Panel Granger Causality Analysis Research Articles

Infant Mortality, Education and Financial Development: Evidence from World Level Data Using Heterogeneous Panel Granger Causality Analysis

Education and financial development are crucial factors in achieving better health, including the reduction of infant mortality. This article investigates the causal relationship between education, financial development and infant mortality rate using annual data for 81 countries for the period 1980–2015 and employing the Emirmahmutoglu and Rose (2011) Granger causality test procedure for heterogeneous mixed panels. The results show that, individually and jointly, education and financial development Granger cause infant mortality in some countries across the major regions of the world. This suggests that improved education and a developed financial system are likely to reduce the infant mortality rate. JEL Codes: C33; E25; I

A bootstrap dynamic multivariate panel Granger causality analysis to examine the relationship between the COVID-19, Delta and Omicron pandemic era and the maritime shipping freight industry

This work applies a bootstrap multivariate panel Granger causality test to examine the causal relationship between the coronavirus disease 2019, Delta and Omicron pandemic eras and the maritime shipping freight industry across 15 Chinese marine transportation freight stocks through the data from Jannuary 23, 2020 to December 6, 2022. After accounting for both dependency and heterogeneity across these industries, we find support for six of the 15 maritime shipping freight enterprises which display a unidirectional Granger relationship between stock returns and pandemic-related shocks and five of them which demonstrate a bidirectional association. On the other hand, the stock values of three firms in this cohort Granger “lead” the epidemic, suggesting that the adjustment of expectations to external shocks and the efficient market hypothesis could elucidate apparent causal connections. The empirical findings of this work provide important policy implications for the maritime shipping freight industry.

Liquidity, Leverage and Firm Value Nexus of Banks Listed on the Ghana Stock Exchange: A Panel Granger Causality Analysis

This study aims to examine the linkage among liquidity, leverage, and firm value. The study employed panel data from listed banks on the Ghana Stock Exchange from 2010 to 2020 and a quantitative design to achieve the objectives of the study. The purposive sampling approach is used to source data from the Ghana Stock Exchange (GSE) and various entities’ websites. With the aid of Granger causality, the study demonstrates a causal relationship between liquidity and firm value and a unidirectional causality between leverage and firm value. Further, the study showed that prudent leverage structures improve firm value by optimizing debt levels to improve shareholders’ worth. The study recommended that firms need to sustainably manage their debts and liquidity to enhance their firm value because investing in viable projects with these resources of a firm will overall enhance firm value. In so doing, this will enhance the level of trust and confidence of diverse stakeholders such as clients, owners and potential investors, since shareholder’s wealth emanates from the sustainable use of firm resources which in turn promotes firm value.

BANKING SECTOR DEVELOPMENT AND ECONOMIC GROWTH DEVELOPING COUNTRIES: A BOOTSTRAP PANEL GRANGER CAUSALITY ANALYSIS

The purpose of this paper is to revisit the Granger causal relationship between banking sector development and economic growth for forty developing countries in the period 1970-2012. We devised two indices to comprehensively assess the development of the banking sector and employed a panel bootstrapped approach for Granger causality testing. This method adequately addresses concerns related to cross-sectional dependence and heterogeneity. Our empirical findings offer modest backing for the supply-leading, demand-following, and complementarity hypotheses. Moreover, our analysis suggests a causal relationship between banking sector development and economic growth across twenty-five countries. This paper investigates the relationship between banking sector development and economic growth in developing countries using a Bootstrap Panel Granger Causality Analysis. The banking sector plays a crucial role in fostering economic development by mobilizing savings, allocating capital efficiently, and channeling investments into productive sectors. However, the precise nature of the causal linkages between banking sector development and economic growth remains subject to empirical scrutiny, particularly in the context of developing economies characterized by diverse institutional settings and economic structures. Employing a panel data approach, this study examines the causal dynamics between banking sector development and economic growth across a sample of developing countries. By leveraging the richness of cross-country variation and time-series dynamics, we aim to provide a nuanced understanding of the symbiotic relationship between banking sector development and economic growth. Our discoveries illuminate the causal connection between banking sector advancement and economic growth in developing nations, presenting significant insights for policymakers, economists, and scholars. Through informing policy discussions and promoting data-driven decision-making, this research contributes to the crucial goals of sustainable development and inclusive growth in developing economies.

