scholarly journals Do Stock Markets Have Any Impact on Real Economic Activity?

2016 ◽  
Vol 64 (1) ◽  
pp. 283-290
Author(s):  
Kateřina Krchnivá
Keyword(s):  
Stock Markets ◽  
Economic Activity ◽  
Granger Causality Test ◽  
The Other ◽  
Causality Test ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
The Real ◽  
The Relationship ◽  
Constant Prices

There is no doubt about the existence of connection between the stock markets and the real economic activity. Many researchers indicated that the stock markets causally affect the economic activity with the lag of three months. Contrary, the other group of researchers suggested, that these relationships are reversal, moreover some of them concluded that these relationships are reciprocal. The paper analyses the relationship between the stock markets and the economic activity in seven countries with the research objective to identify these relationships in relation of cause and effect. As the proxy of the stock markets are stock indices considered, while the economic activity is expressed by the Gross Domestic Product at constant prices. The correlation analysis and the Granger causality test applied on suggested vector autoregressive models are employed for the research in the paper. The paper concludes that stock markets may be considered as the significant predictor of the real economic activity with the lag of one quarter, however, there is no reciprocal links between them.

A Study on Liaoning Ports Competition and Cooperation

2011 ◽  
Vol 181-182 ◽  
pp. 1050-1053 ◽  
Author(s):  
Jin Lin Ma ◽  
Li Juan Qian
Keyword(s):  
Granger Causality Test ◽  
The Other ◽  
Causality Test ◽  
Competition And Cooperation ◽  
Vector Auto Regression ◽  
Cooperation Relationship ◽  
Dalian Port ◽  
Relationship Of ◽  
The Relationship ◽  
Auto Regression

Relationship of competition and cooperation among ports is a hot point in studying ports relationship. The purpose of this paper is to investigate the competition and cooperation relationship among Liaoning ports. This paper applies the Vector Auto-Regression Model for analyzing the relationship. According to the modeling, it is found that Dalian Port competes with Yingkou Port and Jinzhou Port, while cooperates with Dandong Ports. From the Granger Causality test, it shows that Dalian Port causes the other three ports.

ANALISIS KETERKAITAN ANTAR KELOMPOK PENGELUARAN INFLASI MENGGUNAKAN VECTOR AUTOREGRESSIVE MODEL

2021 ◽  
Vol 2 (1) ◽  
pp. 14-27
Author(s):  
I GUSTI BAGUS NGURAH DIKSA
Keyword(s):  
Granger Causality ◽  
Financial Services ◽  
Granger Causality Test ◽  
Processed Food ◽  
Vector Autoregressive Model ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Endogenous Variables ◽  
Stationarity Test ◽  
The Relationship

In this study, testing steps were carried out, namely the stationarity test, determining the optimum lag, hypothesis testing and the formation of the VAR model, the Granger causality test and classical assumptions. The data used are month to month inflation data for each inflation expenditure group in Indonesia for the period January 2013 to December 2019. The inflation expenditure group is foodstuffs; processed food, beverages, cigarettes and tobacco; housing, water, electricity, gas and fuel; clothing; health; education, recreation and sports; and transportation, communication, and financial services. However, in this study only five inflation expenditure groups were used, namely foodstuffs; processed food, beverages, cigarettes and tobacco; housing, water, electricity, gas and fuel; clothing; as well as transportation, communication and financial services. The purpose of this study is to analyze the relationship between inflation expenditure groups and to find a forecasting model for inflation expenditure groups in Indonesia. After the Granger causality test was carried out, all probability values between endogenous variables, namely the five groups of inflation expenditures were less than 0,05 or rejected H0. Therefore, it can be concluded that there is a causal relationship between endogenous variables.

scholarly journals The Nature of the Relationship between GDP and Energy Consumption in Saudi Arabia

2019 ◽  
Vol 14 (7) ◽  
pp. 28
Author(s):  
Mohamed Noureldin Sayed ◽  
Mahmoud M. Hussein Alayis
Keyword(s):  
Saudi Arabia ◽  
Energy Consumption ◽  
Causal Effect ◽  
Granger Causality Test ◽  
The Other ◽  
Causality Test ◽  
East Region ◽  
The One ◽  
The Relationship ◽  
Middle East Region

This paper aims to explain the relationship between Gross Domestic Product (GDP) and energy consumption in Saudi Arabia; this is one of the most important emerging markets in the Middle East region. Moreover, this paper uses the Granger Causality test, to investigate over the period from 1970 to 2014 the nature of the co-integration between the variables of GDP and energy consumption. This is done to find out the direction of the relationship between GDP and energy consumption in Saudi Arabia. In this regard, we have come to the conclusion that, on the one hand, Saudi Arabia’s GDP has no causal effect on the country’s energy consumption. However, on the other hand, Saudi Arabia’s energy consumption has a causal effect on the country’s GDP.

