Panel Granger Causality Test Research Articles

Mutual Causality Between Urban Transport Superiority Degree and Urban Land Use Efficiency: Insights from County Cities in Gansu Province Under the Belt and Road Initiative

Exploring the coupled coordination and interaction between urban transport superiority degree (UTSD) and urban land use efficiency (ULUE) is the key to promoting efficient land use in cities and coordinated development. This paper adopts the improved UTSD model, super-efficiency slack-based measure–undesirable output model, coupling coordination degree model (CCDM), panel Granger causality test, random forest model, and the mixed geographically and temporally weighted regression model to reveal the spatial and temporal evolution and coupling characteristics of UTSD and ULUE in Gansu from 2005 to 2020 and to validate and explore the interaction mechanism between UTSD and ULUE. The results show that (1), from 2005 to 2020, the average UTSD in Gansu increased from 0.56 to 1.01 and the Belt and Road Initiative accelerated the construction of the transportation network in Gansu. The average ULUE increased from 0.52 to 0.62; the spatial distribution of ULUE was high in the west and north and low in the east and south. (2) From 2005 to 2020, the average CCDM of UTSD and ULUE in Gansu increased from slightly unbalanced (0.37) to slightly balanced (0.52). A spatially high UTSD and high ULUE agglomeration area can be found along the transportation arteries. (3) The UTSD and ULUE were mutually causal, with the degree of transportation arterial influence degree being the strongest driver of ULUE among the components of UTSD (30.41% contribution) and tax revenue being the strongest driver of UTSD among the components of ULUE (15.10% contribution). Overall, the connotation of ULUE puts forward the demand for improving the transportation infrastructure and, at the same time, provides the guarantee for UTSD upgrading, which in turn affects the ULUE. In the future, the Xinan region of Gansu should prioritize planning and construction of a transportation network. The results of this study can provide a scientific basis for the construction of transportation networks and the efficient use of urban land in Gansu and other regions.

Rethinking diversification: Assessing the impact of energy concentration on climate change in rentier and non-rentier countries

Energy diversification, a critical strategy for environmental protection, has been surprisingly understudied in academic discourse. This paper seeks to address this gap by investigating the relationship between energy diversification and climate change in 76 countries from 1990 to 2020. We employ panel data techniques, and the system generalized method of moments (SYS-GMM) to analyze the impact of energy diversification, as measured by the Herfindahl-Hirschman Index, on CO2 emissions. Additionally, control variables such as economic growth, trade openness, foreign direct investment, information and technology adoption, natural resource rents, and urbanization are included in the model. The analysis is re-estimated for various country groupings based on income level and resource dependence (rentier vs. non-rentier). The findings reveal a significant positive association between energy concentration and CO2 emissions across all country groups, with the most pronounced impact is observed in middle-income, resource-rich economies (i.e., middle-income rentiers). The study also highlights differing effects of diversification on CO2 emissions between high-income and middle-income nations, which reflects the prevalence of non-rentier economies among high-income countries and rentier economies in middle-income countries. The causal relationship between CO2 emissions and energy diversification in different groups of countries is tested using the panel Granger causality test. The results reveal strong bidirectional causality between CO2 emissions and energy diversification in all country groups analyzed, except for middle-income rentier countries. By elucidating the multifaceted relationship between energy diversification and climate change, this study aims to provide valuable policy recommendations to advance sustainable development and environmental management.

