Relevant bibliographies by topics / Risk and Granger Causality test

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Academic literature on the topic 'Risk and Granger Causality test'

Author: Grafiati
Published: 4 June 2025
Last updated: 23 June 2025

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Journal articles on the topic "Risk and Granger Causality test"

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Lahmiri, Salim. "Causality Between Brent and West Texas Intermediate: The Effects of COVID-19 Pandemic and Russia–Ukraine War." Commodities 4, no. 1 (2025): 2. https://doi.org/10.3390/commodities4010002.

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The article analyzes the Granger-based causal relationship between two major crude oil markets, namely Brent and West Texas Intermediate (WTI), by using the standard vector autoregression (VAR) framework. In this regard, the effects of the COVID-19 pandemic and the Russia–Ukraine war on causality between Brent and WTI are examined. The empirical results from Granger-causality tests show (a) strong causality from Brent to WTI during the period prior to the COVID-19 pandemic and Russia–Ukraine war, (b) no causality from WTI to Brent during the period prior to the COVID-19 pandemic and Russia–Ukraine war, (c) no causality from Brent to WTI during the COVID-19 pandemic, (d) evidence of causality from WTI to Brent during the COVID-19 pandemic, and (e) no evidence of causality from both markets during the period of Russia–Ukraine war. In addition, causality tests in quantiles support results from the linear Granger causality tests in general. However, contrary to the standard linear causality test, the quantile-in-regression causality test shows that Brent returns cause WTI returns during the pandemic period and WTI returns cause Brent returns before the pandemic. Furthermore, the results from the time-varying Granger causality tests support all conclusions from the standard linear (and static) Granger causality test, except the hypothesis that Brent causes WTI during the pandemic. Moreover, the time-varying Granger tests show evidence that causality between Brent and WTI clearly varies across the pandemic and war periods. Revealing the causalities between Brent and WTI across periods of economic and political stability, pandemic, and war would help policymakers develop appropriate energy policy and help investors determine appropriate risk management actions.
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Nidhi, Agrawal, Srinivasan P., and Shroff Sumita. "Revisiting the Cointegration and Casual Relationship between Different Financial Markets." Empirical Economics Letters 22, no. 12 (2023): 97–108. https://doi.org/10.5281/zenodo.10460559.

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<strong>Abstract: </strong>This study aims to examine the causal link among USD/INR exchange rates, domestic gold prices, crude oil prices, and NIFTY 50 index taking a long period of 13 years from September 2010 to September 2023. We use Augmented Dickey&ndash;Fuller (ADF) unit root test, Autoregressive Distributed Lag Model (ARDL) and Granger causality test for the analysis. ARDL results indicate the existence of a long-run relationship among USD/INR, NIFTY 50 and crude prices but absence in gold prices. Granger causality test result reveals a bidirectional causality between the NIFTY index and the USD/INR exchange rate and a unidirectional causality between the gold prices and NIFTY index. This study benefits investors and policymakers to diversify their portfolio, mitigate risk and maintain economic stability. <strong>Keywords: </strong>NIFTY 50 Index Prices, Crude Oil Price, Gold Price, Exchange Rate, ARDL Model, Granger Causality Test
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Nakajima, Tadahiro. "Test for volatility spillover effects in Japan’s oil futures markets by a realized variance approach." Studies in Economics and Finance 36, no. 2 (2019): 224–39. http://dx.doi.org/10.1108/sef-01-2017-0011.

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Purpose The purpose of this paper is twofold. First, the paper examines the risk transmission between crude oil and petroleum product prices of Japan’s oil futures market. Second, it compares the performance of two tests for Granger causality using realized variance (RV) and the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model. Design/methodology/approach The author measures the daily RV of crude oil, kerosene and gasoline futures listed on the Tokyo Commodity Exchange using high-frequency data, and he examines the Granger causality in variance between these variables using the vector autoregression model. Further, the author estimates the EGARCH model based on daily data and test for Granger causality in variance between commodity futures using Hong’s (2001) approach. Findings The results of the RV approach reveal that the hypothesis on the existence of a mutual volatility spillover between crude oil and petroleum product markets is accepted. However, the results of the conventional approach indicate that all the hypotheses on Granger causalities in variance are rejected. The methodology based on intraday high-frequency data exhibits higher power than the conventional approach based on daily data. Originality/value This is the first paper to investigate Japan’s oil market using RV. The authors conclude that the approach based on RV is universally adoptable when testing for Granger causality in variance.
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Jiang, Wei, Ruijie Gao, and Chao Lu. "The Analysis of Causality and Risk Spillover between Crude Oil and China’s Agricultural Futures." International Journal of Environmental Research and Public Health 19, no. 17 (2022): 10593. http://dx.doi.org/10.3390/ijerph191710593.

