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AZEVEDO, RONALDO. "GRANGER CAUSALITY IN TIME SERIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 1991. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8782@1.
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REDE FERROVIÁRIA FEDERAL SA<br>Neste trabalho fazemos uma revisita à causalidade no
sentido de Granger aplicada às Séries Temporais
bivariadas
no domÃnio do tempo e da freqüência.
Um programa computacional foi escrito usando a linguagem
Pascal para, testando casos reais e simulados, construir
modelos de causalidade/feedback, que são então
analisados
no ambiente espectral, com ênfase maior à discussão da
coerência e da fase de causalidade.<br>In this work causality in the sense defined by Granger is
revisited. Applications to bivariante temporal systems in
time domain and frequency-domain were analysed, using a
computer program written in Pascal. After this, spectral
methods were developed, with special emphasis on phase and
causality-coerence.
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Zou, Cunlu. "Applications of Granger causality to biological data." Thesis, University of Warwick, 2010. http://wrap.warwick.ac.uk/35694/.
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In computational biology, one often faces the problem of deriving the causal relationship among different elements such as genes, proteins, metabolites, neurons and so on, based upon multi-dimensional temporal data. In literature, there are several well-established reverse-engineering approaches to explore causal relationships in a dynamic network, such as ordinary differential equations (ODE), Bayesian networks, information theory and Granger Causality. To apply the four different approaches to the same problem, a key issue is to choose which approach is used to tackle the data, in particular when they give rise to contradictory results. In this thesis, I provided an answer by focusing on a systematic and computationally intensive comparison between the two common approaches which are dynamic Bayesian network inference and Granger causality. The comparison was carried out on both synthesized and experimental data. It is concluded that the dynamic Bayesian network inference performs better than the Granger causality approach, when the data size is short; otherwise the Granger causality approach is better. Since the Granger causality approach is able to detect weak interactions when the time series are long enough, I then focused on applying Granger causality approach on real experimental data both in the time and frequency domain and in local and global networks. For a small gene network, Granger causality outperformed all the other three approaches mentioned above. A global protein network of 812 proteins was reconstructed, using a novel approach. The obtained results fitted well with known experimental findings and predicted many experimentally testable results. In addition to interactions in the time domain, interactions in the frequency domain were also recovered. In addition to gene and protein data, Granger causality approach was also applied on Local Field Potential (LFP) data. Here we have combined multiarray electrophysiological recordings of local field potentials in both right inferior temporal (rIT) and left IT (lIT) and right anterior cingulate (rAC) cortices in sheep with Granger causality to investigate how anaesthesia alters processing during resting state and exposure to pictures of faces. Results from both the time and frequency domain analyses show that loss of consciousness during anaesthesia is associated with a reduction/disruption of feed forward open-loop cortico-cortical connections and a corresponding increase in shorter-distance closed loop ones.
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Stokes, Patrick A. "Fundamental problems in Granger causality analysis of neuroscience data." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/97828.
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Thesis: Ph. D., Harvard-MIT Program in Health Sciences and Technology, 2015.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 111-115).<br>Granger causality methods analyze the flow of information between time series. The Geweke measure of Granger causality (GG-causality) has been widely applied in neuroscience because its frequency-domain and conditional forms appear well-suited to highly-multivariate oscillatory data. In this work, I analyze the statistical and structural properties of GG-causality in the context of neuroscience data analysis. 1. I analyze simulated examples and derive analytical expressions to demonstrate how computational problems arise in current methods of estimating conditional GG-causality. I show that the use of separate full and reduced models in the computation leads to either large biases or large uncertainties in the causality estimates, and high sensitivity to uncertainties in model parameter estimates, producing spurious peaks, valleys, and even negative values in the frequency domain. 2. I formulate a method of correctly computing GG-causality that resolves the above computational problems. 3. I analyze how generative system properties and frequency structure map into GG-causality to demonstrate deeper conceptual pitfalls: (a) I use simulated examples and derive analytical expressions to show that GG-causality is independent of the receiver dynamics, particularly the magnitude of response, which is counter-intuitive to physical notions of causality. (b) Overall, GG-causality combines transmitter and channel dynamics in a way that cannot be disentangled without evaluating the component dynamics of the full model estimate. 4. I discuss relevant concepts from causality analyses in other fields to better place causality analysis in a modeling and system identification framework. The computational uncertainties in GG-causality estimates make the interpretation of frequency-domain structure highly problematic. Even if these computational issues are overcome, correct interpretation of the GG-causality values is still challenging and could be easily misinterpreted without careful consideration of the component dynamics of the full model estimate. Through this work, I provide conceptual clarification of GG-causality and place it in the broader framework of modeling and system analysis, which may enable investigators to better assess the utility and interpretation of such methods.<br>by Patrick A. Stokes.<br>Ph. D.
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Nasseef, Md Taufiq. "Measuring directed functional connectivity in mouse fMRI networks using Granger Causality." Doctoral thesis, Università degli studi di Trento, 2015. https://hdl.handle.net/11572/368149.
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Resting-state functional magnetic resonance imaging (rsfMRI) of the mouse brain has revealed the presence of robust functional connectivity networks, including an antero-posterior system reminiscent of the human default network (DMN) and correlations between anterior insular and cingulate cortices recapitulating features of the human “salience network†. However, rsfMRI networks are typically identified using symmetric measurements of correlation that do not provide a description of directional information flow within individual network nodes. Recent progress has allowed the measure of directed maps of functional connectivity in the human brain, providing a novel interpretative dimension that could advance our understanding of the brains’ functional organization. Here, we used Granger Causality (GC), a measure of directed causation, to investigate the direction of information flow within mouse rsfMRI networks characterized by unidirectional (i.e. frontal-hippocampal) as well as reciprocal (e.g. DMN) underlying connectional architecture. We observed robust hippocampal-prefrontal dominant connectivity along the direction of projecting ventro-subicular neurons both at single subject and population level. Analysis of key DMN nodes revealed the presence of directed functional connectivity from temporal associative cortical regions to prefrontal and retrosplenial cortex, reminiscent of directional connectivity patterns described for the human DMN. We also found robust directional connectivity from insular to prefrontal areas. In a separate study, we reproduced the same directional connectivity fingerprints and showed that mice recapitulating a mutation associated to autism spectrum disorder exhibited reduced or altered directional connectivity.
Collectively, our results document converging directional connectivity towards retrosplenial and prefrontal cortical areas consistent with higher integrative functions subserved by these regions, and provide a first description of directional topology in resting-state connectivity networks that complements ongoing research in the macroscale organization of the mouse brain.
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Nasseef, Md Taufiq. "Measuring directed functional connectivity in mouse fMRI networks using Granger Causality." Doctoral thesis, University of Trento, 2015. http://eprints-phd.biblio.unitn.it/1582/1/Taufiq_thesis_CiMeC_UniTN.pdf.
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Resting-state functional magnetic resonance imaging (rsfMRI) of the mouse brain has revealed the presence of robust functional connectivity networks, including an antero-posterior system reminiscent of the human default network (DMN) and correlations between anterior insular and cingulate cortices recapitulating features of the human “salience network”. However, rsfMRI networks are typically identified using symmetric measurements of correlation that do not provide a description of directional information flow within individual network nodes. Recent progress has allowed the measure of directed maps of functional connectivity in the human brain, providing a novel interpretative dimension that could advance our understanding of the brains’ functional organization. Here, we used Granger Causality (GC), a measure of directed causation, to investigate the direction of information flow within mouse rsfMRI networks characterized by unidirectional (i.e. frontal-hippocampal) as well as reciprocal (e.g. DMN) underlying connectional architecture. We observed robust hippocampal-prefrontal dominant connectivity along the direction of projecting ventro-subicular neurons both at single subject and population level. Analysis of key DMN nodes revealed the presence of directed functional connectivity from temporal associative cortical regions to prefrontal and retrosplenial cortex, reminiscent of directional connectivity patterns described for the human DMN. We also found robust directional connectivity from insular to prefrontal areas. In a separate study, we reproduced the same directional connectivity fingerprints and showed that mice recapitulating a mutation associated to autism spectrum disorder exhibited reduced or altered directional connectivity.
Collectively, our results document converging directional connectivity towards retrosplenial and prefrontal cortical areas consistent with higher integrative functions subserved by these regions, and provide a first description of directional topology in resting-state connectivity networks that complements ongoing research in the macroscale organization of the mouse brain.
