Causality Test Results Research Articles

ENFLASYON VE TÜKETİCİ KREDİLERİ ARASINDAKİ İLİŞKİ: TÜRKİYE İÇİN ASİMETRİK NEDENSELLİK TESTİ BULGULARI

Inflation, which is defined as the continuous increase in the general level of prices, is one of the important factors that hinder the economic and social development of a country. On the one hand, inflation affects the amount of bank loans, on the other hand, bank loans can cause inflation. From this point of view, in this study, it is aimed to investigate the causality relationship between inflation and consumer loans for the period 2005/12-2023/06 in Türkiye. “Whether or not there is causality between the variables, and if there is a causal relationship, the directions were analyzed using the "Toda-Yamamoto" method. According to the results of the Toda-Yamamoto causality test, a causal relationship was found between inflation and housing and vehicle loans at the 5% significance level.” On the other hand, no mutual causality relationship was detected between the variables of inflation and consumer loans.

Causal Relationships between Oil Prices and Key Macroeconomic Variables in India

India is among the largest and fastest-growing economies in the world. To continue its growth, energy is and will continue to be one of its most important considerations. With a population of over one billion, India is the third largest consumer of petroleum on the globe. To maintain this ranking, India imports a large percentage of its total oil consumption. Given India’s current position as a large importer of oil, how does oil price volatility affect the Indian economy? This paper examines the effect of oil price volatility on inflation, economic growth, and the stock market in India. Statistical tests suggest that the overall price level, the real effective exchange rate, and oil prices are negatively related to aggregate output in the long run. Granger causality test results derived from a vector error correction model support bidirectional causality between oil prices and aggregate output, indicating that a change in oil prices also affects aggregate output in the short run.

Panel Data Analysis of the Impact of External Debt on Economic Growth and Inflation: The Case of Emerging Market Economies

This study aimed to analyze the impact of external debt on economic growth and inflation for emerging market economies for the period 1995-2020 using the panel data method. To this end, the study used the data on 12 countries listed in the Morgan Stanley Capital Index (MSCI) Emerging Markets Index. The results of the panel cointegration analysis showed that changes in external debt stock affect economic growth in the opposite direction and inflation rate in the same direction. According to the country-specific results of the panel cointegration analysis, external debt had a negative impact on economic growth in all countries except Mexico, Egypt, India, and Türkiye. External debt increased inflation in all countries except China, Egypt, India, South Africa, and Thailand. The Bootstrap panel causality test results showed a unidirectional causality from economic growth to external debt stock in China, India and Thailand, and a bidirectional causality in China. A unidirectional causality was also found from external debt stock to inflation in Colombia, and a unidirectional causality from inflation to external debt in China, India, Peru, and Thailand. Based on the cointegration analysis results, it is recommended that external debt should be used to finance more productive investments in order to ensure sustainable economic growth in Brazil, China, Colombia, Indonesia, Peru, Philippines, South Africa, and Thailand. The panel causality test results also showed that economic growth in China, India, and Thailand requires more external resources. Based on these results, it is recommended to reduce external debt in order to reduce inflation in Brazil, Colombia, Indonesia, Mexico, Peru, Philippines, and Türkiye.

Digital sparks for a greener future: Unleashing the potential of information and communication technologies in green energy transition

The current article examines the asymmetric impacts of information and communication technology (ICT) on the energy transition within the top ten green energy-consuming nations. This study employs various advanced econometric tests and methodologies for analytical purposes, utilizing quarterly data from 1990 to 2020. The results reveal the asymmetric effects of ICT on the energy transition across the sampled economies. For instance, the energy transition process benefits from increased ICT installation in the cases of Canada, France, Italy, Japan, and the UK while looking at lower to higher quantiles. However, in the cases of China, Germany, Spain, and the USA, ICT enhances and hinders green energy production across different quantiles. Conversely, India consistently experiences adverse effects of ICT on its energy transition throughout all quantiles. Additionally, a continuous wavelet transformation causality test is applied to validate the reliability of the quantile-quantile regression (QQR) estimates. The causality test results suggest a significant causal link between ICT and renewable energy (RE) in all cases, underscoring the robustness and reliability of these findings for informing policy recommendations. Consequently, based on these findings, the study puts forth several noteworthy policy recommendations for the relevant authorities.