Economic growth and sustainable development: evidence from OIC countries

Purpose This paper aims to examine the dynamic relationship between economic growth and sustainable development, integrating the Environmental Kuznets Curve (EKC) in 22 Organization of Islamic Cooperation (OIC) member countries across income groups. Design/methodology/approach Using annual data between 1990 and 2022, the authors apply the cross-correlation coefficient (CCC) approach of Narayan et al. (Economic Modeling, 2016, 53, 388–397) to examine the lead/lag relationship between GDP per capita and sustainable development. This study further validates the findings through a panel Granger causality test and a fixed panel regression model. Findings This research provides evidence of a U-shaped EKC for only 1 out of 22 (5%) OIC countries. For 13 out of the 22 (59%) OIC countries, increasing income growth is expected to enhance sustainable development in the future. The results show that as income levels rise, there will be a more significant decline in sustainable development for high-income OIC countries in the future than for both middle-income groups, contradicting the EKC hypothesis. The findings from the panel Granger causality and panel regression models also support the CCC results. Originality/value This study proposes a reverse version of the EKC hypothesis and contributes to the literature on economic growth and environmental sustainability. With increasing economic growth, the results can assist OIC member governments and policy-makers in designing tailored policies and practical measures for future sustainable development.

Achieving carbon neutrality in energy transition economies: exploring the environmental efficiency of natural gas efficiency, coal efficiency, and resources efficiency

AbstractThis study inspects the environmental impact of resource efficiency, natural gas efficiency, and coal efficiency in the top energy transition economies while incorporating economic growth and globalization, social globalization, political globalization, and economic globalization as control variables. We utilized the method of moments quantile regression to analyze a dataset from 1990 to 2021, while the dynamic ordinary least square, fixed-effect ordinary least square, and fully modified ordinary least square methods were used for robustness analysis. The outcomes of the estimators revealed that coal efficiency and natural gas efficiency contribute to the decline in CO2 emissions. Conversely, the results further indicated that globalization, economic growth, resource efficiency, social globalization, political globalization, and economic globalization intensify CO2 emissions. Furthermore, the panel Granger causality test was also utilized, which revealed evidence of a bidirectional causality association between CO2 emissions and all regressors except for coal efficiency and economic globalization. However, a unidirectional causal connection was identified from CO2 emissions to coal efficiency and economic globalization. From the observed outcomes alongside the inferences drawn from the Granger causality analysis, we offer a holistic policy approach for attaining carbon neutrality by driving the development and implementation of energy efficiency initiatives. Graphical abstract

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.

Impact of technological advancement and greener energy on sustainable agriculture in Asia: Evidence from selected Asian countries

AbstractRegardless of major advancements in food production, Asia continues to confront severe food security challenges. Sustainable agriculture presents entirely new prospects by prioritizing the productive worth of human, social, and natural capital—all of which are abundant in Asian nations or can be replenished at a relatively low financial expense. This paper sets out to explore the role of technological innovation, renewable energy use, financial development, globalization, and institutional quality on the environmental sustainability of agriculture, measured by the greenhouse gas emissions from the agricultural sector for top 10 agricultural economies of Asia from 1990 to 2019. To attain the above objective, we employ a variety of econometric models capable of accounting for cross‐sectional dependence, including the CS‐ARDL model and the Dumitrescu‐Hurlin Panel Granger Causality tests. The result indicates that technological innovation as well as the use of renewable energy can reduce the greenhouse gas emissions from the agricultural sector and thus contribute towards enhancing environmental performance of this sector in short and long run. Although globalization result is revealed to be positive, it turns out to be insignificant in both short and long run. Financial development exerts positive and significant effects on agricultural emissions while the institutional quality is found to be increasing the agricultural environmental performance. Finally, we provide policy recommendations based on the results of the study.

Energy Consumption-Economic Complexity Relationship: an Application on EU Countries and Türkiye