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This paper aims to apply the time-varying Granger causality test (TVGC) and the DY Spillover Index (Diebold and Yilmaz, 2012) to measure the Granger causality and dynamic risk spillover effects of the international crude oil futures market on China’s agricultural commodity futures market from the perspectives of return and volatility spillovers. Empirical evidence relating to the TVGC test suggests the existence of unidirectional Granger causality between crude oil futures and agricultural product futures. This relationship shows a strong time-varying property, in particular for sudden or extreme events such as financial crises and natural disasters. On the other hand, the volatility spillover in crude oil and agricultural product futures markets responds asymmetrically and bidirectionally according to the result of the DY Spillover index, and the periodicity of total volatility spillover correlates closely with the occurrence of global economic events, which indicates that the spillover effect between crude oil and agricultural commodity futures markets will be exacerbated in turbulent financial and economic times. Such findings are expected to help in formulating policy recommendations, portfolio design, and risk-management decisions.
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IYO Ipeghan, Dr, Dr EKPETE Marshall Simon, and EKPETE Kinsley Simon. "Auto-Regressive Distributed Lag Approach of Financial Intermediation of Commercial Banks and Risk in Nigeria." Sumerianz Journal of Economics and Finance, no. 312 (December 16, 2020): 246–64. http://dx.doi.org/10.47752/sjef.312.246.264.

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This study empirically examines the relationship between financial intermediation of commercial banks and risk in Nigeria spanning from 2007-2019 and utilizing the auto-regressive distributed lag (ARDL) approach to co-integration and Granger causality analysis. The result of the ARDL bounds test reveals a stable long run relationship between the dependent and independent variables with greater bound value of 16.02. The ARDL results also reveal the presence of short and long run positive and significant relationship between loans and advances and risk factors. The finding of the Granger causality reveals bidirectional causality between loans and advances and risk factors. The study recommends that commercial banks should continue their short term lending of credit for investment as default has been drastically reduced in lending to customers.
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Ouahhabi, Ouiem, and Lahboub Zouiri. "Institutions and Economic Growth: A Panel Granger Causality Analysis." Global Academic Journal of Economics and Business 6, no. 06 (2024): 166–77. https://doi.org/10.36348/gajeb.2024.v06i06.003.

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This paper revisits the direction of causality between institutions and economic growth for a sample of 119 countries over the period 1999-2018, divided into four groups according to income level: high income, upper middle income, lower middle income and low income. The study uses two institutional datasets, the International Country Risk Guide (ICRG) for the main estimation and the World Governance Indicators (WGI) for check the robustness of the results. Using the non-causality Granger test in a heterogeneous panel model with fixed coefficients, developed by Dumitrescu and Hurlin (2012), the empirical results show a unidirectional relationship for all panels except for lower middle-income countries, where causality is bidirectional. The findings also suggest that causality patterns are heterogeneous and depend on the level of development of the countries. Based on these results, we propose some interesting recommendations. The types of reforms to prioritize must be determined according to the direction of causality between institutions and economic growth. Moreover, heterogeneous causality implies the implementation of different policies adapted to the level of development of each panel, rather than considering a common policy.
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Łęt, Blanka. "Oil Prices and Stock Markets in Europe: Detection of Extreme Risk Spillover." Financial Assets and Investing 10, no. 1 (2019): 40–53. http://dx.doi.org/10.5817/fai2019-1-3.

