Short-term Granger Causality Research Articles

Immigration, Growth and Unemployment: Panel VAR Evidence From Ε.U. Countries

AbstractMigration is primarily propelled by economic and security considerations. As of 2021, the European Union (EU) housed 23.7 million non-EU citizens, emphasizing the crucial need to evaluate the economic ramifications of migration within the EU. This research seeks to scrutinize the impact of migration on economic development and unemployment across the 27 EU nations from 1990 to 2020, utilizing a PVAR model. The Pesaran CIPS test (2007) was employed for second-generation unit root testing, while cointegration was examined using the ARDL panel model. The ARDL panel model and error correction model were employed to assess causal relationships and their directions. Initial tests indicated that the fixed effects model was the most suitable, and there existed cross-sectional dependency and heterogeneity among EU countries. Furthermore, second-generation unit root tests indicated that the variables were integrated at order I(0) or I(1). The study’s findings demonstrate a significant positive correlation between both GDP per capita and the unemployment rate with the net migration rate to EU countries. Causal effects revealed a bidirectional long-term causal relationship between migration and unemployment, as well as a unidirectional long-term causal relationship between growth and migration, and growth and unemployment. Short-term Granger causality indicated a bidirectional causal relationship among all the variables under examination.

Research on the Effect of Marketization Reform on the Price of Aviation Kerosene in China

The development of the aviation industry relies heavily on stable kerosene prices, and price fluctuations have an impact on its economic sustainability. To explore the effect of China’ s implementation of market-oriented reform of aviation kerosene prices, our study aims to evaluate the dynamic correlation between China’s aviation kerosene prices and Singapore’s CIF price, supply and demand, domestic economic development level and other market-oriented factors. To this end, in this paper, monthly data from 2006 to 2019 were selected for the variables mentioned above and, based on multiple econometric techniques, the influence of market factors on the price of aviation kerosene in China was studied. The empirical results confirm that the current Chinese aviation kerosene price has a significant linking effect with the CIF price of Singapore’s imports and is affected by the level of domestic demand. China’s aviation kerosene price is more affected by international oil and gas market factors relative to fundamental factors in the domestic market. The long- and short-term Granger causality test results also show that the market-oriented reform of China’s aviation kerosene field is beginning to take effect. Finally, the article discusses and puts forward suggestions for promoting China’s market-oriented price reform for refined oil products and the sustainable development of the aviation industry.

The correlation between economic fluctuation, workforce employment and health expenditure in the BRICS countries.

In this paper, we use the Fourier ARDL method (data from 2000 to 2019) to examine whether there is a correlation between economic fluctuation, health expenditure, and employment rate among BRICS countries. Fourier ARDL's model, the same as Bootstrap ARDL model, is to test the long-term cointegration relationship of variables; when there is cointegration, it will test whether there is a causal relationship. When there is no cointegration, short-term Granger causality between variables is tested. Our study shows that, in the long-term, whether South Africa takes economic fluctuation, employment rate or health expenditure as the dependent variable, there is a cointegration relationship with the other two independent variables, but the causal relationship is not significant. In short-term Granger causality tests, the effects of economic fluctuation in Brazil, China, and South Africa on health expenditure lag significantly by one period. Economic fluctuation in Brazil, India and China had a negative effect on employment rate, while South Africa had a positive effect. Health expenditure in Russia and India has a negative effect on employment rate, while China has a positive effect. Employment rates in China and South Africa have a significant positive effect on economic fluctuation, while Russia has a negative effect. India's employment rate has a negative effect on health expenditure, while South Africa's has a positive effect. In short-term causality tests, different countries will exhibit different phenomena. Except for economic fluctuation, where health spending is positive, everything else is negatively correlated, and all of them are positive in South Africa. Finally, we make policy recommendations for the BRICS countries on economic fluctuation, employment rates, and health expenditure.