Trade Openness, Energy Consumption, and Financial Development Influence on Jordan’s Economy: Evidence from ARDL and Non-Granger Causality Test Approach

The purpose of this study is to analyze the effect of trade openness, energy consumption, and financial development on Jordan's economic development using the Autoregressive Distributed Lag (ARDL) method. By looking at data from 1970 through 2022, the study reveals a short- and long-term impact. Short-term economic development was found to be positively influenced by energy consumption but negatively influenced by trade openness and financial development. However, financial development has a favourable effect on economic development in the long run, whereas trade openness and energy consumption have a negative effect. Furthermore, evidence of a nonlinear bidirectional causal relationship between trade openness and economic development, and evidence of a one-way causal relationship between energy consumption and economic development, were found by the results of Diks and Panchenko's Granger causality test. The development of the economy and the financial sector also demonstrated a reciprocal causal relationship. These findings have important implications for policy and strategic planning for Jordan's economic growth and underscore the need to carefully weigh the potential costs and gains of trade liberalization, financial sector development, and energy consumption.

Investigating Time-Varying Causality Between Military Spending and Macroeconomic Indicators in the United States

Abstract Military expenditures constitute a large chunk of the United States’ annual budget and its macroeconomic implications had been modelled using the Granger causality test, which suffers power loss when variables are subjected to structural breaks. This study explored alternative approaches by applying both traditional VAR-based Granger causality and the time-varying causality test techniques to obtain new evidence on the causality between military spending and selected macroeconomic indicators (economic growth, investment, unemployment and inflation rate) in the United States. Relevant data covering 1972Q1–2021Q2 were analysed. The results of the VAR-based Granger Causality test are dominated by a unidirectional causality that runs from macroeconomic variables to military spending and the result are robust to alternative military spending measures. However, the results of the time-varying causality method show that bidirectional causality dominates the relationship between military spending and some macroeconomic indicators, especially economic growth, investment and unemployment. With the variance observed in the causality between military spending and macroeconomic indicators, policymakers need to moderate military spending to achieve desired economic outcomes.

The role of the Foreign Direct Investment inflows on export in Azerbaijan: An ARDL approach

Purpose ― This study aims to investigate the impact of FDI inflows on Trade in Azerbaijan from 1993 to 2021. Method ― This study uses the datasets from the World Bank Database. It employs the Augmented Dickey and Fuller (ADF), Phillips and Perron (PP), Zivot and Andrews (ZA), ARDL bounds testing approach, and the Granger Causality tests for the empirical part of the study.Findings ― The bound test shows the presence of cointegration between FDI and Export. The estimated long-run equation suggests a positive and significant relationship, whereas the estimated short-run equation indicates a positive but insignificant relationship between FDI and export. Additionally, the results of Granger causality test show a unidirectional causality running from FDI to export. Implications ― Since the FDI inflows show a positive effect on the export of Azerbaijan, most foreign investments come into the oil and gas sector. Accordingly, oil and gas products and services account for a significant share of exports in Azerbaijan. Policymakers might need new regulations to attract more attention from foreign investors to non-oil sectors.Originality/value ― There were vast studies about FDI and trade relationships in different countries with different techniques. This study is unique because it employs a new methodology and the latest dataset in which Azerbaijan was a focused area for the first time.

Economic Complexity and Renewable Energy Effects on Carbon Dioxide Emissions: a Panel Data Analysis of Middle East and North Africa Countries

AbstractWith the rising economic complexity of the world economy, applied research has been focusing on the economic complexity-environmental quality nexus. Many of the Middle East and North Africa (MENA) countries and Turkey show relatively low economic complexity with undiversified product spaces. The present study is thereby motivated to investigate the economic complexity-environmental quality relation for the MENA countries and Turkey. Using panel data for eighteen MENA countries and Turkey over the period 1990–2020, the fully modified ordinary least squares method of estimation is employed in two separate models, and Granger causality tests are performed. Each model includes the relation of economic complexity to carbon dioxide (CO2) emissions, one form of energy (renewable or non-renewable), population density and variables to validate the environmental Kuznets curve (EKC) hypothesis. In model (1), a negative and statistically significant renewable energy consumption has a mitigating effect on CO2 emissions, though economic complexity and its interaction with renewable energy consumption are not statistically significant. In model (2), a positive and statistically significant non-renewable energy indicates that increased fossil fuel reliance increases CO2 emissions (deteriorating environmental quality), while a negative and statistically significant economic complexity and population density reduce CO2 emissions (improving environmental quality), respectively. The EKC hypothesis is validated for the MENA countries and Turkey in both models (1) and (2), and Granger causality test results are given. Among the key policy implications are that the MENA countries and Turkey must recognize that increasing GDP and industrialization must be coupled with moving from less- to more-knowledge-based structures.