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The goal of this paper is to check existence of Granger causality in risk between eleven European stock markets and crude oil market. We analyze bidirectional instantaneous and delayed Granger causality in tails test results, i.e. whether occurrence of the extreme returns on the crude oil market precede similar events on the main European stock markets and vice versa. Using Brent futures prices and main stock indices in Europe (Belgium, France, Germany, Greece, Italy, Netherlands, Norway, Poland, Spain, Sweden and United Kingdom), we apply testing procedure developed by Candelon and Tokpavi (2016). The main conclusion is that in the vast majority of cases instantaneous causality in tails was symmetrical. We also found that more long-lived reaction appeared as a result to the negative news from the oil market and from the stock markets.
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Dong, Yiqi, and Zuoji Dong. "An Innovative Approach to Analyze Financial Contagion Using Causality-Based Complex Network and Value at Risk." Electronics 12, no. 8 (2023): 1846. http://dx.doi.org/10.3390/electronics12081846.

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In this paper, we propose a new approach to analyze financial contagion using a causality-based complex network and value-at-risk (VaR). We innovatively combine the use of VaR and an expected shortfall (ES)-based causality network with impulse response analysis to discover features of financial contagion. We improve the current research methods by building a Granger causality network on VaR and ES and using conclusions drawn from network analysis as a foundational step before impulse response analysis. First of all, we select 30 stock indices that are very well-known globally and collect their trading data. After calculating the risk indicators of VaR and ES, we perform the Granger causality test on them and then build networks based on their respective Granger causality square matrix. Next, we examine the networks’ topological features to discover different degrees of risk transmission among all stock indices in the system. Lastly, we identify the most and the least active stock indices in the risk transmission network and conduct impulse response analysis on them. We discover that BSESN (India S&amp;P BSE SENSEX) is the most risk-sensitive stock index as its VaR significantly increases by 0.03–0.04% and its ES jumps even more, by 0.07–0.08%, in response to an impulse from a few key stock indices. We also find that either PSI20 or XU100 is the most risk-proof stock index, depending on whether we choose VaR or ES as a risk indicator.
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Pandya, Falguni H. "Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices." GIS Business 11, no. 3 (2016): 57–67. http://dx.doi.org/10.26643/gis.v11i3.3437.

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It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.
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Pandya, Falguni H. "Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices." GIS Business 11, no. 4 (2016): 57–67. http://dx.doi.org/10.26643/gis.v11i4.3432.

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It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.
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Dissertations / Theses on the topic "Risk and Granger Causality test"

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Chi, Nam Yau. "Economically justified equity investment strategies capable of withstanding growing interest rate environment." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18823.

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Mestrado em Economia Monetária e Financeira<br>This thesis proposes an approach for selection of stocks that could serve as a natural hedge for fixed income portfolios to minimize rising interest rate risk. The developed approach is applied to the case of US equity markets. Based on macroeconomic analysis, vector autoregressive model and Granger causality tests, and financial analysis, it is concluded that US financial sector is the optimal choice among all sectors that have strong correlations with interest rates. The thesis? results could be useful for interest rate risk management of the investment portfolios under the growing interest rate environment, in particular, and for investment industry professionals.<br>info:eu-repo/semantics/publishedVersion
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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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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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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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Gerleman, Wendela. "The stock market and government debt : the impact of government debt changes on the stock market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-19323.

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This thesis investigates whether or not changes in a country’s government debt could affect its domestic stock market performance. The relationship is investigated by examining three different European countries, Germany, Portugal and Sweden, on the basis of two variables; (1) quarterly government debt changes as a percentage of gross domestic product and (2) the quarterly stock market changes over the time period2000:Q2 – 2011:Q2. The evidence is presented with help of Ordinary Least Square Method and Granger Causality test for each respective country. According to the Efficient Market Hypothesis, stock market prices should fully reflect all relevant information, e.g. government debt changes, as soon as they occur, without any delay, if the market is efficient. Past information should be insignificant and therefore not affect the stock market prices in an efficient market. In the cases of Sweden and Germany, the results proved to be ambiguous and thus do not allow for either rejection or acceptance of the Efficient Market Hypothesis with respect to government debt changes. However, some support was found in the case of Germany since the government debt changes and the stock market performance were instantaneously correlated. The empirical results presented in this thesis further allowed for the assumption that Portugal was not able to efficiently capture changes in the debt levels without any delay. This indicates that the Efficient Market Hypothesis can be rejected in regards for Portugal with respect to government debt changes. Furthermore, since the Portuguese stock market performance was not able to capture efficiently changes in the government debt level, it hence could possibly mislead the direction of the economy when looking into the stock prices to determine economic conditions. Moreover, the results imply that each country faces different relationships between the variables and that the relationships possibly could depend on the economic health of a country.
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Mamo, Fikirte. "Economic growth and Inflation : A panel data analysis." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-17463.