Objective: This study aims to estimate the relationship between energy consumption and economic complexity in 25 European Union member states and Türkiye from 1995 to 2020. Theoretical Framework: The causality relationship between these concepts can be discussed in terms of four theorems (neutrality hypothesis, growth hypothesis, conservation hypothesis, and feedback hypothesis). The lack of a causal relationship between economic complexity and energy consumption is explained by the neutrality hypothesis. The growth hypothesis points to a unidirectional correlation from energy consumption to economic complexity. In the contrary case, a unidirectional causality from economic complexity to energy consumption is the subject of the conservative hypothesis. Finally, the feedback hypothesis reveals the existence of a two-way causal relationship between economic complexity and energy consumption (Gorus ve Aydin, 2019: 816; Dogan: 2015: 535; Liu vd., 2021: 3). Method: First, different approaches explaining the relationship between economic complexity and energy consumption in the relevant literature were examined to create the empirical analysis framework. After the specification of the appropriate model, pooled ordinary least square model, fixed effects model and random effects model were used to estimate the relationship between energy consumption and economic complexity within the country sample. The study investigated the relationship between fossil energy consumption and economic complexity using Emirmahmutoğlu & Köse (2011) panel Granger causality test. Results and Discussion: According to the analysis results, the growth hypothesis appears valid for EU Member States and Türkiye. Research Implications: This result reveals that fossil energy consumption plays an important role in increasing economic complexity, energy conservation policies negatively impact economic complexity, and countries in this situation are highly dependent on energy. Originality/Value: The empirical literature on the relationship between energy consumption and economic complexity is limited. In this study, where the subject of the research is discussed from an empirical perspective, the fact that 25 member countries of the European Union and Turkey were selected as samples increases the originality value of our study.

DIGITAL FINANCIAL SERVICES AND THE PERFORMANCE OF THE QUOTED COMMERCIAL BANKS IN NIGERIA

Objective: The study aims to examine the causal relationship as well as short-term and long-term dynamic effects between digital financial service components and on the performance of the quoted commercial banks. Method: The study employs a cross-sectional descriptive survey research with ex-post facto research. Descriptive statistics were used to analyze responses and opinions, while inferential statistics including the dynamic Panel Autoregressive Distributed Lag (PARDL) approach, Panel Granger Causality Test. Results: The Granger Causality analysis reveals that Agency banking exhibits a strong causal link to ROA (p=0.003<0.05), emphasizing its predictive power for ROA variations. Also, ATM banking has a weaker influence on ROA (p=0.08>0.05), while internet banking (p=0.049<0.05) and mobile banking (p=0.0001<0.05) both impact ROA significantly. The long-term analysis using the autoregressive distributed lag (ARDL) model indicates that agency banking (β=0.128, p < 0.05), ATM banking (β=0.566, p < 0.05), internet banking (β=0.514, p < 0.05), and POS activities (β=0.118, p < 0.05) all have positive impacts on ROA. In the short term, these variables also show positive coefficients, suggesting immediate effects on ROA. Error correction (ECTt−1) has a negative coefficient (β=-0.06, p < 0.05), indicating its role in short-run adjustments to deviations from long-run equilibrium. Overall, agency banking, ATM banking, internet banking, and POS activities are crucial drivers with strong statistical significance, while mobile banking has limited influence on ROA. Based on these findings. Conclusion: The study recommends that financial institutions should strategically prioritize agency banking services and enhance internet banking services to positively impact ROA. Resource allocation for ATM banking should be reevaluated, and POS-related strategies may not be a priority for improving ROA. Additionally, financial institutions should adopt a long-term perspective when planning and implementing these services, and invest in enhancing their digital financial services to boost customer satisfaction, fostering loyalty and retention.

Assessing energy consumption and economic growth interrelations in Asia-Pacific: A multivariate approach with panel FMOLS and bootstrap Granger causality tests

This study investigates the cointegration and causal relationship between energy consumption and economic growth using data from 16 Asian and Pacific countries from 1970 to 2010. The expanded production function is used in this investigation; this function considers not only labor but also financial resources. This study investigates whether or not a rise in energy demand is associated with a healthy economy. Human capital, in addition to material and labor resources, is taken into account by this operation. One of the first studies to adopt a multivariate method and add human capital was undertaken on the energy-growth nexus. Using the panel unit root and cointegration tests, this study confirms the existence of a long-run cointegrating connection between these variables. These studies recognize the presence of cross-sectional interdependence, according to specific reports. The significance of considering the interconnection of various countries is confirmed by comparing estimates from panel heterogeneous fully modified ordinary least squares (FMOLS) models with those from unceasingly efficient and fully modified models. Nonetheless, the bootstrap panel Granger causality test findings demonstrate that economic growth is a causal factor in rising energy consumption in the region, indicating that the relationship is not constant across countries.