이산화탄소 배출 저감을 위한 국제개발협력과 물류네트워크의 영향력 분석

Purpose: This study analyzes the causal relationships between CO2 emissions and ODA, logistics, renewable energy, economic growth, and industrialization.
 Research design, data, and methodology: From 2006 to 2019, panel data related to CO2 emissions, ODA, logistics networks, renewable energy, economic growth, and industrialization were collected from a total of 84 countries. To analyze this model, panel unit root tests and panel co-integration tests were performed to confirm the stability and long-term causal relationships in the data. Subsequently, panel FMOLS and panel DOLS were used to identify variables affecting carbon dioxide, and pairwise panel Granger causality analysis was used to analyze causality between these variables.
 Results: According to panel FMOLS and panel DOLS analysis, ODA and renewable energy reduce CO2 emissions, but economic growth increases CO2 emissions.
 Conclusions: As a result of panel FMOLS and panel DOLS analysis, economic growth was identified as a factor in increasing CO2 emissions, and international development cooperation and renewable energy were identified as factors in reducing CO2 emissions.

Renewable and nonrenewable energy consumption, economic growth, and CO2 emissions in Eastern and South African countries: the role of informality.

This study investigates the role of informality in the relationship among renewable and nonrenewable energy consumption, economic growth, and CO2 emissions in a panel of 19 Eastern and South African countries. The empirical strategy exploits the panel generalized method of moments, panel fixed effects models using the Driscoll-Kraay standard errors, panel method of moments quantile regressions, and the Dumitrescu-Hurlin bootstrap panel Granger causality analysis. The results are fourfold. First, nonrenewable energy consumption is positively associated with CO2 emissions, while renewable energy consumption is not. Second, there is a nonlinear ∩ -shaped relationship between economic growth and CO2 emissions, consistent with the environmental Kuznets curve (EKC) hypothesis. Third, the results show a nonlinear ∪ -shaped relationship between informality and CO2 emissions, suggesting that higher informality is associated with lower CO2 emissions up to a certain critical point beyond which further increases in informality precipitate higher CO2 emissions. Fourth, the results show unidirectional causality from CO2 emissions to renewable energy, from CO2 emissions to nonrenewable energy, from informality to CO2 emissions, and feedback causality between GDP growth and CO2 emissions.

An empirical analysis of Malaysian palm oil export to world major palm oil importing countries: evidence from a panel cointegration model

The paper explores the long-term causal relationships of Malaysian palm oil exports with the real effective exchange rate of the respective importing countries, palm oil consumption, vegetable oil production, and GDP growth. The study applied panel cointegration and causality approaches based on data from 10 main palm oil importing countries between 2004 and 2018. The impacts of economic growth, the effective real exchange rate, and the production of other vegetable oils by the main palm oil importing countries on Malaysian palm oil exports were found to be negative. However, palm oil consumption by the main palm oil importers was found to be a statistically significant positive determinant of Malaysian palm oil exports. This finding indicates that consumption has a direct positive effect on the demand for exports. A panel Granger causality analysis revealed a unidirectional causality between importing countries’ production of other vegetable oils and Malaysian exports of palm oil.

Relationship Between Energy Security and Economic Growth: A Bootstrap Panel Granger Causality Analysis

This study is aimed to examine the relationship causality between energy security and growth for a total of 74 countries including 39 high-income countries, 23 upper-middle-income countries, and 12 lower-middle-income countries by using the Kónya´s (Kónya, 2006) Bootstrap Panel Granger Causality approach. According to the results obtained, it has been determined unidirectional causality relationship from energy security risk level to GDP for 14 countries and from GDP to energy security risk level for 20 countries. On the other hand, there is bidirectional causality between energy security risk level and GDP for 22 countries, while there is no causality between energy security risk level and GDP for 18 countries. Moreover, the results are also demonstrated that the rate of detection of a causality relationship increases as one moves from high-income group countries to lower-middle-income group countries. The results, which evidence the existence of a relationship between energy security risk level and economic growth for many countries, reveal the importance of the policies to be implemented in this direction.

The link between EU households' digitalization and growth factors. What does data (not) reveal?

Abstract Households supply the workforce for the modern economy, increasingly based on information and communication technology (IT). The access of households to e-devices and e-channels has been continuously growing in the last two decades. The aim of the study is to reflect these theoretical concepts with data-based, econometric causality analysis. Specifically, this study investigates whether the digitalization of households is a factor in their macroeconomic and behavioural indicators. In other words, does households' access to digital devices and channels determine rates of employment, productivity (TFP), level of savings, disposable income, per capita GDP or the growth ratio of GDP, and even such institutional indicators as political stability? The methodology employed is panel Granger causality analysis and Dumitrescu-Hurlin test, and the regional scope is the EU. Causality is tested between the households' digitalization and their macroeconomic, consumer behaviour or institutional indicators using panel Granger causality tests.