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Salata, Andrea <1989>. "Differenze topologiche nei Granger Causality Networks: Esempi dal mercato dei CDS." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/5899.
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La tesi affronta sotto molteplici punti di vista il tema dei network costruiti sulla base di relazioni di causalità di Granger, applicate ai credit default swaps scambiati nel mercato tra banche e assicurazioni e stati. Affronta quindi i temi di cos'è la causalità di Granger e come sia possibile dedurne il network partendo dai dati dei CDS, per farne infine anche un confronto con il network ottenuto utilizzando i dati del fair value CDS per poter individuare le differenze topologiche tra i due metodi di indagine del network.
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Mbeleke, Paul Wuakoh. "The monetary sector in Cameroon money demand and causality analysis." Thesis, University of Salford, 1997. http://usir.salford.ac.uk/26806/.
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This thesis investigates the monetary sector in Cameroon within an open economy framework. Two main hypotheses: money demand and Granger-causality are investigated. The data used are found to be non-stationary. Consequently, the money demand relationship is tested for the null hypothesis that it is spurious or not co-integrated. This is rejected in all the models put forward. The models are estimated and found to exhibit elasticities that are not unusual. Price homogeneity is found to be data incompatible. Income elasticities are generally found to be significantly less than unity suggesting economies of scale in money holdings. Corresponding dynamic models in the form of error correction are constructed using the familiar general to specific methodology and generally found to exhibit desirable statistical properties. Model preference is in terms of the narrow Ml definition of money with explanatory variables which include a foreign interest rate. For Granger-causality, the non-stationary data are transformed into stationarity where the null hypothesis of noncausality is tested in bivariate and multivariate contexts. Lag length selection is by the Final Prediction Error statistic. Results are mixed but two appear striking: domestic money and prices are found to be independent while domestic prices are Granger-caused by foreign variables but not by domestic ones.
8
Guo, Yuanxiang. "Chinese wheat price analysis - with application of cointegration and Granger causality test." Thesis, Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/52978.
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Traditional demonstration of price fluctuation in the wheat market, by the theory of supply and demand is not comprehensive enough. With limited understanding of macroeconomic effects on the wheat market, accurate prediction of wheat price is impossible. Given the Chinese self—sustainable food policy, grain imports is a sensitive topic which may incur fierce argument. In this paper, however, I emphasize effect of exchange rate on nominal wheat price. By application of the cointegration theory, CPI shows slight negative correlation with nominal wheat price, yet GDP and population move in the same direction as the wheat price. The cointegration study of exchange rate implies, with appreciating Chinese RMB, domestic buyers incline to purchase wheat from the cheaper foreign market. According to the Granger causality test, the whole package of variables suggests significant causal relation with the wheat price.
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SUN, FEI. "Analysis to China's Urban and Rural CPI Data." Thesis, Uppsala universitet, Statistiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-175796.
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Murakami, Patricia Nagami. "Causalidade Granger em medidas de risco." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-14072011-221932/.
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Esse trabalho apresenta um estudo da causalidade de Granger em Risco bivariado aplicado a séries temporais financeiras. Os eventos de risco, no caso de séries financeiras, estão relacionados com a avaliação do Valor em Risco das posições em ativos. Para isso, os modelos CaViaR, que fazem parte do grupo de modelos de Regressão Quantílica, foram utilizado para identificação desses eventos. Foram expostos os conceitos principais envolvidos da modelagem, assim como as definições necessárias para entendê-las. Através da análise da causalide de Granger em risco entre duas séries, podemos investigar se uma delas é capaz de prever a ocorrência de um valor extremo da outra. Foi realizada a análise de causalidade de Granger usual somente para como comparativo.<br>Quantile Regression, Value at Risk, CAViaR Model, Granger Causality, Granger Causality in Risk
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Buffelli, Trifone Emanuele. "Ritmi cerebrali e causalità di Granger durante l'apprendimento associativo." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2022.
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Numerosi sono ad oggi gli studi che permettono di mettere in evidenza le basi neurali e i meccanismi funzionali delle emozioni. La difesa contro le minacce e la generazione della paura sono comportamenti e stati d’animo gestiti da regioni che comunicano tra di loro continuamente, generando memorie a lungo e breve termine, utilizzate per anticipare stimoli ed eventi avversivi nel futuro. L’amigdala e la corteccia prefrontale sembrano ricoprire un ruolo cardine di questa coordinazione di segnali, soprattutto nella modulazione della capacità di adattamento alle condizioni per cui la paura possa manifestarsi in un soggetto. Viene confermato come i ritmi cerebrali contengano le informazioni principali che permettono il trasferimento di informazioni essenziali per l’apprendimento di un avvenimento avversivo e come estinguerlo nel momento in cui non lo sia più. L’EEG è lo strumento principale utilizzato per la rilevazione dei segnali cerebrali utili per il tracciamento della comunicazione tra le diverse aree cerebrali durante compiti di apprendimento associativo come il condizionamento Pavloviano alla paura. Questa comunicazione tra le diverse ‘regions of interest’ (ROI) viene predetta nel momento in cui diverse serie temporali di connettività si influenzano a vicenda permettendo una predizione futura della connettività cerebrale tramite il test statistico di causalità di Granger. Vengono così studiate le connettività nel dominio del tempo e della frequenza e viene confermato come le diverse aree cerebrali sono in continua comunicazione durante l’espressione di un particolare stato d’animo come la paura.
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Nepimach, Filip. "Forecasting výdajů na zbrojení (Ekonomie obranného průmyslu)." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-201907.
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This dissertation firstly examines literature connected to this topic in chapter 2. Secondly, chapter 3 summarizes necessary methodology and data used throughout the dissertation. Thirdly, it compares the results of military expenditure made by Cobb-Douglas-Solow production function forecast and an Auto regressive model, in chapter 4. Fourthly, in the chapter 5, with a better performing model, it forecasters the military expenditure from 2015 to 2024 for France, Germany, UK and Italy, because they represent more than 65% of European military expenditure and should give us an idea about the course of the European expenditure as a whole. Also, it compares forecasted expenditure of European NATO countries and USA with Canada for the same period. Finally, in chapter 6, we examine whether there is Granger causality between MS and GDP. Simply, if MS Granger causes GDP and vice versa. It was found that AR is a better performing forecasting technique than CDS and that Granger causality results are ambiguous. GDP Granger causes MS only for France and Italy and there is no evidence of opposite causality.
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Markova, Gabriela. "Granger Causality Between Exports and Growth in OECD Countries : A Panel Data Approach." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-31113.
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Tam, Hak-fui, and 譚克奎. "A Granger causality approach to gene regulatory network reconstructionbased on data from multiple experiments." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B49764251.
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The discovery of gene regulatory network (GRN) using gene expression data is one of the promising directions for deciphering biological mechanisms, which underlie many basic aspects of scientific and medical advances. In this thesis, we focus on the reconstruction of GRN from time-series data using a Granger causality (GC) approach. As there is little existing research on combining data from multiple time-series experiments, we identify the need for developing a methodology with underlying theory to combine multiple experiments for statistical significant discovery.
We derive a statistical theory for intersection of two discovered networks. Such a statistical framework is novel and intended for our GRN discovery problem. However, this theory is not limited to GRN or GC, and may be applied to other problems as long as one can take the intersection of discoveries obtained from multiple experiments (or datasets).
We propose a number of novel methods for combining data from multiple experiments. Our single underlying model (SUM) method regresses data of multiple experiments in one go, enabling GC to fully utilize the information in the original data. Based on our statistical theory and SUM, we develop new meta-analysis methods, including union of pairwise common edges (UPCE) and leave-one-out hybrid of SUM and UPCE (LOOHSU). Applications on synthetic data and real data show that our new methods give discoveries of substantially higher precision than traditional meta-analysis.
We also propose methods for estimating the precision of GC-discovered networks and thus fill in an important gap not considered in the literature. This allows us to assess how good a discovered network is in the case of unknown ground truth, which is typical in most biological applications. Our precision estimation by half-half splitting with combinations (HHSC) gives an estimate much closer to the true value compared with that computed from the Benjamini-Hochberg false discovery rate controlling procedure. Furthermore, using a network covering notion, we design a method that can identify a small number of links with high precision of around 0.8-0.9, which may relieve the burden of testing many hypothetical interactions of low precision in biological experiments.
