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1
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–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
3
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&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.
9
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.
11
Pandya, Falguni H. "Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices." GIS Business 12, no. 1 (2017): 57–67. http://dx.doi.org/10.26643/gis.v12i1.3380.
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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.
12
Pandya, Falguni H. "Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices." GIS Business 12, no. 2 (2017): 57–67. http://dx.doi.org/10.26643/gis.v12i2.3368.
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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.
13
Andriani, Lis, Fajrin Satria Dwi Kesumah, and Luthfi Firdaus. "Causality test on gold prices and economic risk (VAR model application)." Asian Journal of Economics and Business Management 2, no. 3 (2023): 318–26. http://dx.doi.org/10.53402/ajebm.v2i3.371.
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The presence of gold as an investment asset has roots from the past to the present. The volatility of the value of economic risk can reflect the gold prices’ volatility that can affect investors' decisions in investing amid uncertainty. This study aims to predict the reciprocal relationship between gold price volatility and economic risk proxied by BI 7-days Repo Rate. The Method applied in this study is the Vector Autoregression (VAR) model to dynamically express such causality. The result found that VAR (1) model is the best-fit model to analyse the causality between variables. In addition, VAR (1) model also is tested by Granger Causality as well as used in their respective impulse response. Finally, VAR (1) model is applied to forecast the next 12-month data for both variables and has high accuracy forecasting estimation with low MSE, RMSE, and MAPE. The study then can be used as one of considerations for gold investors in making investment decisions.
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Maneejuk, Paravee, and Woraphon Yamaka. "The Role of Economic Contagion in the Inward Investment of Emerging Economies: The Dynamic Conditional Copula Approach." Mathematics 9, no. 20 (2021): 2540. http://dx.doi.org/10.3390/math9202540.
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Contagion has been one of the most widely studied and challenging problems in recent economic research. This paper aims at capturing the main impact of contagion risk of the U.S. on foreign direct investment inflows in 18 emerging countries. To quantify the degree of contagion, the time-varying tail dependence copula is employed. Then, the Granger causality test and time series regression analysis are used to investigate the temporal and contemporaneous effects of contagion risk on investment inflows, respectively. Overall, the results confirm the time-varying contagion effects of the U.S. economy on 18 emerging economies. The size of contagion effects gradually increases for all countries, except Thailand, the Philippines, Argentina, and Chile. Furthermore, the results of the Granger causality test and regression reveal that temporal and contemporaneous effects of contagion risk on investment inflows exist in 8 out of 18 countries.
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Micallef, Joseph, Simon Grima, Jonathan Spiteri, and Ramona Rupeika-Apoga. "Assessing the Causality Relationship between the Geopolitical Risk Index and the Agricultural Commodity Markets." Risks 11, no. 5 (2023): 84. http://dx.doi.org/10.3390/risks11050084.
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The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The Granger causality test was used to determine the causal relationship between the daily GPR sub-indices and the future prices of ten essential agricultural commodities from 31 March 2000 to 31 March 2022. We discovered that the GPR Threat and Act sub-indices Granger-caused changes in the wheat and oat commodity prices. These findings were also connected to the ongoing Russian–Ukrainian conflict, which has had an impact on agricultural commodity prices because both countries are major agricultural producers. The empirical results also showed how the GPR Threat sub-index Granger-affected the future prices of soybean oil, coffee, wheat, and oats. On the other hand, the GPR Act sub-index only Granger-affected the future price of oats. The findings of this study should provide useful information to both policymakers and governments to help them acknowledge the importance of geopolitical risk when setting their national policies related to food security.
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Wu, Zi Qian. "Risk correlation identification of futures market based on wavelet transform and quantile Granger causality test." PLOS ONE 18, no. 11 (2023): e0294150. http://dx.doi.org/10.1371/journal.pone.0294150.
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Futures market is an important part of the financial market, with a high degree of liquidity and leverage effect. However, the futures market is also faced with various risk factors, such as price fluctuations, market shocks, supply and demand changes. In order to better determine the risk correlation between specific futures markets, this paper uses the wavelet transform—quantile Granger causality test method to identify the risk correlation of four major futures markets in the US futures market from the end of January 2009 to the end of March 2023, such as gold, crude oil, soybeans and natural gas. It provides a new perspective and method for the risk correlation identification of the futures market. The results show that futures contracts with different maturities and price fluctuations under different quantiles have a significant impact on risk correlation. Specifically, in 1-month and 6-month futures contracts, the strongest bidirectional risk correlation exists between gold and natural gas (T-statistics -15.94 and 10.92, respectively); In the 1-month futures contract, there is also a strong bidirectional risk association between crude oil and soybeans and natural gas (T-statistics are 6.87, 17.42, -2.05, 7.35, respectively), while in the 6-month futures contract, there is a bidirectional risk association between crude oil and soybeans (T-statistics are -2.49 and 18.374, respectively). However, natural gas has unidirectional risk association with crude oil and soybean (t statistics are 2.7 and -3.35, respectively); There is a bidirectional risk correlation between gold and soybean, that is, the risk correlation between gold and soybean increases with the increase of the degree of price fluctuation; There is a one-way risk association between gold and crude oil, soybean and gold, and crude oil and natural gas (the T-statistic is greater than the critical value of 1.96). In addition, there is a strong bidirectional or unidirectional risk association between all varieties at the 0.95 quantile. The research results of this paper have certain reference value for the supervision, investment and risk management of the futures market. This paper uses the wavelet transform and quantile Granger causality test method to identify the risk correlation of the futures market, providing a new perspective and method for the risk correlation identification of the futures market, and uses relatively new data to ensure the effectiveness of the empirical analysis. However, there are some limitations in this paper, such as the applicability of wavelet transform-quantile Granger causality test method. Future studies can further expand the sample range, compare the effects of different methods, and explore the risk transmission mechanism between different varieties.