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One of the most important objectives for any countries is to sustain high economic growth. Even though there are main factors that affect economic growth, the concern of this paper is only about inflation. The relationship between economic growth and inflation is debatable. The first objective of this study is to investigate the relationship between inflation and economic growth. This study uses panel data which includes 13 SSA countries from 1969 to 2009. To analyze the data the model is formed by taking economic growth as dependent variable and four variables (i.e. inflation, investment, population and initial GDP) as independent variables. The result indicates that there is a negative relationship between economic growth and inflation. This study is also examined the causality relationship between economic growth and inflation by using panel Granger causality test. Panel granger causality test shows that inflation can be used in order to predict growth for all countries in the sample, while the opposite it is only true for Congo, Dep. Rep and Zimbabwe.
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Bodin, Oscar, and Jenny Nielsen. "Svenska aktiemarknaden : Hur påverkas den svenska aktiemarknaden av makroekonomiska variabler." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-27537.

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Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. Anledningen till att Sverige har valts som den geografiska punkten är att det är av intresse att se hur ett litet land som Sverige, som har en öppen ekonomi påverkas av de utvalda makroekonomiska variablerna. Syfte: Syftet med uppsatsen är att med hjälp av information samt analys, studera hur de olika makroekonomiska variablerna påverkar den inhemska aktiemarknaden. Olika faktorer som påverkar aktiemarknaden kommer att lyftas fram för att i sin tur även se till de olika branscherna. Metod: Då data enbart består av hämtning av tidigare information fokuseras det enbart på sekundärdata i form av historiska siffror samt historiska undersökningar. De statistiska tester som tillämpas är Granger Causality test, Johansens Cointegration test, Impulse Response Function test, ADF test, KPSS test, Mulitpel regression. Slutsats: Med de resultat som presenterades i denna studie, skulle vi nog inte kunna säga att vi har ett svar över vilka aktier en investerare ska införskaffa. Dock skulle vi kunna poängtera att den potentiella investeraren bör ha dessa variabler i beaktning vid beslut. Genom att studera dessa variabler kan man få en känsla om vilket håll variablerna kommer att röra sig och på så sätt säga att de kan påverka aktieindexen. Att bara kolla på de makroekonomiska variabler som denna studie belyser räcker inte för att förstå hur aktieindex kommer att se ut i framtiden, men det är en bit på vägen till att förstå aktiemarknadens rörelse.
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Křepelová, Marika. "Vývoj a vzájemné vlivy burzovních indexů." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17443.

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This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, BSI and PX in a time period from September 2004 till March 2010. Such an interrelationship has already been examined and a dominating position of American indices has been found. This influence was stronger during a financial crisis. Because the examined time period covers both financial crisis and the period before, the work studies their interrelationship in the whole period and at the end in the time period before financial crisis. The influence of one stock index on the other can be cause by several factors: (i) dominance of influencing stock index, (ii) efficient market and (iii) financial crisis. As the reaction of stock index is evoked from new information, the intention of this work is to take into account nonsychronous trading of stocks exchanges. Therefore I explored those exchange stocks closing earlier than the others start in two ways by respecting the time lag and by non-respecting the time lag. The interrelationship between the indices was modeled with help of VAR models and proved by Granger causality test.
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Eriksson, Victoria. "Interlinked Roundwood Markets in Sweden, Norway and Finland : An econometric study of roundwood assortment prices." Thesis, Luleå tekniska universitet, Institutionen för ekonomi, teknik och samhälle, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:ltu:diva-71390.

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Market integration is a frequently discussed topic. This study presents an econometric analysis of the interlinkages between the Swedish, Norwegian, and Finnish coniferous roundwood assortment markets by conducting the Johansen’s co-integration test. It also investigates the directional causality between markets concluded integrated. The data utilised consists of quarterly, nominal prices for pine, and spruce saw logs and pulpwood for each country. Because of issues regarding stationary price series, the co-integration test could only be tested on five markets; Swedish and Norwegian pine saw logs and Swedish, Norwegian and Finnish spruce pulpwood. Swedish and Norwegian pine saw log prices were found integrated according to the Johansen’s test, but no relationship was found when performing the Granger causality test, implying that the underlying assumption of non-stationary prices may not have been fulfilled. No linkages were found concerning the spruce pulpwood markets; neither for all three countries nor bi-variate.
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Lyu, Jiarui. "The Housing Bubble Situation in Third-level Cities in China : ACcase Study of Yangzhou." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-302989.