YÜKSELEN PİYASA EKONOMİLERİNDE DOĞRUDAN YABANCI YATIRIMLAR, TİCARİ AÇIKLIK VE CO2 İLİŞKİSİ

In this study, it was aimed to investigate the effect of foreign direct investment (FDI) and trade openness (TO) on environmental pollution. The study was conducted on Emerging Market Economies (EMEs), which are subject to flexible practices and conditions to attract trade and investment. The 1990-2020 data of 15 countries included in the IMF's EMEs category were tested with the following methods: The cross-sectional autoregressive distributed lag estimator (CS ARDL), Main Group (MG), Common Correlated Effects Mean Group Estimators (CCE), Augmented Mean Group (AMG), Emirmahmutoğlu and Köse (2011) Causality Test. The variables used were FDI, TO, GDP per capita and carbon dioxide (CO2) emissions. According to the results of the coefficient estimators, it was found that only GDP had a significant and positive effect on CO2 in both the short and long term, and there was no significant relationship between FDI-CO2 and TO-CO2. According to the causality test results, it was determined that there is a unidirectional relationship from CO2 to FDI and from TO to CO2, and a bidirectional relationship between GDP and CO2.

Impact of Geopolitical Risk on International Trade: Evidence from Container Throughputs

It is of great importance for manufacturers and consumers that raw materials and products can be delivered on time without any disruption in the supply chain. The fact that production chains can be located in more than one country in the globalized world makes the smooth operation of the supply chain partially difficult. For this reason, especially suppliers may stop doing business with countries where geopolitical risk is high, and this may change the container traffic of countries. Therefore, this study empirically tests whether geopolitical risks change the container volumes of countries. Our sample includes 15 of the 19 countries in the world for which the geopolitical risk index is calculated because some values of the excluded countries are missing. The countries included are Argentina, Brazil, China, Colombia, India, Indonesia, Korea, Malaysia, Mexico, Philippines, Russia, Saudi Arabia, South Africa, Thailand, and Türkiye in alphabetical order. The period covered consists of 21 observations annually, covering the years between 2000 and 2020. The asymmetric causality test method was applied to consider the possible asymmetrical consequences of the geopolitical risk on the container trade in the countries. The panel causality test results obtained show that positive shocks in geopolitical risk cause negative shocks in container traffic. These results show that the security and stability of the countries around them are critical for the country's economy, as well as the security and stability of the countries themselves. Countries that want to grow commercially should develop their policies by considering regional security and stability.

The role of institutional quality in the relationship between financial development and economic growth: Emerging markets and middle-income economies

In this study, the relationship between economic growth and financial development was analyzed for emerging markets and middle-income economies. The effect of financial development on growth, whether there is institutional quality or not, has also been investigated. In addition, which financial development indicator is more effective for growth has been examined. Six institutional quality indicators and seven financial development indicators were used. According to the Dumitrescu–Hurlin causality test results, there is a causality relationship between all financial development indicators and growth. According to the estimation results, financial development indicators have a positive effect on growth in the presence of institutional quality. However, if institutionalization is not included in the model, the effect of financial development indicators on economic growth is statistically insignificant.

OECD Ülkelerinde Finansal Yenilik ve Çevre Kirliliği Arasındaki İlişki

Climate changes as a result of environmental degradation have negative effects in many areas. Many studies in the economics literature have examined the effects of these negativities from different perspectives. In this study, the relationship between financial innovation and CO2 emission, which is newly used in the literature, is examined for 14 OECD member countries. LLC and IPS unit root tests, Pedroni and Kao cointegration tests and FMOLS estimator were used in the analyses for the period between 2009 and 2019. According to the findings obtained from the analyses, it is seen that financial innovation, economic growth and urbanization have negative effects on CO2 emissions. In addition, in the results of Dumitrescu-Hurlin causality test applied in the study, it was determined that there is a bidirectional causality relationship between economic growth, urbanization and CO2 emissions, and a unidirectional causality relationship between financial innovation and CO2 emissions. In this direction, it is considered important that companies and governments should act together. It is considered that the creation of green loans by financial intermediaries for environmentally sensitive projects can encourage investors. In order to prevent environmental degradation from a holistic perspective, the government should take measures such as subsidies and tax reductions to encourage environmentally friendly projects.