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Shahzad, Syed Jawad Hussain, Safwan Mohd Nor, Nur Azura Sanusi, and Ronald Ravinesh Kumar. "The Determinants of Credit Risk: Analysis of US Industry-level Indices." Global Business Review 19, no. 5 (2017): 1152–65. http://dx.doi.org/10.1177/0972150917724631.
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The study examines the cointegration and causal relationship between credit default swap spreads, stock prices, VIX, interest rate and slope of the yield curve for the 10 industries in the USA over the period 14 December 2007 to 30 September 2015. Due to the presence of cross-sectional dependence in the panel, we employ the Pesaran (2007, Journal of Applied Econometrics, 22(2), 265–312) CIPS test to ascertain unit root properties. The cointegration test underscores the presence of a long-run association between the variables. The long-run heterogeneous panel elasticities are estimated via Dynamic OLS (DOLS) and the causality is examined by using the Dumitrescu and Hurlin (2012, Economic Modelling, 29(4), 1450–1460) Granger causality tests. The empirical results reveal that stock prices (volatility), interest rate and slope of the yield curve decrease (increase) the CDS premia; and stock prices, VIX and interest rate Granger-cause the CDS spreads for most of the industries.
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Akani, Elfreda Nwakaego Ph.D. "Dynamic of Risk Management and Intermediate Functions of Commercial Banks: The Supply Side Evidence from Nigeria." Journal of Economics, Finance And Management Studies 4, no. 08 (2021): 1279–91. https://doi.org/10.47191/jefms/v4-i8-06.
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This study investigated the relationship between risk management and financial intermediation of quoted commercial banks in Nigeria. Panel data were sourced from the Nigeria Stock Exchange for a period that spans 2009 to 2018. Financial intermediation was measured domestic credit of the commercial banks. Domestic credit was modelled as the function of Risk diversification, Basel compliance, risk transfer, credit securitization and risk retention and risk evaluation. Multiple regressions were formulated to ascertain the relationship between risk management and capital investment decision of commercial banks. Panel Unit root test was utilised to establish the stationarity of the data. Panel cointegration, and granger causality test analyse the data. The panel unit root test proved presence of unit root at first difference and concluded that the variables were integrated in the order of 1(I). The study found that, there is a significant relationship between risk management and domestic credit decision, of the quoted commercial banks. The panel cointegrations show the presence of long run relationship between the endogenous variables and the exogenous variables while the granger causality test found uni-directional causality among the variables. From the findings, the study concludes that risk management have significant relationship with domestic credit decisions of the commercial banks. The study recommends that to mitigate the riskiness of banking operations, more avenues for risk diversification should be explored. Although Basel compliance enhances domestic credit decision, its implementation should be done cautiously and in consi
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Katoch, Rupinder, and Shilpa Shilpa. "Cointegration between Nifty 50 Spot and Future Indices: An Empirical Analysis Applying Vector Error Correction Model." International Journal on Recent and Innovation Trends in Computing and Communication 10, no. 12 (2022): 168–80. http://dx.doi.org/10.17762/ijritcc.v10i12.5933.
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This paper aims to investigate the cointegration of the spot market and future indices (NIFTY, NIKKEI, S&P 500 AND Singapore FTSE) of selected developed and developing nations from January 2011 to December, 2021. The Johansen cointegration test, Granger Causality Test, and Vector Error Correction Model (VECM) are all used to gauge the degree of cointegration. The study's empirical findings support the hypothesis that there is cointegration between the spot market and future market indices of selected global markets. Comparative Granger tests for causality using the error correction model and results of error correction tests reveal interdependencies. The fact that the S&P 500 spot market index and future market index have a bi-directional causality shows that how interdependent these stock indices are. But, in case of Singapore FTSE, there is uni-causality from SGX future to SGX Spot indices. And in rest of indices (NIFTY and NIKKEI), there is no causality between spot and future stock indices. The study's conclusions show that investors may create diverse portfolio strategies to manage risk.
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Guo, Kai, Zhenhao He, Xiaojin Liang, et al. "Examining Relationships between Regional Ecological Risk and Land Use Using the Granger Causality Test Applied to a Mining City, Daye, China." Land 12, no. 11 (2023): 2060. http://dx.doi.org/10.3390/land12112060.
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Land use changes are an important factor contributing to the increasingly severe deterioration of the ecological environment. Therefore, regional analyses of land use and ecological risk should be developed for the restoration of ecological functions. In this study, a comprehensive ecological risk assessment was constructed on a regional scale and applied to Daye, a traditional mining city in China. Cointegration analyses and Granger causality tests were used to explore the complex relationship between land use and ecological risks in the study area from 2007 to 2021. The results show a long-term and stable relationship between land use changes in different sub-regions and ecological risks, albeit with distinct Granger causality relationships. This research presents the development trend of the relationship between land use change and ecological risks in a mining city, from rapid economic growth to economic restructuring and full-region ecological governance.
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Jiang, Zhuhua, Jose Arreola Hernandez, Ron P. McIver, and Seong-Min Yoon. "Nonlinear Dependence and Spillovers between Currency Markets and Global Economic Variables." Systems 10, no. 3 (2022): 80. http://dx.doi.org/10.3390/systems10030080.
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The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network approach. We also use a multi-scale decomposition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. The major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the Euro–Dollar exchange rate as the largest contributor of connectedness to the other series.