Exploring the Spatial Dynamics of FEW Nexus Policies and Their Impact on Income Inequality Using Spatial Econometric Models: Evidence from Southeast Asian Countries

This research investigates the spatial dynamics of Food, Energy, and Water (FEW) Nexus policies in Southeast Asian countries, analyzing their impact on income inequality. Utilizing spatial econometric models, the study explores intricate spatial patterns and employs spatial lag models along with a panel Granger causality test. Examining data from variables such as population, urbanization, life expectancy, GDP, HDI, CO2 Emission and energy consumption, our findings reveal significant spatial dependencies and causal relationships. The study enhances understanding of spatial dimensions in policy impacts for sustainable development, offering valuable insights for targeted FEW Nexus interventions to address income inequality in Southeast Asia.

Strategy towards sustainable energy transition: The effect of environmental governance, economic complexity and geopolitics

The Paris Agreement and COP27 have been actively working towards a transition to clean energy (SDG-7) and the restoration of the green environment (SDG-13). Therefore, this study was situated within a comprehensive policy framework. This study aims to investigate the effects of environmental governance and economic complexity on energy transition in 20 OECD countries selected for analysis from 1990 to 2021. This study employs the novel MMQR model to account for slope heterogeneity and cross-sectional dependency. Additionally, an asymmetric analysis was conducted to examine the mediating and moderating roles of geopolitical risk in the relationship between environmental governance, economic complexity, and energy transition. The primary findings of this study indicate that (1) environmental governance and economic complexity have a stimulating effect on energy transition at different levels of quantiles. Strict environmental policies have played a critical role in the transition to clean energy. Furthermore, the interaction between environmental governance and geopolitical factors negatively impacts energy transition at various quantiles; (2) economic complexity demonstrates a positive association with energy transition, as countries with high economic complexity possess the necessary resources, capabilities, and resilience to effectively address the challenges and seize the opportunities associated with transitioning to cleaner and more sustainable energy sources. However, the interaction of economic complexity with geopolitics transforms the positive influence of geopolitics into a negative influence on energy transition. The novel nonparametric panel Granger causality test establishes a significant causal relationship, revealing that environmental governance and economic complexity can support energy transition by creating a favorable environment for clean energy adoption, fostering innovation, facilitating effective planning and implementation, enhancing economic resilience, and promoting international collaboration.

Bank digital transformation and liquidity mismatch: Evidence from China

To investigate the bidirectional relation between bank digital transformation and liquidity mismatch, this paper employ the empirical methodology of panel Granger causality tests to examine the relationship between digital transformation indicators and liquidity mismatch index, employing panel vector autoregression models, as well as a panel structural vector autoregression model, employing the data of 181 Chinese commercial banks in the period before COVID-19. We find a bidirectional causality between digital transformation and the liquidity mismatch index. An increase in the degree of digital transformation in commercial banks significantly reduces the bank liquidity mismatch index; furthermore, a decrease in the degree of the bank liquidity mismatch index results in an increase in bank digital transformation. The digital transformation enhances a bank's susceptibility to liquidity stress, although a bank suffering from higher liquidity mismatch prefers to promote digital transformation. Furthermore, we find that cognitive digital transformation is the primary driving factor of the bidirectional causality relationship and the relationship between digital transformation and the liquidity mismatch index is heterogeneous for banks with various ownership types.