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Housing bubbles could have a great impact on the economy of a country, especially for a country as large as China. Therefore, it is necessary to evaluate the housing bubble situation of a region. Based on the classification of cities, this research has selected Yangzhou as the main research sample to predict the overall situation of housing bubble in third-level cities in China. The paper integrates the relevant theories and methods of the housing bubble research mentioned in the literature, and seeks out a set of suitable real estate bubble research methods: using ADF test, EG cointegration analysis to see whether the indicators are suitable as variables in the Granger causality test and regression analysis, and then perform regression analysis on the appropriate variables and housing prices to judge the real estate bubble. Also, the result of Yangzhou is applied to compare with that of Beijing and Shanghai so as to get the difference of real estate markets between first- and third-level cities.<br>Bostadsbubblor kan ge allvarlig inverkan på ett lands ekonomi, särskilt för ett så stort land som Kina. Därför är det nödvändigt att utvärdera om eventuella bostadsbubblor förekommer i olika regioner. I detta arbete analyseras förekomsten av en bostadsbubbla i en av Kinas städer i den tredje storleksklassen enligt det kinesiska klassificeringssystemet. Studieobjektet som valts är Yangzhou. I uppsatsen diskuteras de relevanta teorier och metoder som förekommer i litteraturen för analys av bostadsbubblor och ett antal metoder tillämpas. ADF-test och Engel-Grainer-kointegration används för att avgöra vilka av de tillgängliga marknadsindikatorerna som är lämpliga att använda vid test av Granger-kausalitet och i regressionsanalyser. Regressioner med de utvalda variablerna görs sedan mot bostadspriser för att erhålla mått på förekomsten av en bostadsbubbla. De empiriska resultaten från studien jämförs också med resultat för Beijing and Shanghai för att påvisa skillnader mellan marknaderna i städer av första respektive tredje storleksklassen.
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Books on the topic "Risk and Granger Causality test"

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Gorman, Sara E., and Jack M. Gorman. Denying to the Grave. Oxford University Press, 2016. http://dx.doi.org/10.1093/oso/9780199396603.001.0001.

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Why do some parents refuse to vaccinate their children? Why do some people keep guns at home, despite scientific evidence of risk to their family members? And why do people use antibiotics for illnesses they cannot possibly alleviate? When it comes to health, many people insist that science is wrong, that the evidence is incomplete, and that unidentified hazards lurk everywhere. In Denying to the Grave, Gorman and Gorman, a father-daughter team, explore the psychology of health science denial. Using several examples of such denial as test cases, they propose six key principles that may lead individuals to reject "accepted" health-related wisdom: the charismatic leader; fear of complexity; confirmation bias and the internet; fear of corporate and government conspiracies; causality and filling the ignorance gap; and the nature of risk prediction. The authors argue that the health sciences are especially vulnerable to our innate resistance to integrate new concepts with pre-existing beliefs. This psychological difficulty of incorporating new information is on the cutting edge of neuroscience research, as scientists continue to identify brain responses to new information that reveal deep-seated, innate discomfort with changing our minds. Denying to the Grave explores risk theory and how people make decisions about what is best for them and their loved ones, in an effort to better understand how people think when faced with significant health decisions. This book points the way to a new and important understanding of how science should be conveyed to the public in order to save lives with existing knowledge and technology.
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Book chapters on the topic "Risk and Granger Causality test"

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Lan, Shiru, Jin Li, Yanxin Wang, and JiaoTian. "Research on the Correlation of China’s Financial Systemic Risk Based on Granger Causality Test." In Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023). Atlantis Press International BV, 2023. http://dx.doi.org/10.2991/978-94-6463-198-2_70.

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Yang, Wenqiang, and Qiang Luo. "Modeling Protein-Signaling Networks with Granger Causality Test." In Frontiers in Computational and Systems Biology. Springer London, 2010. http://dx.doi.org/10.1007/978-1-84996-196-7_13.

