it also considers the shift from non-renewable to renewable sources of energy. A two-stage GARCH(1,1) model and a Granger causality test were applied. Our results show that volatility clustering is present in the renewable energy companies‘ stock prices, but, oil price volatility does not seem to induce any significant effec…

Spectral decomposition of cerebrovascular and cardiovascular interactions in patients prone to postural syncope and healthy controls.

2022

We present a framework for the linear parametric analysis of pairwise interactions in bivariate time series in the time and frequency domains, which allows the evaluation of total, causal and instantaneous interactions and connects time- and frequency-domain measures. The framework is applied to physiological time series to investigate the cerebrovascular regulation from the variability of mean cerebral blood flow velocity (CBFV) and mean arterial pressure (MAP), and the cardiovascular regulation from the variability of heart period (HP) and systolic arterial pressure (SAP). We analyze time series acquired at rest and during the early and late phase of head-up tilt in subjects developing or…

Stock Earnings and Bond Yields in the US 1871 - 2016: The Story of a Changing Relationship

2018

Using historical data that spans almost 150 years, we examine whether there is a long-run equilibrium relationship between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error correction model where we allow multiple structural breaks in the equilibrium relationship. The results of our analysis suggest the existence of equilibrium relationship over 1871-1929 and 1958-2017. On the two historical segments, our analysis finds that the stock's earnings yield followed the bond yield in both the short- and long-run, but not the other way around. Perhaps the most important and surprising finding of our empirical study is that, after the …

Demography and Economic Growth in Spain: A Time Series Analysis

2003

In this paper, advanced time series econometric tools are employed to test the existence of relationships among demographic and macroeconomic variables in Spain along the 1960-2000 period. Annual data for the total fertility rate, infant mortality rate, per capita gross domestic product and wages are used in the empirical analysis. We first examine the bivariate Granger causality to look for short run relations. Then, a multivariate cointegration analysis is carry out, showing that two long run relationships among the variables exist with statistically significant coefficients. From these cointegration vectors, the vector error correction model is estimated to test the endogenous or exogeno…

On the interpretability and computational reliability of frequency-domain Granger causality

2017

This Correspondence article is a comment which directly relates to the paper “A study of problems encountered in Granger causality analysis from a neuroscience perspective” (Stokes and Purdon, 2017). We agree that interpretation issues of Granger causality (GC) in neuroscience exist, partially due to the historically unfortunate use of the name “causality”, as described in previous literature. On the other hand, we think that Stokes and Purdon use a formulation of GC which is outdated (albeit still used) and do not fully account for the potential of the different frequency-domain versions of GC; in doing so, their paper dismisses GC measures based on a suboptimal use of them. Furthermore, s…