THE EFFECT OF HEALTH AND EDUCATION EXPENDITURES ON THE EMPLOYMENT: EMPIRICAL EVIDENCE FROM TÜRKİYE

This research delves into the influence of human capital investments on employment in Türkiye between 2000 and 2021. We first employ the Autoregressive Distributed Lag (ARDL) method to assess both the short and long-term impacts of human capital investments on employment. Then, the Pairwise Granger Causality test is applied to explore the causality among the variables. According to the long run coefficient, a 1% rise in government education and health expenditures and GDP growth rate leads to a 1.27%, 1.17% and 0.76% increase in employment in Türkiye, respectively. Additionally, The Pairwise Granger Causality test results show that government education expenditure on human capital influences employment in Türkiye and vice versa as well as a causal relation between the employment rate and inflation rate. In conclusion, Türkiye should increase its expenditure on health and education as these investments serve as a vital role in enhancing the level of human capital and welfare of the population.

Which is more important, foreign direct investment inflow or outflow, on the pollution of European Union countries? Evidence from Panel Fourier symmetric and asymmetric causality.

Uncertainty remains regarding the impact of foreign direct investments on countries' environmental policies and pollution levels. Therefore, this study examines the relationship between foreign direct investment inflows, outflows, and carbon dioxide emissions for EU (European Union) member states. Accordingly, the data for the period 1993-2019 were subjected to the Panel Fourier symmetric and asymmetric causality tests for 21 EU countries. According to the Panel Fourier symmetric causality test results, the effect of foreign investment outflows on carbon dioxide emissions is more dominant in general. While there is a bidirectional relationship between these variables in the Austrian and Slovak Republics, there is a unidirectional relationship between foreign investment outflows to carbon dioxide emissions in Belgium, Bulgaria, Cyprus, Ireland, and Portugal. On the other hand, one-way causality was found from foreign investment inflows to carbon dioxide emissions in Belgium, Cyprus, France, Ireland, and Romania and from carbon dioxide emissions to foreign investment inflows in Finland, Greece, and Sweden. According to the Panel Fourier asymmetric causality test results, causality between variables is statistically significant in many countries. This shows that the asymmetric relationship is essential for the variables.

Global geopolitical risk and volatility connectedness among China's sectoral stock markets

Employing the time-varying parameter vector autoregressive (TVP-VAR) connectedness index and nonparametric causality-in-quantiles test, this paper investigates the causal effect of global geopolitical risk on the dynamic volatility connectedness within China's sectoral stock markets. The TVP-VAR connectedness index results reveal significant volatility connectedness among China's stock market sectors, and the industrial, consumer discretionary, and raw material sectors play a critical systemic role throughout the sample period. The Granger causality test results show that the causality-in-quantiles test demonstrates superior performance compared to the linear Granger causality test, and it is evident that global geopolitical risk exhibits significant nonlinear causality effects on both the overall volatility connectedness among sectors and the net volatility connectedness across different sectors.

The dynamic relationships between nuclear energy consumption, nuclear reactors and load capacity factor: time and frequency domain panel data analysis.

Nuclear energy is an environmental issue that needs to be carefully considered regarding its consequences. The environmental effects of nuclear energy encompass a complex interplay of factors, ranging from managing radioactive waste to the potential for accidents, emissions, and resource depletion, necessitating a thorough examination of its impact on our planet. This study examines the relationships between nuclear energy, nuclear fission, nuclear fusion, and load capacity factor for the eight countries (Canada, China, France, Germany, Japan, Russia, Spain, USA) that consumed the most nuclear energy from 1993 to 2018 using the time (Emirmahmutoglu & Kose, 2011) and frequency domain (Croux & Reusens, 2013) panel causality tests. The results differ according to time and frequency domain causality tests. While the time-domain causality test results showed no causal relationship between the nuclear energy consumption, nuclear reactors, and the load capacity factor variables, the frequency-domain causality test revealed that there are causal relationships between these variables in the short, intermediate and long run. According to the frequency-domain causality test results, there is a bidirectional causality relationship between nuclear reactors, energy consumption and load capacity factor. In line with the main findings of this study, it is recommended that these countries implement effective policies to increase environmental quality and make investments and incentives in nuclear energy and technologies.

