Search Results - subject:"Granger‐causality"

Who Leads the Australian Interest Rates in the Short and Long Run? An Application of Long Run Structural Modelling

Masih, A. Mansur M.; Winduss, Trent - In: Review of Pacific Basin Financial Markets and Policies … 09 (2006) 01, pp. 1-24

The focus of this paper is to test the cointegrating and Granger-causal relationships between Australian short-run interest rate securities and those of the UK, US, Japan, Hong Kong, Singapore and New Zealand. A relatively new methodology known as Long Run Structural Model (LRSM) (Pesaran and...

Persistent link: https://www.econbiz.de/10005047221

Turkiye'de Istikrarsiz Buyumenin Var Modelleri Ile Analizi (1991.1-2004.3)

Tari, Prof. Dr. Recep; Bozkurt, Asst. Prof. Hilal - In: Istanbul University Econometrics and Statistics e-Journal 4 (2006) 1, pp. 1-16

Unstable growth process has been observed in Turkish economy. This process has started 1980 and has increased after 1990. The aim of this study is to investigate resources of unstable growth. Quarterly data between 1991.1-2004.3 has been analysed. As a result of stationary review, variables have...

Persistent link: https://www.econbiz.de/10005070168

Financial Developent and Economic Growth Nexus: Time Series Evidence from Middle Eastern and North African Countries

Abu-Bader, Suleiman; Abu-Qarn, Aamer - Economics Department, Ben Gurion University of the Negev - 2006

autoregressive (VAR) framework. We employ four different measures of financial development and apply Granger causality tests using … cointegration was detected, Granger causality was either bidirectional or it ran from output to financial development. …

Persistent link: https://www.econbiz.de/10005597103

Determinants of business cycles in small scale macroeconomic models: the German case

Maussner, Alfred; Spatz, Julius - In: Empirical Economics 31 (2006) 4, pp. 921-950

Persistent link: https://www.econbiz.de/10005613006

The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market

Allen, Linda; Gottesman, Aron - In: Journal of Financial Services Research 30 (2006) 1, pp. 5-42

Persistent link: https://www.econbiz.de/10005715840

VECTOR AUTOREGRESSION EVIDENCE ON MONETARISM: A FOCUS ON SOME DEVELOPING ECONOMIES IN SOUTH ASIA

AHMED, MUDABBER; RAO, U. L. G. - In: The Singapore Economic Review (SER) 51 (2006) 01, pp. 53-66

Structural Vector Autoregressive (SVAR) model is developed and the objective is accomplished by conducting Granger causality …

Persistent link: https://www.econbiz.de/10005050735

A bootstrap-corrected causality test: another look at the money–income relationship

Hatemi-J, Abdulnasser; Irandoust, Manuchehr - In: Empirical Economics 31 (2006) 1, pp. 207-216

Persistent link: https://www.econbiz.de/10005166700

Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets

Serletis, Apostolos; Shahmoradi, Akbar - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3, pp. 1341-1341

In this paper we specify and estimate a multivariate GARCH-M model of natural gas and electricity price changes, and test for causal relationships between natural gas and electricity price changes and their volatilities, using data over the deregulated period from January 1, 1996 to November 9,...

Persistent link: https://www.econbiz.de/10005246250

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

Yu, Jun; Meyer, Renate - In: Econometric Reviews 25 (2006) 2-3, pp. 361-384

multivariate SV models, including the specifications with Granger causality in volatility, time-varying correlations, heavy …

Persistent link: https://www.econbiz.de/10009228571

The Twin Deficits Phenomenon in Some MENA Countries

Samadi, Ali Hossein - In: Iranian Economic Review 11 (2006) 2, pp. 129-140

these variables will be analyses in short and long run by using Johansen co-integration tests, ECM, and Granger causality …

Persistent link: https://www.econbiz.de/10010688384