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Showing 1 to 20 of 178 for “"Granger Causality"”.
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GRANGER CAUSALITY RELATIONSHIPS BETWEEN DOMESTIC AND EUROCURRENCY MONEY MARKETS
<p>This paper presents a Granger causality study of the relationship between domestic and Eurocurrency money markets denominated in various currencies. The markets examined are those denominated in the U.S. dollar, British sterling, German deutsche mark, French franc and Japanese yen. The period …
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Fundamental problems in Granger causality analysis of neuroscience data
Granger causality methods analyze the flow of information between time series. The Geweke measure of Granger causality (GG-causality) has been widely applied in neuroscience because its frequency-domain and conditional forms appear well-suited to highly-multivariate oscillatory data. In this work, …
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Determinants of GDP: A VECM Forecasting and Granger Causality Analysis for Eight European Countries
This paper investigates the short-run and long-run causal relationships that may exist between a set of variables that are selected to proxy for components of expenditure based GDP for eight European countries, namely Cyprus, France, Germany, Greece, Ireland, Italy, Portugal, and Spain. Due to the …
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Applications of Granger Causality to Magnetoencephalography Research, Short Trial Time Series Analysis, and the Study of Decision Making
Causality analysis is an approach to time series analysis that is being used increasingly to investigate neuroimaging data. The reason for its popularity is the useful perspective it provides in describing the ordered operations of various brain regions using indirectly and passively measured …
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A Short Window Granger Causality Approach to Identify Brain Functional Pattern Associated with Changes of Performance Induced by Sleep Deprivation
… trials of fMRI data into consecutive windows, Granger causality was applied based on short trials of fMRI data. This procedure helped to calculate pairwise causal influences with respect to time-varying property in brain causal interaction. Causal influence results were then averaged across …
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Detecting macroeconomic impacts on agricultural prices and export sales: a time series forecasting approach
… sales is assessed based on the principle of Granger causality. An out-of-sample forecasting procedure is used to conduct tests for Granger causality from the exchange rate to agricultural prices and export sales. Technical time series issues such as stationarity, the method of lag-length …
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Leading the Economy: Do both the banking sector and stock market development independently lead economic activity in South Africa? Evidence from South Africa using Granger-causality tests
… on the JSE into account, and examines causality between the All-Share index, the Industrial index, the Resources index and the Financial index against GDP and the index of Industrial Production (IIP) using the test proposed by Granger (1969). For the banking sector development analysis, …
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An Analysis of the Finance Growth Nexus in Nigeria
… Lag approach as well as a short and long run Granger Causality test on time series data spanning from 1960-2016. Empirical results reveal that the financial development indicators have a long run relationship with economic growth in Nigeria and the existence of unidirectional and bidirectional …
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An analysis of economic growth, energy consumption and carbon emissions:the case of Zambia
… on examining the long run relationship and granger causality between economic growth, carbon emissions, energy consumption, in Zambia from 1980 to 2017. The study employs Johansen cointegration technique, Vector error correction model (VECM), error correction-based granger causality and …
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An analysis of economic growth, energy consumption and carbon emissions:the case of Zambia
… on examining the long run relationship and granger causality between economic growth, carbon emissions, energy consumption, in Zambia from 1980 to 2017. The study employs Johansen cointegration technique, Vector error correction model (VECM), error correction-based granger causality and …
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An investigation of the relationship between trade openess and economic growth in Namibia
… techniques such as unit root, co-integration, Granger-causality, impulse response function and forecast error variance decomposition. The Johansen co-integration analysis and Vector Auto-regression Model (VAR) are used in estimating the long run relationship between trade openness and economic …
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Examining the causal relationship between private sector credit extended and economic growth in Namibia
… variables used to examine long run relationship. Granger causality tests established the direction of the relationships between the variables. The results revealed a stable long run relationship between economic growth, and credit extension, with economic growth being the dependent variable. The …
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An analysis of the causal relationship between agricultural exports and economic growth in Namibia
This paper investigates the Granger causality between agricultural exports and economic growth in Namibia over the period 1998 – 2016. The study used the simple pairwise Granger causality to determine the existence of such a relationship. An Augmented Dickey-Fuller (ADF) test was used to test for …
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The relationship between derivatives, portfolio flows and economic growth: Evidence from South Africa
… model was used in addition to conducting Granger causality, impulse response functions and variance decomposition tests to analyse the relationship between the factors of interest. The efficiency of the model was established using standard diagnostics, which confirmed the overall …
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Telecommunications development and economic growth in Namibia
… Lags (ARDL) bound test techniques and the Granger causality test based on secondary data obtained from the World Data Indicators (WDI), covering the period between 1995 and 2020. The results found no evidence of a long-run relationship between the telecommunications variables and economic …
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An examination of the impact of education on economic growth in Namibia
… to carry out the study. The study also uses the Granger Causality test. In particular the research main objective is to investigate the relationship between education and economic growth. The findings indicate that RGDP and GFCF variables were stationary in levels while EDU was found to be …
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The relationship between financial development and economic growth in China : theory, empircal evidence and policy implications
… of 10 years has also been established to explore Granger-causality tests of the financial development and economic growth linkages. The main findings of the research are that at first China's economic growth is driven by the quickly accumulated capital stock attributed to the rapid increase of …
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Analysis of the effect of oil subsidy withdrawal on the economic growth of Nigeria
… Decomposition, Impulse Response Function and Granger Causality tests to assess the effect of price deregulation through gradual subsidy withdrawal in the downstream oil sector of Nigeria on four macroeconomic variables which are; GDP, Inflation, Unemployment and Minimum wage. The research …
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The effect of fintech on banking performance in South Africa.
… Distributed Lag (ARDL) model and the Granger Causality test to inform the investigation. ARDL model helped the researcher to establish whether FinTech firm presence has a significant directional relationship with the determinants of performance in the banking sector. The Granger …
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The Causal Relationship between Financial Development and Economic Growth in Tanzania 1980-2010
… vector error correction model (VECM) technique. Granger causality test was applied to the variables to test for the direction of causation between variables. The study uses annually data for the period of 1980 to 2010. Economic growth is proxied by gross domestic product (GDP), and financial …
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