For the situation where the number of genes is much larger than the data length, in which case full-model GC cannot be applied, GC is often applied to the genes pairwisely. We analyze how spurious causalities (false discoveries) may arise. Consequently, we demonstrate that model validation can effectively remove spurious discoveries. With our proposed implementation that model orders are fixed by the Akaike information criterion and every model is subject to validation, we report a new observation that network hubs tend to act as sources rather than receivers of interactions.<br>published_or_final_version<br>Electrical and Electronic Engineering<br>Doctoral<br>Doctor of Philosophy
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Karl, Velander, and Callerud Karin. "The development of the financialsystem and economic growth in Sweden : A Granger causality analysis." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-78703.
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Chicharro, Raventós Daniel. "Characterization of information and causality measures for the study of neuronal data." Doctoral thesis, Universitat Pompeu Fabra, 2011. http://hdl.handle.net/10803/22658.
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We study two methods of data analysis which are common tools for the analysis of neuronal data. In particular, we examine how causal interactions between brain regions can be investigated using time series reflecting the neural activity in these regions. Furthermore, we analyze a method used to study the neural code that evaluates the discrimination of the responses of single neurons elicited by different stimuli. This discrimination analysis is based on the quantification of the similarity of the spike trains with time scale parametric spike train distances. In each case we describe the methods used for the analysis of the neuronal data and we characterize their specificity using simulated or exemplary experimental data. Taking into account our results, we comment the previous studies in which the methods have been applied. In particular, we focus on the interpretation of the statistical measures in terms of underlying neuronal causal connectivity and properties of the neural code, respectively.<br>Estudiem dos mètodes d'anàlisi de dades que són eines habituals per a l'anàlisi de dades neuronals. Concretament, examinem la manera en què les interaccions causals entre regions del cervell poden ser investigades a partir de sèries temporals que reflecteixen l'activitat neuronal d'aquestes regions. A més a més, analitzem un mètode emprat per estudiar el codi neuronal que avalua la discriminació de les respostes de neurones individuals provocades per diferents estímuls. Aquesta anàlisi de la discriminació es basa en la quantificació de la similitud de les seqüències de potencials d'acció amb distàncies amb un paràmetre d'escala temporal. Tenint en compte els nostres resultats, comentem els estudis previs en els quals aquests mètodes han estat aplicats. Concretament, ens centrem en la interpretació de les mesures estadístiques en termes de connectivitat causal neuronal subjacent i propietats del codi neuronal, respectivament.
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Burda, Maike M. "Testing for causality with Wald tests under nonregular conditions." Doctoral thesis, [S.l.] : [s.n.], 2001. http://deposit.ddb.de/cgi-bin/dokserv?idn=968852432.
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Zhou, Cong. "Machine Learning Based Protein Identitification and Partial Granger Causality : Novel Bioinformatics Approaches for Proteomics Research." Thesis, University of Sussex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.505888.
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Fredriksson, Tilda. "FDI, human capital and economic performance in Mexico : An ARDL cointegration and Granger causality approach." Thesis, Jönköping University, Internationella Handelshögskolan, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-48512.
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The nexus among foreign direct investment (FDI) inflows and the Mexican economic growth has been the subject of a number of recent papers. Yet, previous studies frequently overlook its relationship to human capital and consequently ignore potential interlinkages between the variables. By running an ARDL model and thereafter applying the Granger causality technique derived by Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996) this paper investigates the relationship among FDI and economic performance in Mexico during 1970-2018 after incorporating human capital into the framework. When including human capital, measured as gross enrolment ratio in tertiary education, FDI inflows and real GDP per capita have an insignificant long-run relationship. However, this paper finds a Granger-causal relationship running from FDI inflows to human capital. Human capital, on the other hand, precedes real GDP per capita and the main implication is thus that FDI may not spur economic performance directly, but indirectly through its significant effect on the enrolment ratio in tertiary education. Therefore, to ignore the influence of human capital may result in deceptive conclusions regarding the Mexican FDI-growth nexus.
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Oppong, Adwoa Dufie. "Financial Development and Economic Growth : An empirical investigation of this nuexus in Ghana." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-18872.
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This paper examines the relationaship between financial development and economic growth in ghana. This is done using time series econometric procedures by employing four proxy of financial development and applying granger causality test, cointegrating test, vector error correction model. The empirical results show that the direction of causalty is sensitive to the choice of proxy. It was discovered that finance follows in the direction of economic growth but doesnt necessarily lead to it. The empirical cointegration results weakly supprt long run relationship between financial development and economic growth.
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Amador, Tomás Alves. "Causalidade entre o crescimento económico, a emissão de CO2 e o consumo de energias renováveis em Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/12003.
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Mestrado em Métodos Quantitativos para a Decisão Económica e Empresarial<br>As questões ambientais constituem hoje em dia uma forte preocupação por parte da sociedade. Os problemas a este nível a que assistimos na última década vieram acentuar a necessidade de se alterar o comportamento, nomeadamente industrial, por forma a manter uma necessidade de crescimento a nível económico e em simultâneo assumir uma postura de responsabilidade ambiental preservando o meio ambiente, evitando problemas futuros como é o caso da diminuição da camada de ozono por via do efeito de estufa exagerado na atmosfera.
A metodologia utilizada na elaboração deste trabalho permite-nos perceber as relações causa-efeito entre o crescimento económico, a emissão de CO2 e o consumo de energias renováveis em Portugal, através dos testes de causalidade à Granger.
As principais conclusões foram, por um lado, a evidência de causalidade unilateral do consumo de energias renováveis relativamente ao PIB (crescimento económico), em que um aumento do primeiro origina um crescimento da economia portuguesa, por outro lado, a evidência de causalidade bidirecional entre as emissões de CO2 e o crescimento económico, ambas de forma positiva. A não verificação de que o consumo de energias renováveis causa a redução da emissão de CO2 pode ser explicada por um nível insuficiente de consumo destas formas de energia.<br>Nowadays, environmental topics are a strong society's concern. The issues observed at this level throughout the last decade emphasized the need for changing behaviours, namely in industrial terms, in order to maintain the economic growth and, simultaneously, to assume an attitude of environmental responsibility, avoiding future problems such as the thinning of the ozone layer due to the greenhouse effect.
The methodology used in this project allows us to understand the cause-effect relationships between economic growth, CO2 emissions and renewable energy consumption in Portugal, through Granger's causality tests.
The main conclusions were, on one hand, the evidence of unilateral causality of renewable energy consumption in relation to GDP (economic growth), in which an increase of the first leads to a growth of the Portuguese economy, and, on the other hand, the evidence of bilateral causality between CO2 emissions and economic growth - both in a positive way. The non-verification that the renewable energy consumption causes the reduction of the CO2 emissions can be explained by an insufficient level of consumption of this energy type.
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Mellquist, Hannes, and Markus Femermo. "The Relationship Between the Price of Oil and Unemployment in Sweden." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-929.
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<p>The dependence on oil has increased in many nations as a result of increasing industrialization and oil has been the factor of many crises as well as many wars. This paper examines how the price of oil affects the unemployment in Sweden. The case of Sweden is interesting since its politics are very different compared to other industrialized countries when it comes to unemployment and benefits. Our main objective is to see whether a change in the oil price will cause a change in unemployment at a later stage. We perform linear regression analysis relating current changes in the variables and Granger causality tests to conclude if there exists a direct relationship.</p><p>The result we received from our linear regression test on current changes and our Granger causality test showed a relationship between the price of oil and unemployment in Sweden. In the linear regression relating current changes in these variables, a positive relationship was indicated. Due to the fact that some of the coefficient estimates are positive and some are negative in the Granger causality regressions, we can not conclude whether an increase in the price of oil will cause a positive or negative effect on unemployment.</p>
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Schierhold, Marita. "How does outsourcing affect developing countries? : The case of Ghana and Vietnam in comparison with China and India." Thesis, Högskolan i Gävle, Avdelningen för Industriell utveckling, IT och Samhällsbyggnad, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-14670.