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Seane, Sisimogang Tracy, Gisele Mah, and Paul Saah. "Risk, opportunities and reasons of the household debt changes: The case of an emerging economy." Corporate Ownership and Control 14, no. 1 (2016): 476–84. http://dx.doi.org/10.22495/cocv14i1c3p8.
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In the past decades, household debt in both developed and developing countries have been increasing. With an increase in the standard of living, household debt is also bound to increase. This paper examines the cointegration and causal link among household disposable income, household savings, and debt service ratio, lending interest rate, consumer price index and household debt in South Africa. An Autoregressive Distributed Lag and Granger causality techniques was used to analyse data collected from the South African Reserve Bank and Quantec from 1984 to 2014. The results of Autoregressive Distributed Lag test revealed cointegrating relationships between household debt and debt service ratio as well as household debt and lending interest rate. However, there is no long run cointegrating relationship between household disposable income, household savings and consumer price index with household debt. The Granger causality results revealed that household disposable income, household savings, debt service ratio, lending interest rate, consumer price index do Granger cause household debt in South Africa. Policy makers should thus target these variables in order to reduce household debt in South Africa.
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Seane, Sisimogang Tracy, Gisele Mah, and Paul Saah. "Risk, opportunities and reasons of the household debt changes: The case of an emerging economy." Risk Governance and Control: Financial Markets and Institutions 6, no. 4 (2016): 207–15. http://dx.doi.org/10.22495/rcgv6i4c1art10.
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In the past decades, household debt in both developed and developing countries have been increasing. With an increase in the standard of living, household debt is also bound to increase. This paper examines the cointergation and causal link among household disposable income, household savings, debt service ratio, lending interest rate, consumer price index and household debt in South Africa. An Autoregressive Distributed Lag and Granger causality techniques was used to analyse data collected from the South African Reserve Bank and Quantec from 1984 to 2014. The results of Autoregressive Distributed Lag test revealed cointegrating relationships between household debt and debt service ratio as well as household debt and lending interest rate. However, there is no long run cointegrating relationship between household disposable income, household savings and consumer price index with household debt. The Granger causality results revealed that household disposable income, household savings, debt service ratio, lending interest rate, consumer price index do Granger cause household debt in South Africa. Policy makers should thus target these variables in order to reduce household debt in South Africa.
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Prakash, J. Vineesh, D. K. Nauriyal, and Sandeep Kaur. "Assessing Financial Integration of BRICS Equity Markets: An Empirical Analysis." Emerging Economy Studies 3, no. 2 (2017): 127–38. http://dx.doi.org/10.1177/2394901517730734.
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This article examines the degree of financial integration among the equity markets of Brazil, Russia, India, China, and South Africa (BRICS) by using monthly data collected for the period 2005–2014. The study employs Johansen cointegration test, vector error correction model (VECM), and Granger causality test which confirm the existence of relationship in the short and long run among the equity markets of BRICS. Further results exhibit that there exists cointegration or a long-run relationship among the equity markets, but weak cointegration, though the results of Granger causality test do not display existence of any causality among market pairs such as China–Brazil, Russia–Brazil, South Africa–Brazil, Russia–China, and South Africa–India. The results indicate that even though the financial integration among the equity markets of BRICS is on ascendance, it is yet incomplete. This work suggests harmonization of laws, regulations, and operations based on international principles and appropriate regulatory supervision among BRICS nations in order to minimize the risk of financial integration, besides further relaxing restrictions on capital account for expedited financial integration.
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Yasmin, Farrah. "Twin Deficit Hypothesis: A Case of Pakistan." Sukkur IBA Journal of Management and Business 2, no. 1 (2018): 71. http://dx.doi.org/10.30537/sijmb.v2i1.89.
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The prime motive of this study is to scrutinize the twin deficit for annual time series data over the period 1990-2010 for Pakistan. Twin deficit hypothesis expressed that an expansion in budget deficit will ground for rise in current account deficit. To diagnose affiliation amongst couple of variables, applied Unit root test (ADF-test), Johansen cointegration technique, Impulse response function and Granger causality test. The Granger causality demonstrate that the causality direction travel from current account deficit to budget deficit. When current account deficit occurs it leads to budget deficit. So the finding proves that there is a positive connection among both variables. Investigations are most reliable for Pakistan economy. Finally, this study confirms the rapport amid current account deficit and budget deficit.
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Tholl, Johannes, Tobias Basse, Samira Meier, and Miguel Rodriguez Gonzalez. "Risk premia and the European government bond market: new empirical evidence and some thoughts from the perspective of the life insurance industry." Zeitschrift für die gesamte Versicherungswissenschaft 110, no. 1 (2021): 49–78. http://dx.doi.org/10.1007/s12297-021-00503-2.
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AbstractWe study yield spreads between government bonds in the European Monetary Union. This segment of the global fixed income market is of particular importance for insurance companies in Europe. Our empirical research strategy is inspired by Gunay (2020) who has analyzed the relationship between credit and liquidity risk in the United States using Granger causality tests. More specifically, we employ the procedure developed by Toda and Yamamoto (1995) to test for Granger causality among yield spreads in five different member countries of the European Monetary Union (namely Austria, Belgium, France, Italy and Ireland) relative to Germany. We examine interest rate data from bonds with three different maturities (5, 10 and 30 years). Given the importance of long-term bonds as asset class for European life insurers and pension funds, the empirical results from the often ignored market for government bonds with a maturity of 30 years should be of interest. With regard to long-term sovereign debt, there is no evidence for Granger causality among the time series examined here. Consequently, the risk premia required by investors to hold government bonds of one specific member country of the EMU do not help to forecast the risk premia that have to be paid by other countries. Given the structure of their liabilities, this empirical finding should be of high relevance for portfolio and risk managers in the European life insurance industry and in pension funds. With regard to the yield spreads to be observed in the market for 10-year government bonds, there seems to be no clear picture. Focusing on fixed income securities with a maturity of 5 years, there is one very interesting empirical finding. The test results reported here seem to imply that there is unidirectional Granger causality running from the yield spreads in all other four countries to Austria. Given that Austria is a comparably small country which is assumed to be in a fiscally stable position, this result could be interpreted as evidence for credit risk premia as being helpful to forecast liquidity risk premia in the market for medium-term government bonds issued by member states of the European Monetary Union.