Green bonds and US shale gas prices: Evidence from a novel time-varying causality

This paper provides a new perspective on the green bond market (measured by GBI) and the US shale gas price (measured by SGPI). The leading method for testing the mutual influence between GBI and SGPI, the bootstrap subsample rolling causality test, is a novel application of research in the green bond market. The results of the novel time-varying causality test indicate that SGPI has both positive and negative effects on GBI. Based on the positive reaction of GBI, a spike in SGPI fueled greater demand for green projects, which accelerated the increase in GBI. However, this view cannot be confirmed by the negative effect due to the energy crisis. This outcome is consistent with the general equilibrium model, which underlines a certain impact of SGPI on GBI. Furthermore, the positive impact of GBI on SGPI indicates that shale gas prices can be predicted from the green bond market. Understanding the nexus between SGPI and the GBI is of practical significance for bond issuers, regulators, and investors.

Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Frekans Alanda Nedensellik Analizi

One of the most important indicators of the production channels of developed and developing countries is undoubtedly the energy problem. In addition, the nexus between economic growth and energy use differs from country to country. The main purpose of this article is to examine the nexus between economic growth and energy consumption in Turkey in the period of 2016 and 2022. Daily electricity consumption is used as an indicator of energy consumption, and industrial production index data is used as an indicator of economic growth. Toda-Yamamoto (1995) and Breitung-Candelon (2006) frequency domain tests were used to determine for the causality. According to the outcomes of the Toda-Yamamoto causality test, a unidirectional causality relationship was found from economic growth to energy consumption in the long run. Breitung- Candelon frequency domain causality test results revealed a short (temporary) and long (permanent) relationship from economic growth to energy consumption. In Türkiye, increases in economic growth (expansion of the production channel), increase the energy need more and thus this situation increases import dependency.

Impact of financial development on domestic investment: Evidence from West African countries

AbstractThis paper investigates the effect of financial development on domestic investment in West African countries. The study uses data from 1985 to 2019 and employs the pooled mean group technique. The main finding of the study is that financial development has a positive effect on domestic investment in the long run but an insignificant effect in the short run. Furthermore, remittances, real GDP per capita and trade openness increase investment rate. The results of causality tests support the view that investment is a channel through which financial development stimulates economic growth. Therefore, it is reasonable for the selected countries to formulate policies that promote domestic credit to the private sector in order to ease liquidity constraints and increase investment and economic growth.

How is energy intensity affected by industrialisation, trade openness and financial development? A dynamic analysis for the panel of newly industrialized countries

Exploring the factors that affect energy intensity is a worthy research topic because a decline of energy intensity lowers greenhouse gas emissions and increases energy security. Therefore, using the World Bank data from 2000 to 2020, this study examined how industrialisation, trade openness, financial development, and urbanisation affected energy intensity in 12 Newly Industrialized Countries (NICs). We used panel autoregressive distributed lag/pooled mean group (ARDL/PMG), cross-sectional ARDL (CS-ARDL), and fully modified ordinary least squares (FMOLS) to determine the long- and short-run effects of explanatory variables on the dependent variable, energy intensity. All variables are found stationary after the unit root test and cointegration test confirms that variables are linked in the long run. Panel ARDL/PMG and CS-ARDL results show that industrialisation increases energy intensity in the long and short runs. These tests also show that financial development increases energy intensity over time but not immediately. Trade openness decreases energy intensity in the long run but not in the short run. Urbanisation has negligible effects. Dumitrescu and Hurlin (2012) Granger causality test result shows that energy intensity causes trade openness. The test also shows two-way causality between industrialisation, financial development, and energy intensity. Results-driven policy recommendations, such as investment in efficient and environmentally friendly technologies, and facilitation of trade openness, are made following the conclusion.