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Purpose – The aim of this study is to explore how outsourcing affects developing countries. The effects are examined for Ghana and Vietnam, which have recently become attractive outsourcing locations. They are compared with China and India, both well known for their outsourcing sectors and their attractiveness as outsourcing locations. Design/methodology/approach – In this research paper an exploratory method is applied. During the examination economic data provided by supranational organizations is used to measure the effects of outsourcing. Data is collected to match the requirements of the applied triangular model for measuring. Background for the data collection is the triangular model by Granger. Key figures for observation are Gross Domestic Product (GDP), Foreign Direct Investment (FDI), exports, and their correlations. Validity and reliability is ensured through cross examination of the model. Findings – The effects of outsourcing vary a lot. All key figures rose in general during the observed 30 years, from 1981 till 2010. The correlations show that there are eventual relations of the figures, although direct relations each by each year are not found. The most remarkable finding is that FDI might indeed push the exports. Export rates are rising in the years after the investment is done. The relation of FDI and GDP show that there can be interrelations as well, but if the GDP is increased in higher rates than the FDI is done. An overall result of the examination is that Vietnam seems to rely heavily on outsourcing as they export almost ¾ of the fabrications whereas it is assumed that Ghana tries more on development and improvement of the whole economy. Originality/value – This research paper looks at the often discussed phenomenon outsourcing by focussing on its economic effects by focussing on the effects for the developing countries Vietnam and Ghana. It provides the reader with new aspects to be considered in the surrounding of outsourcing. Further investigations are necessary to explore if the found can be generalised.
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Moreira, Rita Ferreira Rodrigues de Sousa. "A relação entre poupança, investimento e crescimento económico na Europa." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7821.
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Mestrado em Finanças<br>O estudo das relações entre a poupança, o investimento e o crescimento económico é intemporal e controverso tendo assumido especial interesse, mais recentemente, com a crise económica e financeira iniciada em 2007. Para além das teorias económicas, são vários os trabalhos teóricos e empíricos que procuram analisar e explicar as relações de causalidade entre a poupança, o investimento e o crescimento das economias, mas são poucos os que estudam estas relações na Europa.
Este trabalho procura assim, analisar as relações de causalidade estabelecidas entre a taxa de crescimento da poupança, a taxa de crescimento do investimento e a taxa de crescimento do PIB real para uma amostra de vinte e seis países europeus, entre 2002 e 2011.
Os resultados obtidos através do teste de causalidade de Granger permitem-nos concluir que tanto a taxa de crescimento da poupança como a taxa de crescimento do investimento contribuem para o crescimento económico. A relação inversa também se verifica, embora estatisticamente menos significativa. Relativamente à relação de causalidade entre a taxa de crescimento da poupança e a taxa de crescimento do investimento observa-se que um aumento do investimento conduz à diminuição da poupança. Contudo, para o sector público e sector privado, a relação de causalidade da poupança sobre o investimento evidencia uma maior significância estatística.<br>The study of relationships between savings, investment and economic growth is timeless and controversial; having taken special interest most recently with the economic and financial crises started in 2007. Beyond the economic theories there are many theoretical and empirical studies that seek to analyze and explain the causal relationship between savings, investment and growth of economies; but there are few that study these relations in Europe.
Thus, this paper aims to analyze the causal relationships between the growth rates of savings, investment and real GDP for a sample of 26 European countries over the period 2002-2011.
The results obtained by Granger's causality test allow us to conclude that both the growth rates of savings and investment contributes to economic growth. The inverse relationship is also observed, although statistically less significant. With regard to causal relationships between the growth rates of savings and investment it is observed that an increase in investment leads to a decrease in savings. However, for the public and private sector the causality of savings on investment shows a greater statistical significance
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Neto, Abner Cardoso Rodrigues. "Caracterização e modelagem da atividade eletrofisiológica em pacientes com epilepsia." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/95/95131/tde-17052016-001503/.
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Redes complexas aplicadas em sinais de atividade cerebral mostraram a presença de anormais padrões de conectividade em pacientes que sofriam com doenças e outros distúrbios psiquiátricos. Logo, passou-se a cogitar a influência dessas estruturas na causa desses problemas e o que leva ao desenvolvimento desses padrões anormais. Do ponto de vista teórico, vários trabalhos mostram como a topologia de uma rede pode alterar um processo que se sustenta nela, por exemplo o modo como a rede influencia a propagação de falhas de um sistema, a sincronização ou processos de dispersão. Nesse sentido, o objetivo do trabalho é caracterizar as redes funcionais de pacientes durante episódios de crises de epilepsia, fazendo um paralelo entre a estrutura dessas redes e os processos dinâmicos envolvidos na crise, em especial a sincronização. Para isto, dados reais foram analisados e as redes inferidas em um primeiro passo. Depois, simulações de sistemas artificiais usando os parâmetros obtidos das análises, mostram o impacto dessas redes nos processos dinâmicos. Os resultados apontam para estruturas que podem aumentar a sincronização e a influência do modo de acoplamento nesses sistemas.<br>Complex networks applied to brain activity signals show the presence abnormal of connectivity patterns in patients suffering with diseases and others psychiatric disorders. From this, some authors began to question the influence of these structures in the cause of these problems and how it leads to the development of these abnormal patterns. From a theoretical point of view, several studies show how the topology of a network can change a process that maintains it, for example how a network influences the propagation of a system failure, synchronization or diffusion processes. In this sense, the objective of this study is to characterize the functional networks of patients during episodes of seizures, making a parallel between the structure of these networks and the dynamic processes involved in the epilepsy, in particular the synchronization. For this, real data were analyzed and the inferred networks in a first step. And then, artificial simulations using the parameters obtained from the analysis were employed to show the impact of these networks in dynamic processes. The results indicate structures that can enhance the synchronization and the influence of the coupling mode on these systems.
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Shu, Jingying, and Jiawei Song. "Analysis for Real Estate Investment of China : Based on the Warning System of Monitoring Macro Economy Prosperity." Thesis, KTH, Bygg- och fastighetsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-89798.
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Real estate industry plays a significant role in high speed of economic development in China. However, with increasingly high housing price and scare land resources, real estate development is caught in a vicious circle. A large number of families could not afford their housing while housing prices have no trend to decrease which leads to huger gap between the rich and the poor and causes indirectly instability of society. Therefore, creating a healthy and stable real estate investment market is extremely urgent. The purpose of the thesis is to research the relationship between leading index of macro economy prosperity and real estate investment based on the reality. We found that leading indicator Granger causes real estate investment while real estate investment Granger causes leading indicator at the same time. Based on that, this paper also forecasts the real estate investment with VAR models in the following 7 years which was proved to a circle of real estate market. In the light of our research, some target suggestions are pointed out at last.
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Jingying, Shu, and Song Jiawei. "Analysis for Real Estate Investment of China : Based on the Warning System of Monitoring Macro Economy Prosperity." Thesis, KTH, Fastigheter och byggande, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-48749.
Full textAbstract:
Real estate industry plays a significant role in high speed of economic development in China. However, with increasingly high housing price and scare land resources, real estate development is caught in a vicious circle. A large number of families could not afford their housing while housing prices have no trend to decrease which leads to huger gap between the rich and the poor and causes indirectly instability of society. Therefore, creating a healthy and stable real estate investment market is extremly urgent. The purpose of the thesis is to research the relationship between leading index of macro economy prosperity and real estate investment based on the reality. We found that leading indicator Granger causes real estate investment while real estate investment Granger causes leading indicator at the same time. Based on that, this paper also forecasts the real estate investment with VAR models in the following 7 years which was proved to a circle of real estate market. In the light of our research, some target suggestions are pointed out at last.
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Diergaardt, Colin. "Analysing the Relationship between Banking Development and Economic Growth: Time Series Evidence from Namibia." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33712.
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The main objective of this study is to examine the relationship between banking development and economic growth in Namibia. Namibia has eight licenced commercial banks, four of which have been operational prior to the country's independence; Bank Windhoek Limited, First National Bank Namibia Limited, Nedbank Namibia Limited and Standard Bank Namibia Limited (BON, 2018). The other four licenced commercial banks began operating post independence. The banking development indicators employed by this study were broad money to nominal GDP (M2), private sector credit to nominal GDP (PSC), and lending interest rates (INTR). The data used in this study is annual data, covering the period 1991 to 2018, engaging the VAR/VECM framework in order to determine the presence of a long-run and short-run association. In addition, this study engaged the Granger causality methodology in order to determine the casual association between banking development and economic growth. The error correction term equation suggested a long-run relationship between the variables in the VECM, while the results indicated that there are no short run associations amongst the variables. Further, the results of the Granger causality test indicated a bidirectional causality between LNRGDP and LNPSC. In addition, the causality test showed that lags of LNINTR Granger causes LNPSC, which is consistent with the neoclassical theory of interest rate, which pronounces that interest rates are determined by the demand and the supply of loanable funds. Moreover, lags of LNINTR and lags of LNM2 granger causes LNRGDP, which suggest that banking development causes economic growth. The study recommended that the Namibian banks should reform credit policies and decrease the cost of debt in an attempt to avail more credit to the private sector in order to sustain and stimulate economic growth.