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Thilaga, M., and K. Prabhakar Rajkumar. "Dynamic Comovement between Indian Commodity Futures, Economic Policy Uncertainty and Geopolitical Risk: Evidence from Wavelet Analysis." International Journal of Economics and Financial Issues 15, no. 1 (2024): 397–411. https://doi.org/10.32479/ijefi.17622.
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The present study examines the dynamic comovements between two global risk factors and commodity futures returns. The study considers the daily futures price of nine commodities spanning from January 4th, 2012 to September 29th, 2023. The study employs wavelet analysis and wavelet- based Granger causality tests to analyze dynamic comovement and causal relationship between global risk factors and commodity futures return at different time horizons. The study results show a strong comovement between the US economic policy uncertainty (USEPU) and commodity futures return except for silver and mentha oil. On the other hand, the geopolitical risk (GPR) exhibits a weak relationship with gold, lead, zinc, and energy commodities across all-time frequencies. Further, the Wavelet Granger causality test results provide strong evidence that commodities futures return cause the USEPU in all the time horizons. Followed by the geopolitical risk reports significant evidence that commodities futures return causes GPR in all time horizons.
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Onyele, Kingsley Onyekachi, Eberechi Bernadine Ikwuagwu, and Confidence Chinwe Opara. "Government Debt Sustainability and Investments in Nigeria: Trends and Risk Thresholds amidst Macroeconomic Swings." PanAfrican Journal of Governance and Development (PJGD) 4, no. 1 (2023): 18–52. http://dx.doi.org/10.46404/panjogov.v4i1.4481.
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The core idea behind government debt is to fund fiscal deficit, which is anticipated to drive economic investments. To a larger extent, this is not the case, as evidenced in the Nigerian context, where debt has risen so high with investment levels declining, thus questioning the government's ability to manage and sustain its debt to pursue vital investment needs. This study aimed to investigate the threshold effect of debt sustainability on investments amidst macroeconomic swings from 1981 to 2020. In this regard, the threshold autoregressive regression (TAR) was used because it gave information on the optimal threshold of debt sustainability that would attract investments. Also, the Granger causality test was carried out to show the direction of causality among the variables. This paper concentrated on debt service to revenue and total debt stock to GDP as debt sustainability measures while investment was decomposed into public, private, and foreign investments. The paper yields that, based on the multivariate TAR analyses, the main threshold variables, that is, debt service to revenue and total debt stock to GDP, had a non-linear relationship with public, private, and foreign direct investments amidst changes in macroeconomic variables such as exchange rate, inflation, and monetary policy rate. The threshold coefficient of debt service to revenue indicated that public and foreign direct investments declined during low thresholds while private investment increased. However, the opposite prevailed when debt service to revenue exceeded the threshold values. However, the Granger causality test showed that debt service to revenue Granger caused total debt stock to GDP and exchange rate Granger caused debt service to revenue ratio, implying that exchange rate swings could affect the government's ability to service debt which in turn explains the non-linear relationship between debt sustainability and investments. Hence, it was concluded that Nigeria's lack of debt sustainability was associated with revenue generation, which explains why the models did not follow a linear path.
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Danial, Rahmadiva Dianitha, and Brady Rikumahu. "PENGARUH VOLATILITAS NILAI TUKAR, IDR-USD TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA: PENERAPAN MODEL GARCH." Jurnal Riset Akuntansi dan Keuangan 14, no. 2 (2019): 95. http://dx.doi.org/10.21460/jrak.2018.142.327.
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Penelitian ini bertujuan untuk menguji pengaruh volatilitas return nilai Kurs IDR-USD terhadap volatilitas return pasar saham di Bursa Efek Indonesia. Dari pengambilan data sekunder dari 3 Januari 2012 hingga 29 September 2017 diperoleh data time series sebanyak 1404 hari. Data dianalisis dengan model GARCH dan Uji Granger Causality. Berdasarkan hasil permodelan GARCH(1,1), volatilitas kurs mempengaruhi volatilitas IHSG. Uji Granger Causality menunjukkan bahwa volatilitas kurs dan IHSG memiliki hubungan yang kausal dua arah. Penelitian ini menunjukkan bahwa informasi kurs dapat memprediksikan kondisi harga indeks saham di pasar modal di periode hari berikutnya, begitupun sebaliknya. Prediksi tepat yang dilakukan oleh investor akan mengurangi risiko dan meningkatkan imbal hasil dalam berinvestasi jika pasar uang maupun pasar modal yang sedang bergejolak. Kata Kunci: GARCH, Volatilitas, IHSG, Nilai Tukar ABSTRACT This study aims to examine the effect of the volatility of the return on the IDR-USD exchange rate toward the volatility of stock market returns in the Indonesia Stock Exchange. From the data collection from 3 January 2012 until 29 September 2017 we obtained 1404 time series. Analyzing data, this study used GARCH modeling and Granger Causality Test. The selected GARCH (1,1) modeling result shows that the volatility of exchange rate influences the volatility of Indonesian Composite Index. Granger Causality test shows that the volatility of exchange rate and volatility of Indonesian Composite Index have two-way granger cause. This study indicates that exchange rate information can predict the condition of stock price index in capital market and movement of Indonesian Composite Index (ICI) can predict exchange rate movement in foreign exchange market. Appropriate predictions by investors will reduce the risk and increase the yield in investing if the money market and capital markets are fluctuating high. Keywords: GARCH, Volatility, ICI, Exchange Rate
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Sibel, Celik. "Investor Sentiment and Sovereign Risk: Empirical Evidence from an Emerging Market." International Journal of Management Sciences and Business Research 2, no. 2 (2013): 01–08. https://doi.org/10.5281/zenodo.3404581.
