The Asymmetric Granger Causality between Banking-Sector and Stock-Market Development and Economic Growth in Quantile Considering Fourier

Using the asymmetric causality test and bootstrap procedure in combination with quantile VAR and Fourier function, in this study, we examine the simultaneous causation between both measures of financial development and economic growth. Expectedly, our findings of asymmetric Quantile VAR Granger causality present that bank-based development is better at raising long-term economic growth in Germany and Japan and that stock-based development is more likely to drive economic output in the U.K. and the U.S. Asymmetric Granger causality is adopted since positive or negative shocks can exhibit diverse causal effects