Search Results - subject:"Nonlinear Granger causality"

A Bivariate Linear and Nonlinear Causality between Stock Prices and Exchange Rates

Kumar, Manish - In: Economics Bulletin 29 (2009) 4, pp. 2884-2895

study also uses linear and nonlinear granger causality tests after removing the volatility dependence from the series to … granger causality between stock index and exchange rate is investigated by using bivariate noisy Mackey Glass model. The … empirical evidence suggests that there is no long-run relationship; however, there is bidirectional linear and nonlinear granger …

Persistent link: https://www.econbiz.de/10008563133

Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Economics letters 132 (2015), pp. 13-17

Persistent link: https://www.econbiz.de/10011422757

On the relationship between oil and gold before and after financial crisis : linear, nonlinear and time-varying causality testing

Bampinas, Georgios; Panagiōtidēs, Theodōros - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 657-668

Persistent link: https://www.econbiz.de/10011431059

Linear and nonlinear Granger causality investigation between carbon market and crude oil market : a multi-scale approach

Yu, Lean; Li, Jingjing; Tang, Ling; Wang, Shuai - In: Energy economics 51 (2015), pp. 300-311

Persistent link: https://www.econbiz.de/10011564853

Testing for Nonlinear Granger Causality in the Price-Volume Relations of Taiwan's Stock and Foreign Exchange Markets

Chen, Shyh-Wei; Chen, Chun-Wei - In: Journal of Economics and Management 2 (2006) 1, pp. 21-51

into account. We employ the nonlinear Granger causality test, championed by Hiemstra and Jones (1994), to detect the …

Persistent link: https://www.econbiz.de/10008555946

Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics

Henry, Olan T.; Olekalns, Nilss; Suardi, Sandy - Department of Economics, Faculty of Business and Economics - 2005

Evidence suggests that short-term interest rate volatility peaks with the level of short rates, while equity volatility responds asymmetrically to positive and negative shocks. We present an LM based test that distinguishes between level effects and asymmetry in volatility which is robust to the...

Persistent link: https://www.econbiz.de/10005458680

The interdependence between energy consumption and economic growth in the Polish economy in the last decade

Gurgul, Henryk; Lach, Łukasz - In: Managerial Economics 9 (2011), pp. 25-48

The main aim of this contribution is an analysis of the causal relationship between the total energy consumption in the Polish economy and GDP. In order to assure the correetness of computations a third variable - employment - was included in the dataset. Calculations performed on the basis of...

Persistent link: https://www.econbiz.de/10010820346

On the nonlinear causality between inflation and inflation uncertainty in the G3 countries

Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Cakan, Esin - In: Journal of Applied Economics XIV (2011) November, pp. 269-296

the UK by employing linear and nonlinear Granger causality tests for the 1957:01-2006:10 period. Using a generalised … from the linear and nonlinear Granger causality tests indicate a bidirectional causality between the series. The estimates …

Persistent link: https://www.econbiz.de/10010616584

Impact of hard coal usage for metal production on economic growth of Poland

Lach, Łukasz - In: Managerial Economics 9 (2011), pp. 103-120

This study provides an analysis of causal links between GDP and usage of hard coal in production of metals in Poland. In order to assure the correctness of computations a third variable - employment - was included in the dataset. Linear and nonlinear dynamic interactions were investigated for...

Persistent link: https://www.econbiz.de/10010721929

Multivariate linear and nonlinear causality tests

Bai, Zhidong; Wong, Wing-Keung; Zhang, Bingzhi - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 1, pp. 5-17

bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in …

Persistent link: https://www.econbiz.de/10010749374