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Silva, Ágatha Lechner da. "Relationship between government debt and economic growth in Brazil." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20407.
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Mestrado em Economia Monetária e Financeira<br>A dissertação "Relação entre a dívida pública e o crescimento econômico no Brasil" fornece novos intuições sobre a relação entre a dívida pública e a taxa de crescimento do PIB no Brasil. Aplicamos os testes de causalidade de Granger, em análises multivariadas e bivariadas usando, respectivamente, as metodologias VEC e ARDL. Utilizamos dados mensais do período de janeiro de 1998 a novembro de 2019. Também foi considerada a interação entre outras variáveis como taxa de juros, taxa de inflação, taxa de câmbio, Índice de Emerging Market Bond Index Plus (Embi +) e superávit primário.
As conclusões mais relevantes são: Rácio da Dívida e taxa de crescimento do PIB têm uma relação de causalidade de Granger bidirecional. A dívida pode melhorar o crescimento no curto prazo e se tornar prejudicial no longo prazo. Além disso, a taxa de crescimento do PIB sempre reduz a dívida, tanto no curto quanto no longo prazo. A dinâmica entre dívida e crescimento no longo prazo é influenciada pela interação com a taxa de inflação, a taxa de câmbio e Embi +.<br>The dissertation "Relationship Between Government Debt and Economic Growth in Brazil" provides new insights on the relationship between the public debt and the GDP growth rate in Brazil. We applied Granger causality tests, in multivariate and bivariate analyses using respectively VEC and ARDL methodologies. We used monthly data over the period of January 1998 until November 2019. The interaction between other variables such as interest rate, inflation rate, exchange rate, Emerging Market Bond Index Plus (Embi+) and primary surplus was considered as well.
The most relevant findings are summarized as follows: Debt-to-GDP and GDP growth rate have a bi-directional Granger causality relationship. Debt can improve growth in the short run and become harmful in the long run. Also, GDP growth rate always reduces debt, both in the short and long run. The dynamic between public debt and economic growth in the long run is influenced by the interaction with the inflation rate, the exchange rate and the Embi+.<br>info:eu-repo/semantics/publishedVersion
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Simenta, Tiago Miguel Velhuco Alves Albuquerque. "Análise da influência dos indicadores económicos nacionais e internacionais no PSI 20." Master's thesis, Universidade de Évora, 2012. http://hdl.handle.net/10174/14077.
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O presente trabalho de investigação tem como objectivo relacionar séries macroeconómicas, com uma série financeira. As séries macroeconómicas são compostas por dois indicadores que caracterizam a actividade económica e um indicador que reflecte os preços dos bens e serviços, de Portugal, Alemanha e Estados Unidos. A série financeira é representada pelo Portuguese Stock Índex 20 (taxa de rendibilidade do PSI 20) que é composto pelas vintes maiores empresas portuguesas no mercado de capitais.
Foram consideradas 218 observações, compreendidas entre os meses de Dezembro de 1992 e Fevereiro de 2011.
Os métodos econométricos utilizados no presente estudo foram o vector auto regressivo e a causalidade de Granger e modelos de regressão linear.
Face aos resultados obtidos, pode-se concluir que algumas das séries macroeconómicas da Alemanha e dos Estados Unidos influenciam o PSI 20, o que valida a existência de contágio entre os referidos mercados, e que o PSI 20 apenas tem capacidade de influenciar um indicador macroeconómico de Portugal; ABSTRACT: This research work aims to relate macroeconomic series with a financial series. The macroeconomic series consists of two indicators that characterize economic activity and an indicator that reflects the prices of goods and services, of Portugal, Germany and the United States.
The financial series consists of the Portuguese Stock Index 20 (rate of return of PSI 20) that includes the 20 biggest Portuguese companies in the capital market. 218 observations were considered, between the months of December 1992 and February 2011. The econometric methods used in this study were the vector autoregressive, Granger causality and regression models.
Considering our results, we can conclude that some of the macroeconomic series in Germany and the United States influence the PSI 20. The PSI 20 only has the ability to influence a macroeconomic indicator of Portugal.
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Garba, Moussa. "Analyse des approches prudentielles de la gestion des risques bancaires : quelques constats économétriques sur les banques africaines." Thesis, Université Côte d'Azur (ComUE), 2016. http://www.theses.fr/2016AZUR0032/document.
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Cette thèse contribue à la littérature sur les normes prudentielles de la gestion des risques bancaires,la causalité entre le développement financier et la croissance économique et enfin les hypothèses del'aléa moral et de la réglementation du capital des banques. La crise des Subprimes de 2007 aparadoxalement permis de souligner une fois de plus les lacunes des normes prudentielles Bâle I etBâle II, du fait de ses différentes conséquences sur les systèmes bancaires mondiaux. En adoptantune démarche économétrique et en exploitant des données de panel sur un échantillon des banquesd’Afrique subsaharienne et du Maghreb, nous avons utilisé plus particulièrement la technique decausalité au sens de Granger et celle d'estimation GMM afin de mener des études empiriques surcelles-ci, notamment la causalité entre le développement financier et l’économie réelle d’une part, larelation entre le capital et la profitabilité (risque) des banques d’autre part. Les résultats soulignent ladépendance entre certaines variables de la profitabilité des banques et la croissance économiqued’une part, et d’autre part les comportements des banques africaines, en termes de la détention ducapital et à la prise excessive des risques, cadrent parfaitement aux hypothèses de l’aléa moral et dela réglementation du capital du comité de Bâle<br>This thesis contributes to the literature on prudential risk management in the banking sector,causality between financial development and economic growth and finally, the study of moral hazardand the regulation of the capital of banks. The Subprime Mortgage Crisis of 2007 paradoxicallyDépôt de thèseDonnées complémentairesmade it possible to once more highlight the inadequacies in the Basel I and Basel II prudentialstandards, because of its various consequences on the global financial system. We adopted andapplied the Granger causality test and the GMM estimation method to panel data on a sample ofbanks in sub-Saharan Africa and the Middle East, in order to conduct empirical studies, in particularon the causality between financial development and the real economy on one hand, the relationbetween capital and the profitability (risk) of banks on the other. The results highlight thedependence between certain variables describing bank profitability and economic growth on onehand, and those describing the characteristics of African banks on the other, in terms of capitalretention and excessive risk taking. This coincides perfectly with the study of moral hazard andcapital regulation set by the Basel Committee
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Muuse, Anneloes. "Transport infrastructure, intraregional trade, and economic growth : A study of South America." Thesis, Jönköping University, JIBS, Economics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12608.
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<p>In October 2000 the Initiative for the Integration of Regional Infrastructure in South America (IIRSA) was launched. The purpose of the IIRSA is to improve integration of the South American countries and intraregional trade between them. One of the ultimate goals is to promote sustainable growth. The purpose of this paper is to find out if a better quantity and quality of transport infrastructure increases intraregional trade in South America. It is found that the quantity of transport infrastructure increases intraregional trade. On the other hand, there is no evidence for the quality of transport infrastructure increasing intraregional trade in South America. Furthermore, this paper investigates whether economic growth can be obtained through more trade. In other words, this paper examines if trade causes growth. The results do not confirm the trade-growth causality for all countries. The difference between the existence of a trade-growth causal relationship or not could be explained by the core commodities that the different South American countries export.</p>
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Nordmark, Jakob. "Stock returns and production growth in Sweden - is there a relationship?" Thesis, Växjö University, School of Management and Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-2494.
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<p>The purpose of this paper is to investigate if real stock returns are related to real GDP growth for the case of Sweden between 1980 and 2008. By using correlation tests, the paper presents evidence that there is almost no correlation between current real stock returns and current real GDP growth. On the other hand, Granger causality tests show that stock returns are related to future production growth for the period 1980-2008. Stock returns therefore indicate real economic activity in the next quarter. Between 1980 and 1992, there is no evidence of Granger causality from stock returns to GDP growth. However, stock returns Granger-cause production growth between 1993 and 2008, which suggests that the market has become better at predicting future economic activity. The paper also documents that GDP growth does not indicate future stock returns.</p>
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Strikholm, Birgit. "Essays on nonlinear time series modelling och hypothesis testing." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-535.