Identifying the nexus between financial stability and economic growth: the role of stability indicators

PurposeThis study aims to examine the interrelationship between financial stability and economic growth with a comprehensive analysis.Design/methodology/approachThe panel Granger causality testing approach is carried out to the panels of the Fragile Five (F5) and the Group of Seven (G7) countries for the period 1998–2020. To capture the different aspects of financial stability the authors use eight different indicators.FindingsThe findings reveal some important implications: the relationship between financial stability and economic growth is sensitive to the financial stability indicators for both the F5 and G7 countries. The stability indicators related to the credit market contain much more causality relationship with economic growth than the indicators related to the stock market. Z-score and provisions to nonperforming loans (NPLs) are among the two variables with the highest causality relationship with economic growth. The least number of causality link is found for the Regulatory Capital Ratio and Stock Price Volatility in F5 countries and Credit Ratio, NPLs and Stock Price Volatility in G7 countries. Economic growth affects financial stability through credit market stability indicators and mostly for the F5 countries. No causal relationship is found for any of the financial stability indicators of Canada, the UK and the USA from economic growth to financial stability.Originality/valueSince the linkages between financial stability and economic growth may vary due to country/group specific differences, apart from the previous studies, the authors select two different groups of countries in terms of financial stability and economic size.

Modelling the nexus between finance, government revenue, institutional quality and sustainable energy supply in West Africa

The present study examined the relationship between finance, government revenue, institutional quality and sustainable energy supply in West Africa countries over annual frequency period from 2012 to 2020. To achieve the outlined nexus between study variables, the present study leverages on a battery of panel analysis for robust inferences. The econometric estimators employed are panel random effect regression, generalized method of moment technique. Furthermore, panel Granger causality test is utilized to analyze the direction of flow among the variables for the study. Empirical results revealed that financial development is a significant determinant of energy supply in West Africa countries while a negligible effect was reported for institutional quality and sustainable energy supply. Thus, the present study concludes that finance from financial sector is important in ensuring sufficient energy supply. To this end, this study therefore, recommends that incentives should be given to financial institutions that fund energy generation and transmission as financial development is seen to be significant on energy supply.

Nexus of Remittances, Poverty and Economic Growth in Gulf Cooperation (GCC) Countries

This research explores the influence of remittances and poverty on the economic growth of Gulf Cooperation Council (GCC) countries using panel data spanning from 2000 to 2021. Various data analysis techniques, including panel unit root tests, panel ARDL models, and panel Granger causality tests, were employed. The long-term results of the panel ARDL analysis reveal several significant relationships with economic growth in GCC countries. Factors such as labor, gross fixed capital formation, secondary school enrollment, remittances, and the interaction between poverty and remittances all exhibit positive associations with economic growth. Conversely, the poverty headcount ratio shows a negative correlation with economic growth in these GCC countries. Notably, labor, gross fixed capital formation, poverty, and remittances all demonstrate statistically significant impacts. Based on the findings of this study, it can be concluded that remittances play a pivotal role in promoting economic growth, whereas an increase in the poverty rate hampers economic growth in GCC countries. Therefore, it is recommended that GCC countries take proactive measures to enhance remittance levels while simultaneously reducing poverty levels in order to foster improved economic growth.

Impact of Institutional Environment on Banks’ Non-Performing Loans: Evidence from BRICS Countries

The drivers of non-performing loans (NPL) and the possible effects of the institutional and business environments on the credit risk exposure of banks in the panel of BRICS countries and segregated models are analyzed in this paper. The purpose of the study is to identify the relationship between banking, macroeconomic and institutional factors of non-performing loans of banks at the BRICS level for the period 1996–2020. The panel ARDL approach is used for this purpose. The Panel Granger causality test is applied to verify the hypothesis of the relationship between economic development and NPLs. Panel co-integration tests examine the existence of a long-term link between the same two variables. The results of the study demonstrated that a decrease in the proportion of NPLs results from boosting performance metrics like the Z-score. Because the banking industry has more resources as a result of higher financial development and/or financial intermediation, the amount of NPLs is reduced. Finally, our study demonstrates how important the institutional environment is for raising the quality of bank credit. It was concluded that the low level of NPLs in BRICS countries was largely linked to more effective anti-corruption management, robust regulatory standards, increased application of the rule of law, freedom of speech and accountability.