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t:This paper aims to test the relationship between investor sentiment and sovereign risk in Turkey for the period 2004-2010. Our findings support that there is no cointegration, in other words long term relationship between investor sentiment and sovereign risk. In short run, we find causality relationship from investor sentiment and sovereign risk. The findings of the paper is important for Turkish government officials and market participants.
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Hakan Ergec, Etem, and Bengül Gülümser Kaytanci. "The causality between returns of interest-based banks and Islamic banks: the case of Turkey." International Journal of Islamic and Middle Eastern Finance and Management 7, no. 4 (2014): 443–56. http://dx.doi.org/10.1108/imefm-07-2014-0072.
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Purpose – This study aims to test whether the Islamic bank rate of returns are affected by the deposit rates of the interest-based bank in Turkey and whether they need to develop additional tools to manage it if they face an interest risk. Design/methodology/approach – This study tests the causality between the Islamic bank rate of returns and the time deposit interest rates between 2002 and 2010 in Turkey by use of the Granger Causality method based on monthly data. The same analysis is repeated with respect to the terms before and after 2006. Findings – It is concluded that for each term, the time deposit interest rates are the Granger cause of the Islamic bank rate of returns. This causality relation is more visible for the period after 2006. Originality/value – The results shows that the Islamic banks are sensitive to the interest-based bank interest rates in Turkey. Therefore, this finding suggests that these banks need to remain cautious vis-à-vis the interest rate risk.
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Tan, Chuie-Hong, and See-Nie Lee. "Investigating the Impact of International Tourist Arrivals on Economic Growth under Environmental Hazards in Malaysia." International Journal of Environmental Science and Development 13, no. 5 (2022): 189–94. http://dx.doi.org/10.18178/ijesd.2022.13.5.1392.
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Tourist receipts is a crucial determinant in Malaysian economic growth. However, environmental hazards due to climate change is perceived as potential threats to tourism. This paper aims to understand the effect of environmental hazards on the international tourist arrivals in Malaysia. Malaysian monthly data was analyzed using the linear regression approach to examine the tourism-led economic growth. Granger Causality Test is employed to test for directional cause analysis among variables. Overall results also show that an increase in environmental hazards that moderated with international tourist arrivals leads to a lower Malaysian economic growth in Malaysia. Meanwhile, better air quality boosts the number of international tourist arrivals, hence stimulates Malaysian economic growth. Granger causality results indicate that there exists a bidirectional cause between international tourist arrivals and climate change (temperature, and thunderstorm) but a unidirectional causality exists between international tourist arrivals and economic growth, carbon emission, air quality and rainfall, respectively. Effective mitigation of climate change needs to be implemented by the authorities to reduce the environmental risk.
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Tan, Zhongming, Frimpong Samuel, and Guoping Ding. "Impact of Financial Risk Indicators on Banks’ Financial Performance in Ghana." Business and Economic Research 9, no. 4 (2019): 23. http://dx.doi.org/10.5296/ber.v9i4.15575.
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This research is to study the impact of some financial risk indicators on fifteen selected commercial banks’ in Ghana. The indication from the augmented Dickey-Fuller unit root test results show that the data series after first difference at the first order achieved stationarity. The analysis of the data revealed the existence of significant long run relationship between bank financial performance and the variables of financial risk in the banking sector. The granger causality test results reveal that there is unidirectional causality flowing from the variables of financial risk This suggest that the indicators of financial risk strongly and actively stimulate and improve the financial performance of banks in Ghana. The study recommends that bank managers should improve on the management of all the indicators of financial risk variables in order to improve on the achievement of the objective of the firm.
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Jang, Yi, Kim, and Ahn. "Information Flow between Bitcoin and Other Investment Assets." Entropy 21, no. 11 (2019): 1116. http://dx.doi.org/10.3390/e21111116.
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This paper studies the causal relationship between Bitcoin and other investment assets. We first test Granger causality and then calculate transfer entropy as an information-theoretic approach. Unlike the Granger causality test, we discover that transfer entropy clearly identifies causal interdependency between Bitcoin and other assets, including gold, stocks, and the U.S. dollar. However, for symbolic transfer entropy, the dynamic rise–fall pattern in return series shows an asymmetric information flow from other assets to Bitcoin. Our results imply that the Bitcoin market actively interacts with major asset markets, and its long-term equilibrium, as a nascent market, gradually synchronizes with that of other investment assets.
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Ritu Tomar, Ritu Tomar. "The Relationship between Tourism, Financial Development and Economic Growth in MP." International Journal of Information Technology and Management 17, no. 1 (2024): 35–38. http://dx.doi.org/10.29070/x11xpa64.
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Tourism and economic growth in India from 1960 to 2014 are examined in this research, takinginto account the relative importance of financial development in that time period. It has been shown thatboth the long-term and short-term development of India's economy is enhanced by inbound tourism. Alsofound is a long-term one-way Granger causality between tourism and economic development.Furthermore, the outcomes of the Granger causality test indicated a one-way association between twovariables ranging from GDP growth to tourist development. The findings support the rise of economicdriventourism in MP.