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There seems to be a common understanding nowadays that the economy is nonlinear. Economic theory suggests features that can not be incorporated into linear frameworks, and over the decades a solid body of empirical evidence of nonlinearities in economic time series has been gathered. This thesis consists of four essays that have to do with various forms of nonlinear statistical inference. In the first chapter the problem of determining the number regimes in a threshold autoregressive (TAR) model is considered. Typically, the number of regimes (or thresholds) is assumed unknown and has to be determined from the data. The solution provided in the chapter first uses the smooth transition autoregressive (STAR) model with a fixed and rapid transition to approximate the TAR model. The number of thresholds is then determined using sequential misspecification tests developed for the STAR model. The main characteristic of the proposed method is that only standard statistical inference is used, as opposed to non-standard inference or computation intensive bootstrap-based methods. In the second chapter a similar idea is employed and the structural break model is approximated with a smoothly time-varying autoregressive model. By making the smooth changes in parameters rapid, the model is able to closely approximate the corresponding model with breaks in the parameter structure. This approximation makes the misspecification tests developed for the STR modelling framework available and they can be used for sequentially determining the number of breaks. Again, the method is computationally simple as all tests rely on standard statistical inference. There exists literature suggesting that business cycle fluctuations affect the pattern of seasonality in macroeconomic series. A question asked in the third chapter is whether other factors such as changes in institutions or technological change may have this effect as well. The time-varying smooth transition autoregressive (TV- STAR) models that can incorporate both types of change are used to model the (possible) changes in seasonal patterns and shed light on the hypothesis that institutional and technological changes (proxied by time) may have a stronger effect on seasonal patterns than business cycle. The TV-STAR testing framework is applied to nine quarterly industrial production series from the G7 countries, Finland and Sweden. These series display strong seasonal patterns and also contain the business cycle fluctuations. The empirical results of the chapter suggest that seasonal patterns in these series have been changing over time and, furthermore, that the business cycle fluctuations do not seem to be the main cause for this change. The last chapter of the thesis considers the possibility of testing for Granger causality in bivariate nonlinear systems when the exact form of the nonlinear relationship between variables is not known. The idea is to linearize the testing problem by approximating the nonlinear system by its Taylor expansion. The expansion is linear in parameters and one gets round the difficulty caused by the unknown functional form of the relationship under investigation.<br><p>Diss. Stockholm : Handelshögskolan, 2004</p>
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Palmquist, Samuel, and Vincent Sandberg. "The art of surfing the waves of mergers and acquisitions : An empirical study on the macroeconomic determinants of mergers and acquisitions in Sweden." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-25832.
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This thesis examines the linkages between macroeconomic variables and the number of domestic Mergers & Acquisitions (M&A) in Sweden during 1998-2011 (in terms of changes). This study treats stationary times series data, from which multiple regression models are assembled. These models include gross domestic product, OMX Stockholm price index, lending rate, money supply, debt rate, consumer confidence, the unemployment rate and capacity utilization as explanatory variables. Aggregate number of M&As is set to the dependent variable. The outcome was that gross domestic product, money supply, unemployment rate and stock prices can help explain fluctuations in M&A activity during different time frames. However, the majority of the explanation for fluctuations in M&A activity lies within factors beyond ourestimation model. Through a Granger-causality test, we establish if the significant variables can help to predict M&A activity and vice versa. During different time periods gross domestic product and unemployment helps in predicting M&A activity. M&A activity also improves the prediction of gross domestic product in some time periods.
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Rahimi, Azadeh. "Essays on the Causal Relationship Between Short-Term and Long-Term Interest Rates." Thèse, Université d'Ottawa / University of Ottawa, 2014. http://hdl.handle.net/10393/31157.
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This thesis is about the causal relationship between interest rates. In chapter 1, with the help of time-series econometrics and by applying linear Granger causality tests based on the Toda-Yamamoto approach, the linear causality directions between the federal funds rate and five different interest rates during the last seven business cycles in the U.S. are investigated. We also examine the linear Granger causality directions between the overnight rate and five other interest rates during the last three business cycles in Canada.
In chapter 2, the Diks and Panchenko Granger causality test is applied to explore the nonlinear causality effects between the short-term and long-term interest rates. By combining nonlinear causality effects with the linear ones which are found in the first chapter, it is seen that during the related periods in the U.S. and Canada, the most common Granger causality direction between short-term and long-term interest rates is a bidirectional one. Moreover, our findings show that during recent periods, the federal funds rate and overnight rate Granger cause other interest rates significantly.
In chapter 3, the rolling window strategy is employed to detect the linear and nonlinear Granger causality relationship between the federal funds rate and the 10-year government bond rate, during different time horizons, investigating whether these causalities change with the passing of time. Our findings show that during different time horizons, there is a significant two-way Granger causality relationship between these interest rates.
Although we have a different interpretation of the existence of bidirectional causation between short-term and long-term interest rates, this conclusion provides some support to some post-Keynesian structuralists viewpoints like Pollin (2008). However, Pollin's claim indicating that with the passing of time the significant causality effects of the federal funds rate to the market rates becomes insignificant is not supported by the current thesis findings because our results demonstrate that these causality effects have not been diminishing over the most recent business cycles.
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Fink, Gerhard, Peter Haiss, and Sirma Hristoforova. "Credit, Bonds, Stocks and Growth in Seven Large Economies." Europainstitut, WU Vienna University of Economics and Business, 2006. http://epub.wu.ac.at/1390/1/document.pdf.
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We use annual real GDP and the volume of the bond, stock and credit markets to assess the causal relationship between the aggregate bond market development and economic growth in the USA, Japan, Germany, Great Britain, Italy, France and the Netherlands over the 1950 to 2001 period. The literature on the real - financial nexus to date has focused on the credit and stock markets, with few exceptions. Partially due to data availability problems, the impact of bond markets on economic growth has not yet been examined in the same way. To fill this gap we provide empirical evidence for long-run equilibrium and Granger causality in at least one direction in the relationship among real GDP and bond, credit and stock markets in seven economies with large bond markets. The supplyleading hypothesis that development of the financial markets enhances growth is supported in all countries except for Germany. The demand-leading hypothesis that economic development pulls the development of the financial markets is supported only for Germany. A feedback between domestic credits and output is found in Japan. There is evidence for a feedback between the equity markets and real output in Japan and the Netherlands. (author's abstract)<br>Series: EI Working Papers / Europainstitut
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Zhang, Shiyu. "Relationship Between Real Estate Market and Stock Market in China." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1376.
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This paper studies the price fluctuation from 2010 to 2016 of two major assets in China: real estate and stock. Equity price is found to Granger cause stock price while the reverse relationship is significant but less strong. The paper then studies whether the nature of the correlation depends on the type of city under consideration. This is achieved by grouping 25 cities into four city tiers based on their level of economic developments and conducting a linear causality test on each city tier. Housing price in first tier cities is found to be much more significantly correlated with stock price. Larger and more developed cities tend to have a stronger correlation with stock than smaller and less developed ones. In addition, the paper also studies the impact of the Chinese government’s recent home purchase restriction on the relationship between the two asset classes. However, the results are contradictory and are not consistent with expectation. The lack of significant results could be contributed to the inherent limitation of our data, as well as the complicated and sometimes confusing policy announcement mechanisms in China.
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Dakhil, Amel. "The contribution of the construction industry to economic development in Libya." Thesis, Liverpool John Moores University, 2013. http://researchonline.ljmu.ac.uk/4454/.