The nexus between air transport and economic growth geographically: An evidence based on heterogeneous panel data models

This study examines the nexus between air transport and economic growth on continents by considering the heterogeneity in panel data with the data of 91 countries for the period 2002–2021. According to the result of the Pedroni's cointegration test, economic growth affects air transport in the long-run. These results are also supported by the results of the error correction model. In the short-run, economic growth is found to affect air transport in a few countries in Europe, while in the long-run, this effect is found to be valid for all countries. On the other hand, Dumitrescu and Hurlin panel Granger causality test shows that air transport causes economic growth in the short-run in at least one panel. This causality is found to be statistically significant in 9 Asian countries, 6 European countries, 4 American countries, 2 Oceanian countries, and 2 African countries in the sample.

Financial development, resource richness, eco-innovation, and sustainable development: Does geopolitical risk matter?

Financial development and geopolitical risks can significantly affect sustainable development. However, the roles of these factors in sustainable development are rarely investigated. Thus, this study takes into account the role of geopolitical risk while exploring the effects of financial development, natural resource rents, and eco-innovation on sustainable development in the Organization for Economic Co-operation and Development (OECD) countries. To this end, yearly data from 1990 to 2019 is analyzed using advanced econometric tests. The Common Correlated Effects Mean Group (CCEMG) results indicate that financial development and eco-innovation are significantly and positively related to sustainable development. Natural resource rents have a detrimental impact on sustainable development which confirms the presence of the resource curse hypothesis in OECD countries. Furthermore, the results revealed that controlling geopolitical risk is useful in fostering sustainable development. Lastly, the panel Granger causality test unveiled one-way causality from financial development, eco-innovation, natural resource rents, and geopolitical risk to sustainable development. Moreover, causalities are found from geopolitical risk to financial development, eco-innovation and natural resources. These findings suggest that OECD countries should prioritize financial development and eco-innovation policies for sustainable development while mitigating the negative effects of natural resource rents. The geopolitical risk can harm sustainable development, so policymakers should promote international cooperation and risk-sharing.

An empirical asymmetric effect of the tourism-led growth hypothesis in the Chinese economy

ABSTRACTWith its ability to spur growth and jobs, tourism has become an important part of the Chinese economy. In light of this, this research empirically investigates the inconsistent effect of the tourism-led growth theory within the framework of China. This study uses an innovative method to take possible connection asymmetries into consideration. We employ both symmetric and asymmetric multivariate panel Granger causality tests to explore the causal connection between China's economic growth and international tourism revenues (ITRs). In this study, the years 1995-2019 have been investigated. The conclusions of our research are substantial. In particular, we find symmetric causation in Henan, where there is a notable and statistically significant one-way Granger causality link between ITRs and real gross domestic product (RGDP). In contrast, our study shows that there is a substantial one-way Granger causation link between ITRs and RGDP in Hunan. These findings have important ramifications and offer some evidence in favor of the hidden tourism-led growth theory. More precisely, our results are in line with the hypothesis in Heilongjiang, Henan, Hubei and Jiangxi. In summary, this research advances knowledge of the tourism-led growth theory pertaining to the Chinese economy. The presence of asymmetric effects underscores the importance of tailoring policy responses to specific economic conditions and contexts. Our findings provide valuable guidance for policymakers and industry stakeholders seeking to harness the full potential of tourism as an engine of economic growth in China.

Business cycle synchronization and its determinants in the OECD countries: panel data evidence

ABSTRACT The primary determinants of business cycle synchronization among OECD countries and their interactions are examined using panel Granger causality tests, single-equation panel regressions, simultaneous equations model error component three-stage least squares (EC3SLS), and cross-sectional 3SLS econometric techniques. The sample spans the years 1990 through 2021. The results demonstrate the direct and indirect effects of the key macroeconomic variables on the synchronization of the business cycles of the sample economies, as well as the complementary and competing nature of these variables. The magnitude and significance of these macroeconomic factors in relation to the business cycle synchronization before and after the global financial crisis of 2009 are also examined in this study. Furthermore, the analysis supports the ex-post argument for entering the euro currency union. The study article contributes by providing direction for future empirical research on the sources and propagation mechanisms of international business cycle transmission.