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Liang, Jing-wei, and Zhou Liu. "Energy Consumption and Economic Growth: Cointegration and Granger Causality Test." In The 19th International Conference on Industrial Engineering and Engineering Management. Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-38391-5_32.

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Sun, Qiujie, Yongchang Lao, and Yaoqi Zhu. "Application of Granger Causality Test Model in Power Grid Operation." In Application of Intelligent Systems in Multi-modal Information Analytics. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-74814-2_37.

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Hao, Mengyu, Feiyang Su, Kaifei Wang, and Xiaoqi Zheng. "Bitcoin Price Prediction Based on Machine Learning and Granger Causality Test." In Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022). Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-036-7_51.

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Manik, Nityasundar, and Naseer Ahmed Khan. "Public Debt and Economic Growth in India: Evidence from Granger Causality Test." In India Studies in Business and Economics. Springer Singapore, 2017. http://dx.doi.org/10.1007/978-981-10-6217-9_10.

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Jefferson, Al, and J. Pabelic. "Bootstrap Efficiency on Granger Causality Test in Bivariate Vector Autoregressive (VAR) Model." In Lecture Notes in Electrical Engineering. Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-40630-0_43.

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Pabelic, Al Jefferson J. "Erratum to: Bootstrap Efficiency on Granger Causality Test in Bivariate Vector Autoregressive (VAR) Model." In Lecture Notes in Electrical Engineering. Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-40630-0_103.

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Zhu, Bing. "Exchange Rate and Price: A Granger Causality Test of Consumer Price Index in China." In Advances in Intelligent Systems and Computing. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-27711-5_13.

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Desiana, Lidia, Fernando Africano, and Aryanti. "Corporate governance, risk, firm size, financial performance and social performance: Granger causality and path analysis." In Business Innovation and Development in Emerging Economies. CRC Press, 2019. http://dx.doi.org/10.1201/9780429433382-55.

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Conference papers on the topic "Risk and Granger Causality test"

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Tamas, Anca. "THE IMPACT OF DEMOGRAPHICS ON ECONOMIC DEVELOPMENT OF THE BRICS COUNTRIES." In 11th SWS International Scientific Conferences on SOCIAL SCIENCES - ISCSS 2024. SGEM WORLD SCIENCE, 2024. https://doi.org/10.35603/sws.iscss.2024/s03/24.

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The aim of this paper is to assess the impact of the demographics on the economic development on the BRICS countries during 2009-2021. The BRICS countries as Brazil, Russia, India, China and South Africa are known starting 2009 (and 2010 for South Africa respectively), they are fast growing economies, emerging markets in the second stage of demographic transition and highly heterogeneous countries in most social economic features. Due to the fact they are counting for more than 40% of the global population, the demographic impact on the economic development should be significant. EViews 8 was used for linear regression with Ordinary Least Squares, where the dependent variable is GDP per capita and the independent variables are age dependency rate, death rate, fertility rate and labor force population 15-64. Correlations, Unit Root Test, Collinearity Test and Granger Causality were performed as well. The findings: There is a strong, positive correlation between GDP per capita and labor force 15-64 and negative correlations between GDP per capita and fertility rate and age dependency rate respectively, which is in line with the previous studies. Among the demographic indicators, fertility rate has a negative influence on GDP per capita, while age dependency rate, death rate and labor force have a positive influence. Death rate was found to have a positive influence on GDP per capital, in contradiction with the previous studies. There is Granger causality between labor force and GDP, as well as between GDP per capita and life expectancy.
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Zhang, Qiongqiong, and Chun-Te Lee. "Fixed-Asset Investment and Three Strata of Industry Based on Clustering Analysis and Granger Causality Test." In 2021 International Conference on Big Data, Artificial Intelligence and Risk Management (ICBAR). IEEE, 2021. http://dx.doi.org/10.1109/icbar55169.2021.00013.

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Qian, Liu, Li Yongli, and Wu Chong. "The risk linkage effects of stock indexes based on quantile regression and granger causality test." In 2013 25th Chinese Control and Decision Conference (CCDC). IEEE, 2013. http://dx.doi.org/10.1109/ccdc.2013.6561698.

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Noneva-Zlatkova, Yordanka, and Mariya Paskaleva. "Cryptocurrencies as a Risk Management Tool – Legal and Economic Perspectives." In 7th International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2023. http://dx.doi.org/10.31410/itema.s.p.2023.99.

