scholarly journals Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test

2021 ◽  
Author(s):  
Massimiliano Caporin ◽  
Michele Costola
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Time Varying ◽  
Oil Markets ◽  
Causality Tests ◽  
Granger Causality Tests

Time-varying Granger causality tests for applications in global crude oil markets

2014 ◽  
Vol 42 ◽  
pp. 289-298 ◽  
Author(s):  
Feng-bin Lu ◽  
Yong-miao Hong ◽  
Shou-yang Wang ◽  
Kin-keung Lai ◽  
John Liu
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Time Varying ◽  
Oil Markets ◽  
Causality Tests ◽  
Granger Causality Tests

scholarly journals Modeling Nonlinear Granger Causality and Co-Integration Between Gold Price Returns and Crude Oil Price Returns

2018 ◽  
Vol 14 (2) ◽  
pp. 105-116
Author(s):  
Nawaz Ahmad ◽  
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Oil Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Long Run ◽  
Gold Market ◽  
Oil Markets ◽  
Causality Tests ◽  
Multiplicative Effects

To model the nonlinear analysis of commodities, Gold market and crude oil market have importance to test their lead and lag price mechanism between the two. For this purpose, the log transformation has been done to calculate easier multiplicative effects. However, to record the dynamic effects of long run cointegreation model applied and tested to find the significance of the problem statement issues. Furthermore, granger causality approach also uses to examine the fundamental linkages between Gold Prices and Crude Oil prices. Meanwhile, the study of Gold markets and oil markets gained popularity among development economists during in last some decades. And try to find out stochastic relationship between the two nonlinear markets. The academic practitioners paved their efforts to run casual time series models in order to find out the robust results which help the economists and financial experts to drive the industry indicator in positive way. This study confirmed that there is cointegration between the two important indicators of large market commodities i.e Gold and crude oil and also casual interactions. Pairwise Granger Causality Tests concluded that Gold Prices return has Granger Cause on Oil Prices return in the long run and if the βeta change in the prices of gold may affect on the prices of crude oil in the long run.

scholarly journals The co-movement and asymmetry between energy and grain prices: Evidence from the crude oil and corn markets

Energies ◽  
2019 ◽  
Vol 12 (7) ◽  
pp. 1373 ◽  
Author(s):  
Chen ◽  
Wang ◽  
Zhang ◽  
Zheng
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Price Change ◽  
Oil Price ◽  
Oil Market ◽  
Non Linear ◽  
Causality Tests ◽  
Causality Relationship ◽  
Granger Causality Tests ◽  
Grain Prices

This paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that there is a consistent trend between the crude oil price and corn price with a significant positive correlation coefficient 0.7471 during the sampling period, from January 2008 to February 2016. In addition, we find that there is a long-run equilibrium relationship between the two commodities’ prices. Moreover, while linear Granger causality tests suggest that there is a two-way Granger causality relationship between the price changes in the two markets, non-linear Granger causality tests suggest that there is only a one-way causality relationship from corn to oil price. However, both linear and non-linear Granger causality tests indicate the asymmetry of causality relationship between the two markets (the price change in corn market can more significantly Granger cause the change in crude oil market). Further analysis suggests that the contribution of the corn market to price discovery in a large commodity market is larger than that of the crude oil market.

scholarly journals Do Operating Profits Induce a Wage Premium Equally Shared among Employees Earning High or Low Incomes?

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 81
Author(s):  
Jarle Aarstad ◽  
Olav A. Kvitastein
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Wage Inequality ◽  
Wage Premium ◽  
Wage Increase ◽  
Low Incomes ◽  
Causality Tests ◽  
Granger Causality Tests

Panel data show that between 2001 and 2014 Norwegian industries’ increasing aggregated operating profits per employee increased average wages and wage inequality. The data imply that increasing profits, perhaps unsurprisingly, induce a wage premium. The data further imply that employees earning high incomes at the outset had the highest wage increase percentage-wise. Decreasing operating profits per employee had opposite but less robust effects on average wages and wage inequality. Panel data Granger causality tests finally showed that average wages, but not wage inequality, reversely and positively affect operating profits per employee.

scholarly journals Sars-Cov-2 in Argentina: Lockdown, Mobility, and Contagion

2020 ◽  
Author(s):  
Juan M.C. Larrosa
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Random Effects ◽  
Social Costs ◽  
Political Discussion ◽  
Fixed And Random Effects ◽  
The World ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Over Time

AbstractThere is a debate in Argentina about the effectiveness of mandatory lockdown measures in containing COVID-19 that lasts five months making it one of the longest in the World. The population effort to comply the lockdown has been decreasing over time given the economic and social costs that it entails. We contributes by analyzing the Argentinian case through information of mobility and contagion given answers to recurrent questions on these topics. This paper aims to fill the gap in the literature by assessing the effects of lockdown measures and the regional relaxation on the numbers of rate of new infections. We also respond to issues of internal political discussion on regional contagion and the effect of marches and unexpected crowd events. We use pool, fixed and random effects panel data modeling and Granger causality tests identifying relations between mobility and contagion. Our results show that lockdown in Argentina has been effective in reducing the mobility but not in way that reduces the rate of contagion. Strict lockdown seems to be effective in short periods of time and by extend it without complementary measures loss effectiveness. Contagion rate seems to be discretely displaced in time and resurging amidst slowly increasing in mobility.

scholarly journals Drivers of Greek and Turkish Defense Spending

2016 ◽  
Vol 51 (1) ◽  
pp. 33-46 ◽  
Author(s):  
Grzegorz Waszkiewicz
Keyword(s):  
National Security ◽  
Granger Causality ◽  
Statistical Data ◽  
Causal Relation ◽  
Middle Eastern ◽  
Defense Spending ◽  
Causality Tests ◽  
Military Expenditures ◽  
Granger Causality Tests ◽  
Political Economic

Abstract This paper evaluates the factors responsible for maintaining substantial military expenditures in Greece and Turkey. The presented research encompasses theoretical and empirical aspects. First, defense spending by both countries was analyzed based on statistical data from international sources. Next, the theoretical determinants of budgetary spending are reviewed, which consider political, economic and military factors behind high expenditures on the army in Greece and in Turkey. Finally, Granger causality tests is applied to determine whether a causal relation between variables exists in the case of these two countries. We conclude that defense expenditures in Greece and Turkey exceed the NATO average, but are relatively low relative to those of selected Middle Eastern countries. Our results indicate that high military spending level in Turkey is mainly driven by national security concerns, whereas an economic driver prevails in Greece.

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