Frequency Domain Causality Test Research Articles

Some Theoretical and Simulation Results on the Frequency Domain Causality Test

Breitung and Candelon (2006) in Journal of Econometrics proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the noncausality hypothesis is tested at a frequency close to 0 or pi. This paper examines whether or not these results indicate their procedure is useless at such frequencies.

Interest Rates and Exchange Rate Relationship in BRIC-T Countries

This study examines the dynamic relationships between the real exchange rate and the real interest rate in the BRIC-T (Brazil, Russia, India, China and Turkey) countries by employing monthly data from the beginning of flexible exchange rate regime to July 2011. For this aim, non-linear causality test and frequency domain causality test approaches are used. According to frequency domain causality test results, interest rate affects exchange rate in only China and this effect exist only in the long run. On the other hand, exchange rate shocks induce changes in interest rate in the shorter period.

The Nexus between Natural Gas Spot and Futures Prices at NYMEX: What about Non-Linear Causality?

The existence of non-linear dynamics in the prices of financial commodities is an endemic feature and one of the most fundamental stylized facts in the literature. This study, conditioning on weather shocks, investigates the nature of the existing predictive power between natural gas spot and futures prices with one-month maturity at the NYMEX market. By implementing successively, before and after a first-moment filtering, a frequency domain causality test [Breitung J., Candelon B., 2006. Testing for short- and long-run causality: a frequency domain approach. Journal of Econometrics 132, 363-378], we corroborated a unidirectional non-linear forecasting ability in low frequencies that runs from the short maturity futures market towards the spot market.

The effectiveness of an adhesively bonded composite patch repair as applied to a transport aircraft lower with skin : Ruschau, J.J. and Coate, J.E. Society for the Advancement of Material and Process Engineering, 1161 parkview Drive, P.O. Box 2459, Covina, CA 91722, Uf.S.A. 1996. 532–543 Conference: Materials and Process Challenges: Aging Systems. Affordability, Alternative Applications. Vol. 41-I, Anaheim, CA, U.S.A.

Thailand's Nationally Determined Contribution (NDC) intends to minimize CO2 emissions by 20–25%. Similarly, to focus on achieving the Paris Agreement's long-term target of remaining well below 2 °C, aggressive mitigation steps are necessary beyond 2030. Given the importance, the study examines the impact of energy depletion rate, renewable energy consumption, depletion rate of non-renewable energy, and GDP on CO2 emissions in Thailand from 1980 to 2018. The research using a novel dynamic ARDL simulations model [1] and frequency domain causality (FDC) test. The empirical outcomes indicate that the pace of depletion has a significant adverse impact on CO2 emissions both in the long run and short run. Additionally, we found that renewable energy has a negative and statistically significant impact on CO2 emissions in the short run. However, the depletion rate of non-renewable energy and GDP revealed a positive and statistically substantial effects on CO2 emissions in the short and long run. Also, the FDC test confirmed the short, medium, and long-run causality among DR, RE, DRNRE, and CO2 emission. The findings show that without a radical shift in Thailand's economic environment and energy infrastructure, the nation will have to face high costs in decreasing its CO2 emission.