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The development of law is faced with many challenges, including the creation and testing of new information and communication technologies. At the same time, the law must quickly react with a set of legitimate means of reg­ulation to guarantee legal certainty in relations. Cryptocurrencies are a manifes­tation product of rapidly developing technology entering civil turnover at an in­creasingly rapid pace. The paper aims to examine the various legal aspects of cryptocurrencies in the EU and to reveal the relationship between the stock mar­ket, investors’ decisions, and cryptocurrency. It clarifies the concept of crypto­currency, comparing it to the millennia-old fiat money. In addition, the research traces the cryptocurrencies and their status as essential legal assets in the EU market. To test the relationship between the capital market, the investors ‘be­havior, and cryptocurrency, we apply the regression model, correlation anal­ysis, and Granger Causality Test. The explored variables include the Crypto In­dex (CRIX), the Sentix sentiment index, and the capital market index. We prove that the cryptocurrency market influences the stock market, which may be ex­plained by the fact that the investors in the crypto markets are better informed than those in the traditional financial markets.
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Genç, Murat Can, and Osman Murat Telatar. "Is the Compensation Hypothesis Valid for Turkey?" In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01380.

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Increases of trade openness in an economy raise the external risks in globalization. The societies demand on increases of the government expenditure in order to compensate for their risks. Hence the more trade openness may cause the more government size. This relation is named as compensation hypothesis in the literature has been comprehensively discussed by Rodrik (1998) but started by Cameron (1978). This paper attempts to analyze the cointegration and causality relationships between trade openness and government size in Turkey, utilizing annual data for the period 1980–2013. The existence of the long run relationship between trade openness and government size is investigated by applying Engle and Granger (1987) cointegration test. The empirical findings of cointegration test stated that the series are cointegrated. On the other hand the results of error correction model indicate that there is a unidirectional causality from trade openness to government size. The significance of this results state that the compensation hypothesis is valid for Turkey.
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Uçkaç, Müdrike, Harun Bal, and Esma Erdoğan. "Why is Foreign Direct Investment Decreasing in the Turkish Economy?" In International Conference on Eurasian Economies. Eurasian Economists Association, 2022. http://dx.doi.org/10.36880/c14.02658.

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Foreign Direct Investment (FDI) is a type of external finance that is desired by all countries in order to accelerate capital accumulation and increase production, employment, and technological capacity. In the development process of the Turkish economy, FDI remained limited until the 1980s, and after this date, policy changes were made, and significant increases were experienced within the framework of the regulations and developments. Especially in the 2002-2015 period, it was seen that FDI to Turkey was the scene of historical records. With the last quarter of the 2010s, these increases slowed down and entered a regression process. These developments highlight the issue of FDI and its determinants and necessitate analysis in the context of its different dimensions. In this study, it is aimed to investigate the effects of some important indicators, which are thought to be the determinants of foreign direct investments in the Turkish economy, on FDI by using the data set for the period 2003:Q2-2019:Q4. Unit root test and Granger causality test were used to determine the said relationship. Based on the relevant literature, the factors expected to guide foreign direct investments are market volume, foreign trade openness rate, real exchange rate and fear index (VIX). Findings obtained in the study, foreign trade openness ratio and VIX are Granger causality of foreign direct investors. Accordingly, the past and present values of the foreign trade openness ratio and the VIX have a significant effect on foreign direct investors in Turkey, and a one-way causality relationship has been determined here. In the study, foreign direct investment has a one-way effect on the market volume, no causal relationship was found between the real exchange rate and foreign direct investment. In this context, it can be stated that Turkey needs measures to accelerate economic growth, as well as policies and practices that reduce country risks, in order to accelerate FDI.
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Makrevska Disoska, Elena, and Katerina Shapkova Kocevska. "THE IMPACT OF HUMAN FREEDOMS ON ECONOMIC GROWTH." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2020. http://dx.doi.org/10.47063/ebtsf.2020.0016.