Is tracking and modeling Covid-19 infection dynamics for Bangladesh using daily data feasible? (Preprint)

2020 ◽  
Author(s):  
Karar Zunaid Ahsan ◽  
Rashida Ijdi ◽  
Peter Kim Streatfield
Keyword(s):  
Test Results ◽  
Infection Rates ◽  
Causality Test ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Daily Number ◽  
Infection Dynamics ◽  
Daily Data ◽  
Daily Change ◽  
Testing Coverage

UNSTRUCTURED Given the low Covid-19 testing coverage in the country, this study tested whether the daily change in the number of new Covid-19 cases is due to increase (or decrease) in the number of tests done daily. We performed Granger causality test based on vector autoregressive models on Bangladesh case and test numbers between 8 March and 5 June 2020, using publicly available data. The test results show that the daily number of tests Granger-cause the number of new cases (p <0.001), meaning the daily number of new cases is perhaps due to an increase in test capacity rather than a change in the infection rates. From the results of this test we can infer that if the number of daily tests does not increase substantially, data on new infections will not give much information for understanding covid-19 infection dynamics in Bangladesh.

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

scholarly journals INTER-RELATIONSHIP BETWEEN THE HOUSING MARKET AND HOUSING FINANCE SYSTEM: EVIDENCE FROM MALAYSIA

2014 ◽  
Vol 18 (2) ◽  
pp. 138-150 ◽  
Author(s):  
Rosli Said ◽  
Alaistair Adair ◽  
Stanley McGreal ◽  
Rohayu Majid
Keyword(s):  
Housing Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Housing Finance ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Finance System

The Malaysian housing market and associated housing finance system have expanded significantly as a result of rapid urbanisation since the late 1980s. The key aspect of this paper is to analyse the inter-relationship between the housing market and housing finance system in Malaysia. The paper employs Vector Autoregressive approach and Granger Causality test to empirically investigate this inter-relationship. In Malaysia, no housing studies has actually looked into or used this approach to identify the inter-relationship between these two elements. The key findings show that there is a strong inter-relationship between the housing market and housing finance system. The direction of causality shows that there is a bi-directional relationship between the housing market and housing finance system. These inter-relationships provide evidence that sound performance of the sub-markets within the housing finance system is a determinant prerequisite of the robustness of the housing finance system, if a healthy performance of the housing market is to be achieved.

PENGUJIAN WAGNER'S LAW VERSUS KEYNESIAN HYPOTHESIS: PENDEKATAN REGIONAL INDONESIA

2021 ◽  
Vol 2 (2) ◽  
pp. 181-193
Author(s):  
Esti Pasaribu ◽  
Septriani Septriani
Keyword(s):  
Government Expenditure ◽  
Granger Causality Test ◽  
Empirical Theory ◽  
Causality Test ◽  
Wagner’S Law ◽  
Long Run ◽  
Wagner's Law ◽  
The Government ◽  
The Relationship ◽  
Positive Effect

In this paper, we tested the Wagner’s Law against the Keynesian Hypothesis for Indonesia using granger causality test. After conducting theoretical and empirical theory, this paper is analysing the relationship between government expenditure and GDP percapita. The long run parameters and causality test found valid Wagners’ Law in Indonesia not Keynesian Hypothesis. The results reveal a positive and statistically significant long run effect running from economic growth toward the government expenditure refer to Wagner’s Law in Indonesia. Further more, the growth of population is giving a positive effect for government expenditure also.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

Wired for Warmth

2012 ◽  
Vol 2 (3) ◽  
pp. 17-28
Author(s):  
Alan E. Singer
Keyword(s):  
Ethical Behavior ◽  
The Other ◽  
Computer Engineering ◽  
Top Down ◽  
Moral Consciousness ◽  
Bottom Up ◽  
The Real ◽  
Moral Agents ◽  
Artificial Moral Agents ◽  
The Relationship

An aspect of the relationship between philosophy and computer engineering is considered, with particular emphasis upon the design of artificial moral agents. Top-down vs. bottom-up approaches to ethical behavior are discussed, followed by an overview of some of the ways in which traditional ethics has informed robotics. Two macro-trends are then identified, one involving the evolution of moral consciousness in man and machine, the other involving the fading away of the boundary between the real and the virtual.

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