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Paliwal, Sachit, and Shipra Saxena. "Interdependency between Indian and US market indices: A granger causality approach." BOHR International Journal of Finance and Market Research 2, no. 1 (2023): 33–38. http://dx.doi.org/10.54646/bijfmr.2023.18.
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The Granger causality model is used in the current study to analyze the short-run cause–effect relationship between two stock market indices between 2001 and 2021 using time series data of the daily closing prices of the BSE Sensex and S and P 500 indices listed in the Indian and US stock markets, respectively. The Granger causality model and the augmented Dickey–Fuller test for data stationarity were used in the study to examine the short-term causal link between two market indices during the time period. The outcomes demonstrated the connection between the Indian and US stock markets. The findings imply that both markets have a dynamic, bidirectional relationship. This study provides the investor’s essential inputs for investment decision-making and portfolio diversification. In the current era of globalization, the study is crucial because investors and fund managers now place a high priority on stock market integration. Through fund diversification across equity markets, this study subsequently makes it easier to reduce portfolio risk by providing useful insights on diversification strategies across the stock markets.
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Paliwal, Sachit, and Shipra Saxena. "Interdependency Between Indian and US Market Indices: A Granger Causality Approach." BOHR International Journal of Finance and Market Research 1, no. 1 (2021): 112–17. http://dx.doi.org/10.54646/bijfmr.018.
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The Granger causality model is used in the current study to analyze the short-run cause–effect relationship between two stock market indices between 2001 and 2021 using time series data of the daily closing prices of the BSE Sensex and S&P 500 indices listed in the Indian and US stock markets, respectively. The Granger causality model and the augmented Dickey–Fuller test for data stationarity were used in the study to examine the short-term causal link between two market indices during the time period. The outcomes demonstrated the connection between the Indian and US stock markets. The findings imply that both markets have a dynamic, bidirectional relationship. This study provides the investor’s essential inputs for investment decision-making and portfolio diversification. In the current era of globalization, the study is crucial because investors and fund managers now place a high priority on stock market integration. Through fund diversification across equity markets, this study subsequently makes it easier to reduce portfolio risk by providing useful insights on diversification strategies across the stock markets.
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Hasbullah, Endang Soeryana, Endang Rusyaman, and Alit Kartiwa. "THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX." International Journal of Quantitative Research and Modeling 1, no. 1 (2020): 18–28. http://dx.doi.org/10.46336/ijqrm.v1i1.3.
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The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.
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Sümer, Gökhan. "Time-varying Granger Causality between Industrial Production and Non-Performing Loans in Türkiye." Ekonomi Politika ve Finans Arastirmalari Dergisi 10, no. 1 (2025): 184–201. https://doi.org/10.30784/epfad.1615246.
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Banks play a crucial role in bridging fund suppliers and demanders, thereby facilitating economic development by channeling idle funds into the economy. For banks to effectively perform their functions, the financial transmission mechanism is essential. Non-performing loans (NPLs) significantly impact bank profitability, credit positions, and overall economic development. This study investigates the relationship between industrial production and non-performing loans in Turkey using a time-varying Granger Causality test. Monthly data from January 2005 to July 2024 was utilized to examine the interconnection between the industrial production index and non-performing loans. The research uniquely contributes to the existing literature by applying a sophisticated time-varying Granger Causality methodology, investigating the dynamic relationship between economic activity and credit risk, and providing insights into the temporal variations of industrial production and non-performing loans within the Turkish banking sector. Key methodological approaches include utilizing a recursive evolving window algorithm, employing bootstrap simulations to enhance estimation precision, and analyzing causal relationships through multiple computational techniques. Findings underscore the importance of adaptive risk management strategies and the need for flexible macroprudential policies capable of responding to the evolving economic landscape.
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Zheng, Qiuhong, and Liangrong Song. "Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks." Discrete Dynamics in Nature and Society 2018 (August 7, 2018): 1–13. http://dx.doi.org/10.1155/2018/9461870.
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A total of 156 Granger causal networks of stock markets are constructed by using the Granger causality test and time series sliding window based on stock index data of 34 major stock markets in the world from 2004 to 2017. The topological structures and evolution characteristics of the Granger causal networks are analyzed from the perspective of complex network theory. Empirical results demonstrate that the network topology has a significant difference during the global financial crisis and other periods. The causal relationships among different global stock markets exhibit a jump growth when each major crisis occurs. The contagion path is also short. A causal relationship between any two stock markets can usually be established with one stock market on average, not by using more than five stock markets. For risk contagion, the American stock markets exerted the largest influence in 12 years, followed by the European stock markets. Stock markets with high intermediate contagion ability play an important role in systemic risk contagion. Despite the crucial markets in Europe and America (e.g., USA, Brazil, and Mexico), stock markets with weak network correlation and strong media ability (e.g., the markets of Japan, Korea, Australia, and New Zealand) play a critical role in risk contagion.
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Azretbergenova, G. Zh. "The Interrelation between Stock Prices and the Exchange Rate in Kazakhstan." Economics: the strategy and practice 17, no. 2 (2022): 206–16. http://dx.doi.org/10.51176/1997-9967-2022-2-206-216.