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The impact of formal institutions, including rule of law, human rights, and civil liberties on economic growth has been in the focus of the latest research agenda of the new institutional economics due to the current pandemic of the Corona-19 virus. Some limitations are necessary to be imposed to address a pandemic, but this is a real risk of lasting deterioration in basic human freedoms. Increased surveillance, restrictions on free expression and information, and limits on public participation are becoming increasingly common. The present fear is that the authorities worldwide are using the current situation to repress human rights for political purposes. This paper aims to explore the effect of the overall institutional environment, understood as the concept of human freedom, on economic prosperity in different jurisdictions around the world. Human freedom is a general term for personal, civil, and economic freedom and therefore the interconnection with economic growth can be seen in both directions. In our analysis, we use the Human Freedom Index published by the Fraser Institute as a proxy for human freedom. Here, human freedom is understood as the absence of coercive constraint. The index is calculated based on 79 distinct indicators representing different aspects of personal and economic freedom. This analysis seeks to answer several questions. First, we are interested in examining whether there is empirical evidence about the causality between human freedoms and economic growth. Second, we are interested in whether human freedom has a positive impact on growth rates. And third, we are interested in examining the influence of other determinants on economic growth. To test the causality between human freedom and economic growth, we have conducted a Granger causality analysis. The empirical strategy for identification of the possible influence of human freedom to growth rates includes the development of ordinary least squares (OLS) panel regression models for selected economies of the world, or around 174 cross-section units (countries) in the period between 2008 and 2017.
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Dias, Rui, Hortense Santos, Paula Heliodoro, Cristina Vasco, and Paulo Alexandre. "WTI OIL SHOCKS IN EASTERN EUROPEAN STOCK MARKETS: A VAR APPROACH." In 5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eman.2021.71.

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The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. In view of these events, this study aims to analyze oil shocks (WTI) in the eastern European stock markets, namely the stock indices of Hungary (BUX), Croatia (CROBE), Russia (MOEX), Czech Republic (PRAGUE), Slovakia (SAX 16), Slovenia (SBI TOP), Bulgaria (SOFIX), from September 2019 to January 2021. The results show mostly structural breakdowns in March 2020, while the VAR Granger Causality/Block Exogeneity Wald Tests model shows two-way shocks between oil (WTI) and the stock markets analyzed. These findings show that the hypothesis of portfolio diversification may be called into question. As a final discussion, we consider that investors should avoid investments in stock markets, at least as long as this pandemic last, and rebalance their portfolios into assets considered “safe haven” for the purpose of mitigating risk and improving the efficiency of their portfolios.
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Gautama, T., and M. M. Van Hulle. "Surrogate-based test for Granger causality." In 2003 IEEE XIII Workshop on Neural Networks for Signal Processing (IEEE Cat. No.03TH8718). IEEE, 2003. http://dx.doi.org/10.1109/nnsp.2003.1318079.

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Chee-Yin, Yip, and Lim Hock-Eam. "The opportune time to invest in residential properties - Engle-Granger cointegration test and Granger causality test approach." In INTERNATIONAL CONFERENCE ON QUANTITATIVE SCIENCES AND ITS APPLICATIONS (ICOQSIA 2014): Proceedings of the 3rd International Conference on Quantitative Sciences and Its Applications. AIP Publishing LLC, 2014. http://dx.doi.org/10.1063/1.4903696.

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Reports on the topic "Risk and Granger Causality test"

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Khvostina, Inesa, Serhiy Semerikov, Oleh Yatsiuk, Nadiia Daliak, Olha Romanko, and Ekaterina Shmeltser. Casual analysis of financial and operational risks of oil and gas companies in condition of emergent economy. [б. в.], 2020. http://dx.doi.org/10.31812/123456789/4120.

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The need to control the risk that accompanies businesses in their day- to-day operations, and at the same time changing economic conditions make risk management an almost indispensable element of economic life. Selection of the main aspects of the selected phases of the risk management process: risk identification and risk assessment are related to their direct relationship with the subject matter (risk identification to be managed; risk analysis leading to the establishment of a risk hierarchy, and, consequently, the definition of risk control’ methods) and its purpose (bringing the risk to acceptable level). It is impossible to identify the basic patterns of development of the oil and gas industry without exploring the relationship between economic processes and enterprise risks. The latter are subject to simulation, and based on models it is possible to determine with certain probability whether there have been qualitative and quantitative changes in the processes, in their mutual influence on each other, etc. The work is devoted to exploring the possibilities of applying the Granger test to examine the causal relationship between the risks and obligations of oil and gas companies. The analysis is based on statistical tests and the use of linear regression models.
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