Toda-Yamamoto Granger Causality Test Research Articles

Energy security, electricity, population and economic growth: The case of a developing South Asian resource-rich economy

Economic growth and increasing population is driving the demand for energy in developing economies globally including South Asia. Energy security concerns have heightened in these economies, consequently, raising questions in their ability to meet the key sustainable development goals. This paper specifically examines the inter-relationships between energy security captured through the channel of electricity availability based on electricity consumption and economic output in a multivariate framework incorporating the effects of capital formation and population for Nepal, a developing economy in South Asia. Time series econometrics based on the ARDL bounds test approach to cointegration and the Toda-Yamamoto Granger causality tests are used to examine and test for long run equilibrium relationships and causality between 1975 and 2014. We find that there is no long-run relationship between electricity consumption and economic output for Nepal, distinguishing it at the regional level for South Asia. However, a 1% increase in population increases electricity consumption by 4.16% in the long-run. We propose that large scale development of available renewable energy such as hydropower and improvements in energy efficiency will not only strengthen energy security in the long-run but also will help tackling climate change in South Asian developing economies like Nepal.

Environmental Kuznets Curve and Trade Openness in Turkey: Bootstrap ARDL Approach with a Structural Break

In this study, the validity of the environmental Kuznets curve (EKC) hypothesis is examined with the newly developed bootstrap autoregressive distributed lag (ARDL) approach by incorporating the effects of trade openness for Turkey from 1969 to 2017. The bootstrap ARDL approach results show that there is a long-run relationship between per capita carbon dioxide (CO2) emissions, per capita real income, and trade openness in the presence of one structural break. The results of the long-run estimators indicate that the inverted U-shaped EKC hypothesis is valid, and trade openness has an increasing impact on CO2 emissions. However, Turkey has not yet reached the level of income necessary to reduce pollution. The results of the Fourier Toda-Yamamoto Granger causality test also show that unidirectional causality runs through per capita real income and trade openness to per capita CO2 emissions. In addition to these findings, it has been determined that the decrease in growth rate and production experienced during the 2001 financial crisis in Turkey reduced environmental pollution in both the short and long runs. Consequently, these results show that the scale and composition effects outweigh for economic growth and trade openness in Turkey.

Spatial interrelations of Chinese housing markets: Spatial causality, convergence and diffusion

This paper comprehensively tests the spatial interrelationships of 10 housing markets in the Pan-Pearl River Delta (Pan-PRD) in China, including the properties of spatial causality, convergence and diffusion patterns. The pairwise Toda-Yamamoto Granger causality tests suggest widely existing leading-lag relationships between housing markets; a unidirectional causal flow from the eastern-central area to western China can be tentatively confirmed. However, there is a lack of sufficient evidence supporting pairwise long-run cointegration and convergence, indicating a diverged interurban housing market in the Pan-PRD. In the short run, the spatial-temporal diffusion model manifests the importance of the spillover effect from neighbouring cities in predicting one city's house price changes. Furthermore, the generalized impulse response functions (GIRFs) clearly depict the transmission pattern of shocks to one chosen city. The diffusion pattern is characterized by the fact that the shocks first spread to nearby cities with cities further away taking a longer time to respond.

English

This study is designed to investigate the relationship between real income and both national and international tourism volume for Portugal. The study uses quarterly data and covers the period for 1995-2015. The stationary properties of the time series data are examined by using conventional and endogenous break unit root tests . The Johansen maximum likelihood cointegration and Toda-Yamamoto Granger causality tests are employed to search for a long-run relationship along with causality among the variables. The findings of the tests provide evidence for the existence of long-run cointegration relationship between arrivals at tourist accommodation establishments and real income. The causality results show that real income is caused by foreign tourist’s arrivals, and detect bilateral causality between domestic tourists and foreign tourists.

Long-Term Equilibrium and Short-Term Dynamics between Metropolitan Housing Markets in China

House prices across cities may form long-term relations. Geographic barriers could lead to lack of short-term dynamics. The paper aims to investigate the long-run equilibrium and/or short-run dynamics betweenmetropolitan house pricesin China. The study introduced two cointegration tests and various small-sample corrections. We conductedthe Toda-Yamamoto Granger causality tests. House prices betweencitiesin most regional markets did notshow long-term relations as well as short-term dynamics. Therefore, geographies andtransport costs between cities could reducethe centrifugal forces of city growth. Metropolitan housing markets are typically local.

Long-run relationship between macroeconomic variables and stock market - evidence from India

This study examines the causal and long-term equilibrium relationships between macroeconomic variables and the Indian stock market during the period January 2005 to December 2009 by using Toda-Yamamoto Granger causality test, Johansen’s cointegration tests, variance decomposition and impulse response function. The study finds that stock returns are cointegrated with a set of macroeconomic variables by providing a direct long-run equilibrium relation. Further, the study reveals unidirectional causality between BSE Sensex and S&P 500, BSE Sensex and exchange rate, BSE Sensex and WPI. The impulse response function and variance decomposition additionally support the argument that stock market is a leading indicator of changes in macroeconomic variables.