Systemic risk in the Chinese financial system: A panel Granger causality analysis

In this paper, we investigate China’s changing financial interconnectedness via the presence of Granger-causality between firm level factors (Leverage, Market To Book Value and Returns) and systemic risk measures (ΔCoVaR, MES, and SRISK ). The analysis is based on 161 Chinese financial intermediaries (14 Traditional Banks, 16 Finance Services, 131 Real Estate Finance Developers) continuously listed over the period 2007:1–2021:1. We find that, in addition to traditional banks, finance companies and real estate finance developers pose systemic threats to the Chinese financial system, in particular during the Global Financial Crisis and the 2015 Chinese stock crash. Finally, the outbreak of COVID-19 pandemic has put under strain the Chinese financial system, in particular the finance services.

Can education lower the environmental degradation? Bootstrap panel Granger causality analysis for emerging countries

Can education lower the environmental degradation? Bootstrap panel Granger causality analysis for emerging countries

CAUSALITY LINKAGES BETWEEN INCOME INEQUALITY AND FINANCIAL GLOBALIZATION FOR G7 COUNTRIES

The main aim of this study is to evaluate the causality linkages between income inequality and financial globalization for G7 countries over the period 1970-2015. The bootstrap panel Granger causality analysis by Kónya (2006) is used. The empirical results indicate that there is a causality linkage between income inequality and financial globalization in most of the G7 countries. Furthermore, it is shown that income tax has a significant role on the causality linkage. Hence, in order to reduce income inequality, policy makers should apply high taxes on top income, using fiscal policy instruments

G20 ve OECD Ülkelerinde Doğrudan Yabancı Yatırımlar ile Yenilenebilir Enerji Arasındaki Nedensellik İlişkisi: 2005-2017

This study investigates the link between foreign direct investment (FDI) and renewable energy (RE) as a primary energy source for G20 countries, OECD member countries and Worldwide. For this purpose, bootstrap panel Granger Causality Analysis developed by Konya (2006) was employed for over the period 2005-2017 to examine the existence of causality. The analysis results indicate that there is bidirectional causality between FDI and RE for the G20 and the worldwide. On the other hand, for OECD member countries, there is a one-way causality from RE to FDI. The findings state that foreign direct investments carry the developments that will make renewable energy use widespread, and the use of renewable energy makes the country suitable for foreign direct investment.

Dominant factors of the phosphorus regulatory network differ under various dietary phosphate loads in healthy individuals

Background The purpose of this study was to explore the contribution of each factor of the phosphorus metabolism network following phosphorus diet intervention via Granger causality analysis. Methods In this study, a total of six healthy male volunteers were enrolled. All participants sequentially received regular, low-, and high-phosphorus diets. Consumption of each diet lasted for five days, with a 5-day washout period between different diets. Blood and urinary samples were collected on the fifth day of consumption of each diet at 9 time points (00:00, 04:00, 08:00, 10:00, 12:00, 14:00, 16:00, 20:00, 24:00) for measurements of serum levels of phosphate, calcium, PTH, FGF23, BALP, α-Klotho, and 1,25 D and urinary phosphorus excretion. Granger causality and the centrality of the above variables in the phosphorus network were analyzed by pairwise panel Granger causality analysis using the time-series data. Results The mean age of the participants was 28.5 ± 2.1 years. By using Granger causality analysis, we found that the α-Klotho level had the strongest connection with and played a key role in influencing the other variables. In addition, urinary phosphorus excretion was frequently regulated by other variables in the network of phosphorus metabolism following a regular phosphorus diet. After low-phosphorus diet intervention, serum phosphate affected the other factors the most, and the 1,25 D level was the main outcome factor, while urinary phosphorus excretion was the most strongly associated variable in the network of phosphorus metabolism. After high-phosphorus diet intervention, FGF23 and 1,25 D played a more critical role in active regulation and passive regulation in the Granger causality analysis. Conclusions Variations in dietary phosphorus intake led to changes in the central factors involved in phosphorus metabolism.

Economic policy and confidence of economic agents – a causal relationship?