A multiscale analysis of the effect of urban expansion on PM2.5 concentrations in China: Evidence from multisource remote sensing and statistical data

The timely and effective evaluation of the effect of urban expansion on PM2.5 concentrations is highly important for an understanding of urban-environment sustainability in China. However, studies examining the effect of urban expansion on PM2.5 concentrations at multiple administrative scales from different perspectives are still lacking. In this study, multisource remote sensing data were used to define urban spatial expansion and urban socioeconomic expansion, respectively. The effect of urban expansion on PM2.5 concentrations was then evaluated and compared at the regional, urban agglomeration, and metropolitan scales. The results showed that China's economic urban expansion lagged far behind urban spatial expansion from 2000 to 2015. There is a bidirectional long-term Granger causal relationship between urban expansion and PM2.5 concentrations across different scales. A short-term Granger causality test proved that urban expansion is still at the stage of aggravating PM2.5 concentrations. Variance decomposition analysis results indicated that the contribution of urban socioeconomic expansion in explaining PM2.5 concentrations was higher than urban spatial expansion with the increase in scales. The aggregation effect has become an important means for urban socioeconomic expansion to affect PM2.5 concentrations. In addition, PM2.5 concentrations can be reduced by the technical progress effect of urban spatial expansion across different scales. The Chinese government should consider the impact of different urban expansion modes on PM2.5 concentrations. Moreover, the technical progress effect will play an important role in decoupling urban spatial expansion and PM2.5 concentrations in China.

The impact of the United Arab Emirates' macroeconomic variables on Emirati stock market indexes

The goal of this study is to determine whether some of the United Arab Emirates' (UAE's) macroeconomic variables have explanatory power on the Emirati stock market by applying cointegration and Granger causality tests from vector autoregressive (VAR) and vector error correction (VEC) models. Identifying variables with a statistical power of predicting cycles of business expansion and contraction in the UAE may be extremely beneficial for business planning purposes. Time series that can anticipate, concur, or lag fluctuations of the Emirati economic cycles reliably may also prove to be extremely valuable for Emirati government officers and policy-makers. The studied macroeconomic variables include the Dubai crude oil price, the Emirates Interbank Offered Rate, the UAE's money supply, the effective exchange rate, and the Emirati consumer price index. Monthly data were obtained for each variable from December 2011 to October 2018. Our results provide evidence of unidirectional and bidirectional short-term Granger causality between two Emirati stock market s indexes and the UAE's money supply. Similarly, we find evidence of unidirectional short-term Granger causality between the Emirati stock market indexes and oil prices. Also, our results suggest a cointegration or long-run equilibrium relationship between five relevant UAE's macroeconomic variables and two Emirati stock market indexes.

Hayvansal Ürün Üretimi ve Devlet Destekleri Arasındaki İlişki: Türkiye Üzerine Zaman Serisi İncelemesi

Çalışma hayvansal ürün üreticilerine verilen devlet destekleri ile ürünlerin üretim miktarı arasındaki ilişkiyi süt ve dana eti örneğinde incelemeyi amaçlamaktadır. Bu amaçla Türkiye için, 1986-2016 yılları arası veriye dayanarak süt ve dana eti için ayrı ayrı denklemlerle hata düzeltme modelleri tahmin edilmiştir. Eşbütünleme ilişkisinden kısa dönem Granger nedensellik ilişkilerine bakıldığında, süt üretim denkleminde değişkenler arasında istatistiksel olarak anlamlı bir nedensellik ilişkisi bulunamamıştır. Dana eti üretim denkleminde ise tüm değişkenler arasında çift yönlü Granger anlamda nedensellik bulunmuştur. Uzun dönem katsayılar incelendiğinde, süt üretim seviyesi ile piyasa fiyat farklılaşması arasında negatif, üretici destekleri ile pozitif bir ilişki bulunmaktadır. Öte yandan dana eti üretimi ile piyasa fiyat farklılaşması arasında pozitif ancak üretici destekleri ile negatif bir ilişki bulunmaktadır. Bulgular gerek parasal üretici desteklerinin gerekse de parasal destek dışındaki dış ticaret düzenlemesi gibi politikaların ürün türüne göre farklılaştırılması gerektiği düşüncesini desteklemektedir. Jel Kodu: Q10, Q18, Q28, H20