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A strong economical link has arisen between stock markets and exchange rates as a consequence of increased capital flows between international financial markets. This correlation between stock returns and exchange rates is particularly intriguing for developing countries such as Kazakhstan, whose economies are quite sensitive to capital flows. In the evolving global financial system, comprehension of the correlation between exchange rates and stock prices is vital for policymakers and investors. Knowing this relationship enables the manager to manage risk effectively, contrariwise, it is applied by investors to predict future trends. However, economic and financial policymakers and regulators need to know the interrelation between conversion rate and asset prices, such as stock markets, in order to articulate respective policies. Nevertheless, there are plenty of empirical studies on the interrelation between exchange rates and the stock market in developed and developing countries. This correlation has not been explored in Kazakhstan. The purpose of this study is to explore the correlation between stock prices and exchange rates in Kazakhstan. The relationship between the variables was analyzed via Johansen Cointegration Test and the VECM model. Upon the results of the analysis, the presence of a long-term correlation between the variables is proved. According to the results of the causality test, the Granger exchange rate is the reason for stock prices in Kazakhstan. There is no causality from stock prices to exchange rates. The results of the study also have a guiding quality in guiding investment decisions for both equity market and foreign money exchange market investors.The null hypothesis that there is nocointegration connection between the variablesis rejected, according to the Trace and MaximumEigenvalue test data in Table 4. In other words,it has been established that the variables have along-term connection. Granger causality test basedon VAR model cannot be used when there is acointegration connection. The VECM (6) modelwill be estimated first, followed by the causalitytest. The results of the causality test predicted usingthe error correction model are presented in Table 5.The exchange rate is the Granger cause of stockprices in Kazakhstan, according to the findings ofthe causality test. There is no relationship betweenstock prices and currency rates.
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Černohorská, Liběna, and Darina Kubicová. "Risks and the influence of negative interest rates on economic activity: a case study of Sweden, Denmark, and Switzerland." Banks and Bank Systems 15, no. 1 (2020): 30–41. http://dx.doi.org/10.21511/bbs.15(1).2020.04.
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The purpose of this paper is to analyze the impact of negative interest rates on economic activity in a selected group of countries, in particular Sweden, Denmark, and Switzerland, for the period 2009–2018. The central banks of these countries were among the first to implement negative interest rates to revive the economic growth. Therefore, this study analyzed long- and short-term relationships between interest rates announced by central banks and gross domestic product and blue chip stock indices. Time series analysis was conducted using Engle-Granger cointegration analysis and Granger causality testing to identify long- and short-term relationship. The first step, using the Akaike criteria, was to determine the optimal delay of the entire time interval for the analyzed periods. Time series that seem to be stationary were excluded based on the results of the Dickey-Fuller test. Further testing continued with the Engle-Granger test if the conditions were met. It was designed to identify co-integration relationships that would show correlation between the selected variables. These tests showed that at a significance level of 0.05, there is no co-integration between any time series in the countries analyzed. On the basis of these analyses, it was determined that there were no long-term relationships between interest rates and GDP or stock indices for these countries during the monitored time period. Using Granger causality, the study only confirmed short-term relationship between interest rates and GDP for all examined countries, though not between interest rates and the stock indices. Acknowledgment&amp;nbsp;The paper has been created with the financial support of The Czech Science Foundation GACR 18-05244S – Innovative Approaches to Credit Risk Management.
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Shao, Liuguo, Saisha Cao, and Hua Zhang. "The impact of geopolitical risk on strategic emerging minerals prices: Evidence from MODWT-based Granger causality test." Resources Policy 88 (January 2024): 104388. http://dx.doi.org/10.1016/j.resourpol.2023.104388.
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Garg, Sonia, and Karam Pal Narwal. "Price Discovery and Volatility Spillover: An Empirical Analysis of Indian Futures-Spot Cardamom Markets." Journal of Commerce and Accounting Research 13, no. 2 (2024): 77–86. http://dx.doi.org/10.21863/jcar/2024.13.2.007.
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Price discovery and its related volatility spillover effect are significant indicators in commodity derivatives market to hedge the risk against sharp price fluctuations. This study empirically analyses the price discovery and volatility spillover using vector error correction model, Granger causality and bivariate exponential GARCH model (EGARCH) in Indian cardamom spot-futures markets. Daily time series data of spot market and near month futures contracts spanning the period from January 2009 to December 2020 have been used for the study. These price series data are based on the authenticated sources of Multi Commodity Exchange. The results of vector error correction model supported by Granger causality test indicates that spot market plays the role of leader as it is more efficient in reflecting the new information to prices. The results of bivariate EGARCH (1,1) model show that volatility spillover from cardamom spot market to futures market is dominant.
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Setyowati, Eny. "UJI KAUSALITAS GRANGER: INFLASI DAN PENGANGGURAN DI INDONESIA." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 4, no. 1 (2017): 1. http://dx.doi.org/10.23917/jep.v4i1.4012.
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Inflation and unemployment in Indonesia are specific problems which need government attention. To overcome inflation, we must understand first some factors causing the rise of inflation, before making a policy. In relation to inflation, the number of unemployment can be influenced via company where the employees where the employees work or via manpower market.In this article the writer carried out a causality test of the relation between inflation (I) and unemployment (11) using Granger test model. In this test the writer formulated that the current inflation variable value (It) connected to past inflation and past unemployment level. The writer also tested the variable of current employment level (Ut) where current employment level is influenced by past inflation and employment levels
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Matt, Zhou Ming, Wang Man Cang, and Ni Ming Ming. "Local Government Debt, a Time-Bomb for China’s Economy?" Journal of Finance Issues 14, no. 2 (2015): 64–74. http://dx.doi.org/10.58886/jfi.v14i2.2283.
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China's national audit office reported huge debt accumulated at all levels of local governments in recent years. This paper aims to explain the factors contributing to the local government debt in China with empirical study on the economic development data. The relationship of government debt and economic ratios is examined with the auto regressive linear equation constructed between the local government debt, fiscal income, GDP growth rate and CPI. Granger causality test is performed to find the granger cause of local government debt from previous year’s data. From the analysis, the risk of local government debt is evaluated from the global settings. Policy implications and suggestions are presented at the end.