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It is widely recognised that the construction industry has a positive role to accelerate the wheel of economic growth in any country. This research is concerned with the Libyan construction industry (LCI). Libya is a developing country which suffered from a big loss in its infrastructures and its unemployment rate increased to 30% in the middle of 2013. Regarding the importance of the construction industry through the role it has in providing infrastructure and creating employment and the poor economic condition of Libya, the rationale of this research follows the example of other nations such as Turkey, Singapore, Malaysia , and Middle East countries where the construction industry was evolved with a target to further boost up the process of economic development. The case of Libya in this regard is valid for the financial stability in the country given its oil reserves and the capacity of the country to absorb migrated skilled labour. This situation is expected to follow the fall of Gaddafi’s regime. The approach of selecting construction as providing input to economic growth follows the strong evidence of the significant role that the construction industry plays in economic growth of the country. The construction industry contributes to economic growth from the demand side and in the traditional Keynesian economy, sustainable short-run economic growth is dependent on the increased demand. For example, in the UK, construction’s 2.5% growth in the third quarter of 2013 helped the overall economy grow by 0.8% over the same period. In comparison with the other industries that contribute to the economic growth of developing countries, the construction industry is more labour-intensive while the developing countries are mostly labour-abundant. The main aim of this research is to investigate the contribution of the construction industry to economic development in order to establish a comprehensive list of recommendations and a guideline for achieving an efficient construction industry to accelerate the process of economic growth. For this aim, the first objective is to examine the causal relationship between the construction industry and gross domestic product (GDP) as a measure of the economic growth and between the construction industry and other economic sectors. To achieve the aim of this research, Granger causality tests have been conducted. The financial data about the expenditure on the construction industry in Libya and its share in the GDP of the country and the share of the other economic sectors in the GDP during 1986-2009 was provided by an authority from the Libyan construction industry. First, The Augmented Dickey Fuller (ADF) and the Philip Perron (PP) unit root tests were conducted to confirm that the tested time series are stationary. After that, to determine the existence of the long-run causal relationship between the CI and GDP, Engle-Granger co-integration test was used and, finally, vector error correction (VER) model was employed to detect the direction of the causal relationship between the two variables. The study found that in Libya, like in other countries, the relationship between the construction industry and GDP is bi-directional: GDP produces a short-term impact on the investment in the construction industry while investment in the construction industry produces a long-term impact on GDP. However, except for trade, no economic sector was found to have a causal relationship with the construction industry. According to these findings, another objective was established in this research: to identify safety and total quality management (TQM) which can play an important role in growing the efficiency of the Libyan construction industry. To achieve this objective, telephone conversations were conducted with the officials of the largest construction company in the city of Benghazi. The findings indicated that the TQM does not exist in the construction company and, although the safety department does exist, it works via strict procedures. Thus, opportunity to increase the performance of the CI in order to increase its contribution to economic growth does exist through implementation of the safety and TQM implementation in Licccbyan construction companies. The previous studies used the causal relationship just to prove specific hypotheses. The novelty of this research is to obtain benefits from the existence of the causal relationship from the CI to GDP in the long term through suggesting major issues as safety and TQM implementation to raise the performance of the CI in the current period in order to increase its contribution to the economic growth in the future.
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Chiang, Te-Hsuan, and 姜德宣. "Granger causality between TAIFEX and SPOT price." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/46671646776175639814.
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碩士<br>國立臺灣大學<br>商學研究所<br>87<br>The purpose of this thesis is to examine the Granger causality between TAIFEX which is on the road in 1998/7/21and SPOT price。The data is form TAIWAN INTERNATIONAL MERCANTILE EXCHANGE CORP. and the period is 1998/10/13~1999/4/13。We can divide the data to three ways：total、bear and bull。The results are tabulated as follows：
The relationship of SPOT & TAIFEXPeriod of lead-lag
TotalShort TermSPOT leads TAIFEX5~10 mins
Long TermFeedback －
BearShort TermSPOT leads TAIFEX5~10 mins
Long TermIndependence－
BullShort TermTAIFEX leads SPOT15~30 mins
Long TermFeedback－
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Kau, Cha-lin, and 高嘉璘. "The Granger Causality Test between FDI and CO2." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/85295695561219170786.
Full textAbstract:
碩士<br>南華大學<br>管理經濟學系經濟學碩士班<br>97<br>In recent years, greenhouse gases caused global climate change issues have gradually become the focus of international attention. Global carbon dioxide emissions over is the main factors that cause the greenhouse effect. In particular, the Kyoto Protocol entered into force in 2005. Led all countries in the world directly or indirectly influenced by the reduction of greenhouse gas pressure. At this time, if able to master to have great influence on the greenhouse effect of carbon dioxide emissions, they will be in the relevant units to assist the development of appropriate countermeasures to prevent the continued accumulation of greenhouse gases on the
environment. Foreign direct investment will help the country''s economic development. Foreign direct investment and carbon dioxide emissions is affecting each other or not, and their causality relationship? It is the most important issues in this paper.
Globalization is the main trend on economic development and corporate investment in the world. This paper using the panel data of the carbon dioxide emissions and the amount of foreign direct investment in 1992-2005 years cross 200 countries to carry out empirical analysis. The countries were classified into two groups developed and developing to carry out Panel Data Granger causality test. Variable of Carbon dioxide emission measured by the calendar year emissions on the country selected from 1992-2005 year. Variables of foreign direct investment classified into inflow of foreign direct investment and outflow of foreign direct investment measured by the calendar year amount on the country selected from 1992-2005 year.
The results from the empirical analysis, in the developed countries found that have the existence of mutual influence two-way causal relationship between carbon dioxide emissions and the amount of foreign direct investment (inflow and outflow).The inflow and outflow foreign direct investment will help the country''s economic development. In the other hand, it will also impact on the environment. But in the developing countries found that Carbon dioxide emissions will affect the inflow of foreign direct investment, to the outflow of foreign direct investment are not. This also shows that the pollution haven hypothesis in developing countries has been verified.
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Yen-HsiangCheng and 鄭彥翔. "Evaluating Effective Connectivity in fMRI using Dynamic Granger Causality." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/03901517791275432714.
Full textAbstract:
碩士<br>國立成功大學<br>醫學資訊研究所<br>102<br>The invention of functional magnetic resonance imaging (fMRI) and blood oxygen level dependent contrast (BOLD) enable us to study how the brain works by non-invasive methods. Granger causality analysis (GCA) is a popular method to analyze effective connectivity that has been widely used in neurosciences in the last decade. We can use GCA to explore the interactions between the brain structures to find how the brain performs tasks and identify the hidden functional architecture.
However, the application of GCA assumes that the analyzed time series must be covariance stationary (CS), it’s unlike the nature of nervous system that is dyanamic and time-varying. We proposed a windowing-based Granger causality analysis to deal with upsampled non-CS time series called dynamic Granger causality analysis (DGCA), and verify the dynamic causal relationships in a simple auditory-motor task experiment. The results show that the dynamic Granger causality analysis perform much more effective connectivity information than non-dynamic Granger causality analysis. Our study demonstrate a new workflow to evaluate effective connectivity with upsampled data and windowing-based Granger causality analysis. Accroding to the results of group analysis by clustering method, we find out the patterns of the brain states while performing auditory-motor task.
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Singh, Vimal. "The Granger causality between confidence and consumption in South Africa." Thesis, 2018. https://hdl.handle.net/10539/26058.
Full textAbstract:
A research report submitted to the Faculty of Science, in partial fulfilment of the requirements for the degree of Master of Science, University of the Witwatersrand. Johannesburg, April 2018.<br>South Africa’s news headlines are dominated by controversial stories of corruption, crime and politics. This research report investigates if people always accept these events as a "normal” part of the country’s history, or if these factors influence or are influenced by expenditure decisions of businesses and consumers. The variables included in the investigation are household consumption, business capital formation, consumer confidence and business confidence. The investigation establishes that these variables are non-stationary and cointegrated, with the cointegrating relationship assessed using Johansen’s procedure. The short-run and long run dynamics between the variables are determined using vector error correction models. Granger causality tests were used to explore the causal relationship between the variables.
The Granger Causal relationship between confidence and consumption is assessed using quarterly data from June 1982 to March 2017. It showed that changes in household consumption Granger cause changes in consumer consumption, and no such relationship exists between business confidence and capital formation. The Granger Causal relationship between confidence indicators was also explored, which found that a bi-directional Granger causality relationship existed between business confidence and consumer confidence.
The results of variance decomposition (VDC) and impulse response functions (IRFs) were applied thereafter to further examine the causal relationship between the variables. The former determines the amount each variable contributes to each other while latter assess the impact on the dependent variable given a shock to the system. The results supported the outcome of the Granger causality tests. The variance decomposition found in most cases that a shock to the dependent variable can explain more of the forecast error in the dependent variable than a shock to the other predictor variable. This was observed in the short and long run. The impulse response functions found that confidence measures, both for consumers and businesses, may respond in the initial periods to impulses but the increments of the increase reduce after 1 to 2 periods.<br>LG2018
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TSAI, WAN-YUN, and 蔡婉勻. "Relationship Between Life expectancy and Economic Growth – Granger causality Analysis." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/v322d7.
