Search results for "granger causality"
showing 10 items of 81 documents
Synergistic Information Transfer in the Global System of Financial Markets.
2020
Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the future state of each target provided by the knowledge of the state of each driving stock market index. In order to go beyond the pairwise description of the information flow, thus looking at higher order informational circuits, here we apply the partial information decomposition to triplets consisting of a pair of driving markets (belonging to America or Europe) and a target market in Asia. Our …
BVP ir skolinimo elgsena : empiriniai Baltijos šalių ekonomikos požymiai
2021
Darnus ekonominis vystymasis remiasi stabilia ir palankia verslo aplinka, kuri skatina organizacijų konkurencingumą. Komerciniai bankai palengvina kapitalo judėjimą iš mažiau efektyvių ekonomikos sektorių į labiau konkurencingas ekonomikos šakas. Šio tyrimo tikslas – išanalizuoti Baltijos šalių BVP dinamiką 2005-2010 metais ir patikrinti BVP koreliavimą su vietinių komercinių bankų išduotų paskolų verslui skaičiumi. Tyrimo rezultatai parodė, kad yra požymių, jog egzistuoja abipusė priklausomybė tarp BVP veiksnių ir išduotų paskolų, tai savo ruožtu sudaro pagrindą formuoti pasiūlymus, kaip gaivinti Baltijos šalių ekonomiką. Šešiose pramonės šakose atliktas Granger BVP ir skolinimo priežastin…
Consumer confidence: Causality links with subjective and objective information sources
2020
Abstract This study analyses the relationship of causality between consumer confidence and the economic information ecosystem from subjective (i.e., business sentiment) and objective sources (financial information from listed companies and the stock index). Our sample covers Spain from June 2011 to December 2018. Our results show that consumer confidence and economic information can exert a causality influence on each other. The results show Granger causality from IBEX35 and total assets in the financial sector and leverage of the companies in the energy sector to the consumer confidence index (CCI), in the first lag: from operating income in the telecommunications sector to the CCI in the …
Bank-specific shocks and aggregate leverage: Empirical evidence from a panel of developed countries
2020
International audience; This paper investigates the link between shocks in the banking sector and aggregate leverage measured by the credit-to-GDP gap. Using a balanced panel of 15 countries for the period 1989–2016, we exploit the approach due to Gabaix (2011) and consider banking granular shocks as an indicator of banking distress. Using methods that account for potential endogeneity, we find that banking shocks Granger-cause aggregate leverage. In particular, banking shocks tend to increase the level of leverage and cause departures of the credit-to-GDP ratio from its long-term trend.
Do Fiscal Rules Constrain Fiscal Policy in Romania?
2020
At both macroeconomic and national level, in recent decades, European tax policies have shown a particular interest in addressing the spectrum of risk issues in terms of maturing the business environment and the lack of sustainable development of the economy. In Romania there has been a significant increase in public debt, which is increasingly threatening fiscal sustainability. This is due to fiscal rules that restrict the applicability of fiscal policy to balancing the national economy. However, fiscal policy did not act in the direction of economic recovery during the crisis that started in the last quarter of 2008, which had a negative impact on the Romanian business environment. Object…
Engagement as a Driver of Growth of Online Health Forums: Observational Study
2017
Background: The emerging research on nurturing the growth of online communities posits that it is in part attributed to network effects, wherein every increase in the volume of user-generated content increases the value of the community in the eyes of its potential new members. The recently introduced metric engagement capacity offers a means of quantitatively assessing the ability of online platform users to engage each other into generating content; meanwhile, the quantity engagement value is useful for quantifying communication-based platform use. If the claim that higher engagement leads to accelerated growth holds true for online health forums (OHFs), then engagement tracking should be…
Information decomposition of multichannel EMG to map functional interactions in the distributed motor system
2019
AbstractThe central nervous system needs to coordinate multiple muscles during postural control. Functional coordination is established through the neural circuitry that interconnects different muscles. Here we used multivariate information decomposition of multichannel EMG acquired from 14 healthy participants during postural tasks to investigate the neural interactions between muscles. A set of information measures were estimated from an instantaneous linear regression model and a time-lagged VAR model fitted to the EMG envelopes of 36 muscles. We used network analysis to quantify the structure of functional interactions between muscles and compared them across experimental conditions. Co…
Extended Granger causality: a new tool to identify the structure of physiological networks.
2015
Granger causality (GC) is a very popular tool for assessing the presence of directional interactions between two time series of a multivariate data set. In its original formulation, GC does not account for zero-lag correlations possibly existing between the observed time series. In the present study we compare the GC with a novel measure, termed extended GC (eGC), able to capture instantaneous causal relationships. We present a two-step procedure for the practical estimation of eGC based on first detecting the existence of zero-lag correlations, and then assigning them to one of the two possible causal directions using pairwise measures of non-Gaussianity. The proposed method was validated …
Cinema Data Mining
2015
While the physiological response of humans to emotional events or stimuli is well-investigated for many modalities (like EEG, skin resistance, ...), surprisingly little is known about the exhalation of so-called Volatile Organic Compounds (VOCs) at quite low concentrations in response to such stimuli. VOCs are molecules of relatively small mass that quickly evaporate or sublimate and can be detected in the air that surrounds us. The paper introduces a new field of application for data mining, where trace gas responses of people reacting on-line to films shown in cinemas (or movie theaters) are related to the semantic content of the films themselves. To do so, we measured the VOCs from a mov…
Assessing Frequency Domain Causality in Cardiovascular Time Series with Instantaneous Interactions
2009
Summary Background: The partial directed coherence (PDC) is commonly used to assess in the frequency domain the existence of causal relations between two time series measured in conjunction with a set of other time series. Although the multivariate autoregressive (MVAR) model traditionally used for PDC computation accounts only for lagged effects, instantaneous effects cannot be neglected in the analysis of cardiovascular time series. Objectives: We propose the utilization of an extended MVAR model for PDC computation, in order to improve the evaluation of frequency domain causality in the presence of zero-lag correlations among multivariate time series. Methods: A procedure for the identif…