Outward foreign direct investments and home country’s economic growth

The study examines the time stability of the causality direction and cross-correlations between the home country’s economic growth and pace of growth of its outward foreign direct investment (OFDI) stocks within the complex system of the Polish national economy. The research has been performed in order to verify, using both the time and frequency domains time series analyses, if economic agents’ long term decisions on outward foreign direct investments, leading to cross-border value chains and production fragmentation processes, are of adaptive or predictive character. Consequently, the aim was to check if the home country’s economic growth leads the internationalization processes of domestic enterprises, which stays in line with Dunning’s Investment Development Path (IDP) paradigm, or if these complex processes, thanks to entrepreneurs’ ability to formulate relevant rational expectations, precede the home country’s economic growth, which would be supported with the introduction of the policy on reinforcing the internationalization processes of domestic enterprises. The presence of the unidirectional economic growth-led internationalization, consistent with the IDP concept’s base assumptions, has been ascertained by the results of the short term Granger causality tests. Nevertheless, the results of the wavelet analyses, supported with the results of the econometric block exogeneity long term causality Wald tests, have revealed that in the long term the OFDI stocks’ growth permanently precedes the home country’s economic growth, which stays in the unequivocal contrast with the IDP paradigm’s premises, as well as with the indicated above short term Granger causality tests’ outcomes and indicates that economic agents’ choices are not strictly of adaptive but also of predictive character, which influences the current state of knowledge on economic complex systems’ characteristics. Such a result is of a great importance in the light of the existence of the significant and still unexploited internationalization potential of Polish enterprises.

Macro-Economic Variables and Their Impact on Stock Exchange: A Study of Pakistan (KSE 100 Index)

This study examines the relationship between the Karachi stock exchange and macro-economic variables. Monthly data for the time period July 2005 to April 2014 has been considered. CPI, FX, GDP, INT, Gold prices and oil prices in Pakistan are chosen as the macroeconomic variables. Unit root tests, Johansen and Juselius 1990 Cointegration, long & Short term granger causality under VECM framework along with the Sims 1980 variance decomposition and Pulse impulse response function has been employed. The analysis suggest that there is the long run cointegration among the variables and KSE and all the variables granger cause the KSE 100 index in the long run whereas in short run only forex granger cause KSE. An interesting finding is the significant explanation of variance in KSE 100 Index by the oil prices in Pakistan and the adverse response of the KSE on the one standard deviation shock to the oil prices.

International Real Estate Review

We investigate long-term cointegrative and short-term causal relations among seven U.S. sectoral REITs. First, cointegration tests identify one long-term cointegrative relation among five of the sectors, which suggests that two of the sectors are outside the cointegrative space. Second, short-term Granger causality tests identify three leading and two following cointegrated sectors. Third, a proposed vector autoregressive model indicates that a stronger cointegrating effect is induced by declining real estate markets and a multivariate sensitivity regression model shows that unexpected inflation significantly and negatively influences the cointegrative disequilibrium. Lastly, our cointegration-based portfolio performance analyses show that the inferior performance of the all-sector market portfolio stems from containing the redundant cointegrated sectors which shatter portfolio diversification.

Long-term association between European and Indian markets on carbon credit price

Abstract This study tries to explore cointegration and Granger causality of daily CER prices in European Energy Exchange and Multi Commodity Exchange (MCX) in India in a multivariate framework after controlling euro–rupee exchange rate and Inter-Bank Offer Rate, a measure of country specific risk. Both ARDL bounds tests and Johansen–Juselius maximum likelihood procedures fail to establish a cointegrating relationship among the variables indicating that an arbitrage opportunity exists between these two markets. The study, however, establishes a short-term Granger causality running from change in CER price in European Energy Exchange and exchange rate to Indian exchange. Generalised error variance decomposition of variables indicates that the price of CER at the Indian stock exchange is most endogenous in nature.

Real Oil Prices, Real Economic Activity, Real Interest Rates, and the US Dollar: A Cointegration Analysis with Structural Breaks

Abstract: In this paper, we examine the relationship among real oil prices, global economic activity, real value of the US dollar, and real interest rates during the period 1988:1 to 2011:12. We employ the Gregory and Hansen (1996) cointegration test with structural breaks to investigate the long-run equilibrium and analyze the short-term Granger causality as well. Our findings indicate that real oil prices are cointegrated with the three factors mentioned above and are affected positively by real economic activity and negatively by real interest rates and the real value of the US dollar. We also find significant short-run causality from real economic activity to real oil prices, but no significant causality from real interest rate and real value of US dollar to real oil price is detected. These findings are relevant for both policymakers and investors who wish to conduct forecasts for future oil prices on the basis of a solid understanding of its key drivers.