Full textAbstract:
碩士<br>國立臺北商業大學<br>國際商務系碩士班<br>106<br>This research tries to use Granger causality Analysis, investigate 10 ASEAN member countries and 35 OECD member countries, the period from 1995 to 2015. Chose ten factors among many factors affecting life expectancy and economic growth. Then conducted multiple regression analysis to evaluate relationship between each factor、life expectancy and economic growth. The ten factors includes：infant mortality, health expenditure, total investment, improve sanitation facilities , per capita income, gross national savings, fertility, electric power consumption, age dependency ratio, individuals using the Internet. The result of the research shows that economic growth affects the life expectancy, but the increase or decrease in life expectancy will not affect the economic growth, and the relationship between the two is an inverse relationship. Due to more mature economic growth, the economic growth rate is not volatile, but it has a long lifespan. There is a negative relationship around life expectancy and each of the following independent variables：infant mortality, facilities, per capita income, improve sanitation facilities , total investment. There is a positive relationship around life expectancy and each of the following independent variables：gross national savings, health expenditure, electric power consumption, age dependency ratio, individuals using the Internet. There is a negative relationship around economic growth and each of the following independent variables：infant mortality, health expenditure, gross national savings, fertility, electric power consumption, age dependency ratio. And there is a positive relationship around economic growth and each of the following independent variables： total investment, improve sanitation facilities , per capita income, individuals using the Internet.
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I-JungChen and 陳怡蓉. "Investigating Effective Connectivity in Auditory-Motor fMRI Using Granger Causality Analysis." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/41113421344667062413.
Full textAbstract:
碩士<br>國立成功大學<br>資訊工程學系<br>102<br>Recently, medical imaging studies often search for brain and nerve activity, such as functional magnetic resonance imaging (fMRI). FMRI is not only capable of observing changes in cerebral blood oxygenation but also of higher spatial resolution.
In this study, we would like to explore effect connectivity among brain regions in auditory-motor experiment using conditional Granger causality analysis, which is one statistical test method to analysis temporal causal correlation between fMRI time series. In addition, we discovered that several factors may affect the results of causal analysis, such as the utilization of filter and the selection of repetition time (TR). Thus, the appropriate factors are selected in conditional Granger causality analysis by the conclusion of simulations. The results show the outflows from auditory cortex are highly detectable in auditory-motor experiment. In addition, it is shown that time series acquired with short TR without filtering present higher reproducibility in effective connectivity among brain cognitive regions.
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Lin, Yang-Chiuan, and 林楊筌. "Granger Causality of Hon Hai Share prices, Revenues and Economic Factors." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/17511030990786883443.
Full textAbstract:
碩士<br>中國文化大學<br>經濟學系<br>103<br>In this paper, we discuss the Hon Hai shares, monthly revenue and economic factors. We use the Johansen cointegration test, vector error correction model and vector error correction Granger causality to examine the linkages across variables. Empirical period from January 2007 to December 2014.
The empirical results, we found monthly revenue and stock price only one-way causality and effect of other economic factors on the Hon Hai stock price with monthly revenue are also too. Which part of the stock price ahead of broader market because it is important for the Taiwan Index. Monetary policy is positive affect the stock price. However, only the exchange rate has a direct and lead impact about the revenue. Most of the results are the same as predicted in advance. The only difference between the stock price and monthly revenue in advance. They should be two-way causality.
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Chang, Mei-Hui, and 張美慧. "Fund Manager Sentiment and Performance Prediction-Bootstrap Panel Granger Causality Test." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/59219128957237272307.
Full textAbstract:
碩士<br>嶺東科技大學<br>企業管理系碩士班<br>103<br>Previous researches upon whether fund performance can be predicted mainly depends on analyzing fund managers’ external selectivity ability, timing ability and asset allocation policy, yet never were their inherent psychological aspects taken into evaluation. This study extracted 35 competitive Equity of Mutual Funds in Taiwan from year 2001 to 2013. Taking into the phenomenon of cross-sectional dependence and heterogeneity of variables, we applied Bootstrap Panel Granger Causality Test proposed by Kónya (2006) with every 5 years as a period to distinguish the four causalities of fund managers’ sentiment and fund performance - Optimism, Conservation, Feedback, and Neutrality for establishing four kinds of portfolios. To observe what the portfolio has a better future return. The empirical results show, regardless future rewards of 1 year or 3 year periods, the Feedback of causality which involves mutual effect between fund managers’ sentiment and fund performance is the best reward. On the contrary, the Conservation of causality where fund performance affects fund managers’ sentiment, is rather poor in reward. The result will contribute to the academia with a deeper understanding of professional investor’s psychological bias and will also serve as a supplementary criterion for future fund selections and ratings.
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Ma, Jeng-wen, and 馬正文. "GDP Growth and Energy Consumption Revisited-- Evidence from Nonlinear Granger Causality Test." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/ky463q.
Full textAbstract:
碩士<br>南華大學<br>經濟學研究所<br>95<br>Energy consumption and economic growth are constantly considered imperative issues in energy economy. However, previous studies had explored the relationship between them based on a linear assumption but ignore the nonlinear behavior which changes as a result of structural break. In this study, we not only applies linear causality test but also the nonlinear Granger causality test approach, proposed by Baek and Brock (1992), to examine the causal relationship between energy consumption and economic growth in Asian newly industrialized countries, including Taiwan, South Korea, Singapore, Hong Kong, Indonesia, Malaysia, Philippines, Thailand and the United States. The results based on linear causality test and nonlinear causality test indicate the non-existence of causality between energy consumption and economic growth across the United States, Thailand, and Korea which coheres with the neutrality hypothesis of energy consumption. The results also reveal that unidirectional causality running from economic growth to energy consumption in the Philippines and Singapore. Furthermore, this study also shows that the change of energy consumption may affect the economic growth in Taiwan, Hong Kong, Malaysia and Indonesia. Those results indicate that energy conservation policies should be designed deliberately in a way that utilization of such policies doesn''t have diminishing effects on economic development.
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Chang, Ming-Loang, and 張明郎. "The Granger Causality Between American and Japan or Hong kong or Singapore." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/9bc2e6.
Full textAbstract:
碩士<br>國立臺灣大學<br>財務金融學系<br>84<br>GRANGER CASUALITY ANALYSIS OF STOCK PRICE IN MAJOR ASIA MARKETS
AND THE UNITED STATES GAN MPIRICAL INVESTIGATION This study
uses unit root test and cointegration test and Granger
casuality test to exaime the relationship and casuality between
the stock market indexes in the United States and Hong or
Singpore.This investigation is conducted by weekly return on
stock market indexes made by Morgan Stainly Corporation Index
1,3,1985 through 12 13,1995. The empirical results show that
unit roots in stock index were found and there were no evidence
of cointegration between the stock market indexes .The
empirical also show the situation of United States market leads
the Japan market is getting weaker. Moreover,the Hong Kong and
the Singpore stock markets was leded only by long term factor
from American stock markets and there is no evidence that
American was leded by effective factors from Kong or Singpore.
Although the results reflect the dominant position of the
United states stock market in the four markets with some factor,
each of national stock markets is effected by its own national
factor This implies the fact that the risk of international
investment portfolios can be reduced by international
diversification.
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Liu, Yung-Chin, and 劉永欽. "A Study of Linear and Nonlinear Granger Causality in Taiwan Stock Market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/17498438613112356256.
Full textAbstract:
碩士<br>國立交通大學<br>管理科學研究所<br>84<br>The Taiwan stock market has been established for more than 30
years. The size of the market scale has become larger and
larger, and the level of prosperity of stock market is often
regarded as an index of economic development. Due to this,
there are many studies trying to find out the relationship
between price and volume of the stock market.
Many studies about the Taiwan stock market have found out that
there indeed exists linear causality between price and
volume. The purpose of this study is to test if there exists
nonlinear causality between price and volume besides linear
causality.
Two periods and three patterns of the price-volume data have
been gathered to proceed empirical linear and nonlinear
Granger causality test. Our major results are
summarized as follows :
1. There exists linear Granger causality between price and
volume of Taiwan stock market.
2. As for linear Granger causality, the relationship between
price and volume is price cause volume in show term, and
feedback in the long term. 3. There exists nonlinear
Granger causality between price and volume of Taiwan stock
market.
4. As for nonlinear Granger causality, the relationship between
price and volume is feedback regardless of the length
of study period.