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Lestari, Oky. "The Effects Energy Consumption, Export, GDP, and Import on Indonesia’s Emission of CO2." ASIAN Economic and Business Development 5, no. 1 (2022): 1–16. http://dx.doi.org/10.54204/aebd/vol5no1october2022001.
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The purpose of this study is to examine the connection between exports, imports, GDP, and energy consumption on Indonesia's CO2 emissions used the World Bank data. This research is a type of quantitative research using VAR (Vector Autoregression) estimation. The data used comes from secondary data in a time series from 1971-2014. The data analysis technique in this study used the Vector-Autoregression (VAR) method. The tests performed include the optimum lag, Granger causality test, cointegration test, stationary test, VAR stability test, Impulse Response Function, and Variance Decontamination test. This study found that an increase in economic activity, in general, will affect an increase in CO2 gas emissions, which is caused by the large energy consumption of the economy. The increase in CO2 emissions will cause climate change, thus causing environmental damage. The Granger causality test analysis demonstrates the exports no one has any effect on CO2 emissions.So with imports, there is also no causality to CO2. The VAR analysis test also explains that export and import activities have no significant effect on increasing CO2 because both variables' values are higher than with the t-statistics' values. So, international trade has no effect on increasing CO2 and environmental degradation. According to the study's findings, CO2 emissions can rise as a result of energy usage.
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Thuy Tien Ho, Nguyen Mau Ba Dang, and Ngo Thai Hung. "Oil Prices and Economic Growth in China: A Time-Frequency Analysis." Asian Academy of Management Journal 29, no. 1 (2024): 25–54. http://dx.doi.org/10.21315/aamj2024.29.1.2.
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This study analyses the inherent evolution dynamics of economic activity and global oil prices in China using the tools of wavelet and wavelet-based VAR-GARCH-BEKK model. Besides, the Wavelet-Granger causality test of Olayeni (2016) provides us further insights into the magnitude and direction of causal connectedness between oil prices and economic activity in China over time and across different frequencies simultaneously. We find that the spillover effects between China’s economic activity and global oil prices are time-varying in different time and frequencies in terms of direction and strength. More accurately, the prices and volatility spillovers between them are significant in the short and medium run but eventually neutral toward the long run. The Wavelet-Granger causality provides us further insights into the lead-lag relationships between oil prices and China’s economic activity from an economic perspective. The dynamic time-frequency association findings suggest crucial implications that might assist policymakers and other market participants in mitigating risk.
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Dalwai, Tamanna, and Mahdi Salehi. "Business strategy, intellectual capital, firm performance, and bankruptcy risk: evidence from Oman's non-financial sector companies." Asian Review of Accounting 29, no. 3 (2021): 474–504. http://dx.doi.org/10.1108/ara-01-2021-0008.
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PurposeThis research examines the influence of business strategy and intellectual capital on firm performance and bankruptcy risk of Oman's non-financial sector companies.Design/methodology/approachThe data comprises 380 firm-year observations collected from 2015 to 2019 for the non-financial sector companies listed on the Muscat Securities Market. This study measures business strategy using the Miles and Snow typologies and Porter's strategies as alternative measures. The study uses the Granger-causality test to measure the bi-directional causality between independent and dependent variables. The authors use alternative measurements of business strategy and 2SLS/IV estimation to validate the OLS results.FindingsAccording to the Miles and Snow typologies, most of Oman's non-financial firms were analyzers. The empirical results show a negative relationship between business strategy and return on equity (ROE), suggesting defender-type strategy leads to an increase in firm performance. The OLS results show no influence of A-VAIC on firm performance and Altman-Z score. The structural capital efficiency is positively associated with ROA, and Altman Z score consistent with the hypothesized relationship. The Granger causality test shows no inference of causality between any independent and dependent variables except for Z score and CEE.Research limitations/implicationsThe business strategy results from the firm performance and bankruptcy risk models are valuable to the researchers from an emerging market and non-financial companies' perspective. Oman's diversification strategy of its economic activities through non-financial sector companies receives an impetus through the findings of this study. As this study is limited to Oman's non-financial sector companies, future research on business strategy impact can be extended to the financial sector, other GCC, and emerging countries.Originality/valueThe findings of this study contribute to the sparse literature on business strategy in an emerging market like Oman. This study enriches the knowledge of business strategy typologies proposed by Miles and Snow, and Porter. It also contributes to the extant literature on firm performance and bankruptcy risk.
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Zhou, Sheunesu. "ANALYZING THE RELATIONSHIP BETWEEN DERIVATIVE USAGE AND SYSTEMIC RISK IN SOUTH AFRICA." EURASIAN JOURNAL OF ECONOMICS AND FINANCE 9, no. 4 (2021): 217–34. http://dx.doi.org/10.15604/ejef.2021.09.04.002.
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This paper analyzes the relationship between derivative usage and systemic risk in South Africa. We employ expected shortfall as a measure of systemic risk for the banking sector. The more flexible Toda-Yamamoto Granger non-causality test is used to find the direction of causality between the variables, and the ARDL estimation technique is employed to estimate the specified model. We also test for the existence of a long-run relationship amongst the variables using the Bounds test approach. We find that credit derivatives and bank credit extensions increase systemic risk in the long run. Moreover, the systemic risk decreases in bank liquidity and usage of equity derivatives. However, in the short run, we find that increases in bank liquidity tend to increase systemic risk. We interpret this to imply that improvements in liquidity cause banks to undertake riskier transactions. Furthermore, the market can also perceive central bank interventions to increase liquidity as a sign of worsening financial conditions. On the backdrop of these results, we recommend continuous monitoring of derivatives markets to avoid risk excesses that could pose threat to the whole financial system.