Abstract The purpose of this paper is to study whether innovations in monetary and fiscal policy are a leading indicator of future business and consumer confidence and reverse applying the panel Granger causality analysis to two periods in the history of the euro area: before and after the start of the Great Recession. The results show that Granger causality interaction between the confidence of economic agents and the stance of monetary policy (measured by the shadow rate) is stronger than between the former and the fiscal policy instruments. The European Central Bank (ECB) shadow rate innovations Granger caused business and consumer confidence in both periods, but also indicators of confidence Granger caused the shadow rate. No such feedback could be established between two fiscal policy instruments (government expenditure and revenue growth) and the indicators of confidence. Government spending and revenues Granger caused business confidence in the first subperiod, but not in the second subperiod when the causality reversed. The government revenues Granger caused consumer confidence in the first subperiod, while government expenditures in the second subperiod. Consumer confidence Granger caused government spending in the first subperiod.

THE EFFECT OF INSURANCE PREMIUM ON ECONOMIC GROWTH IN EUROPEAN UNION COUNTRIES: PANEL DATA ANALYSIS

Funds collected as insurance premiums are very important for the development and deepening of the national economies. These premiums paid to insurance companies provide funds for capital markets by creating savings sources. The aim of this study is to investigate how and in what direction the insurance premium volume affects the economic growth of these 25 countries. For this purpose, Johansen Cointegration, Kao cointegration, panel FMOLS, Dumitrescu and Hurlin (2012) Panel Granger Causality methods were used. Cointegration tests show that economic growth and insurance premium volume variables have long-term cointegration relationships. According to Panel FMOLS test results, a 1% increase in insurance premium volumes leads to an increase of 0.113% in economic growth. According to Dumitrescu and Hurlin (2012) panel Granger causality analysis, there is one-way causality from insurance volumes to economic growth.

From FDI to economic complexity: a panel Granger causality analysis

In this paper, we assess whether attracting higher amounts of FDI induces a greater level of economic complexity in a country. Using a panel of 117 countries and 22 years, from 1995 to 2016, we test for the causal relationship between inward FDI and economic complexity using a panel VAR approach and Impulse Response Functions. We find that accumulating a higher stock of inward FDI per capita Granger-causes a greater economic complexity in a country, and not vice versa. This causal effect is very small, however, and occurs only in countries with above-average levels of GDP per capita, tertiary education, tertiarization or financial development. We also find that only greenfield FDIs Granger-cause economic complexity in developed countries. Finally, knowledge-intensive greenfield projects are the only type of FDI that Granger-cause complexity in a less developed country, but the estimated effect is near zero and disappears after two years.

Human Capital, Capital Stock Formation, and Economic Growth: A Panel Granger Causality Analysis

Fostering educational practices, increasing enrollments rate, and improving learning is a central part of most economic development strategies. Most economists from the 20th and early 21st century see the idea of increasing the public’s aggregate per capita investment in human capital as a controversial topic; because the expansion of education has not guaranteed improved economic conditions in some regions. The variables used in the study include 14 Latin American countries that have been analyzed, and the results show a strong causal relationship between real gross domestic product per capita–purchasing power parity and human capital. Although the study doesn’t find a direct Granger causal relationship moving from human capital to real gross domestic product per capita-purchasing power parity, there is an indirect Granger causal relationship between our variables of interest. The association can be found in the bidirectional Granger causal relationship between human capital and trade balance.

Economic policy uncertainty, energy consumption and carbon emissions in G7 countries: evidence from a panel Granger causality analysis

We investigate the causal relationship between economic policy uncertainty (EPU) and energy consumption and carbon (CO2) emissions in G7 countries. We employ a bootstrap panel Granger causality test developed by Kónya (Econ Model 23:978-992, 2006), using a yearly data set spanning from 1998 to 2018. Our test results provide significant support for a unidirectional causality running from EPU to energy consumption in Japan; from EPU to CO2 emissions in the USA and Germany; and from EPU to both energy consumption and CO2 emissions in Canada. In Italy, causality runs from CO2 emissions to EPU, but a bidirectional causality between EPU and energy consumption exists as well. We also explore a unidirectional causality that runs from energy consumption to CO2 in the USA. Based on the overall findings, we draw important implications for policymakers and we strongly recommend for G7 countries to take into account possible negative effects of EPU on energy conservation policies, which should be embarked upon to reduce energy consumption and CO2 emissions, as committed in their recent climate mandate.

Testing cause‐and‐effect relationships within a balanced scorecard

AbstractAccording to Kaplan and Norton, a fundamental tenet of the balanced scorecard (BSC) is that cause‐and‐effect relationships exist across measures within its four perspectives. However, prior research on BSCs has provided equivocal findings as to whether these relationships exist. Using a public sector BSC, we conduct a panel Granger causality analysis and find evidence of causal relationships. We highlight the importance of this finding from both a research and practice perspective.