Monte Carlo Evidence on Cointegration and Causation

Zapata, Héctor O.; Rambaldi, Alicia N.

doi:10.1111/1468-0084.00065

Cited by 380 publications

(224 citation statements)

References 13 publications

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“…This test has an asymptotic χ 2 distribution when a VAR (k + d max, aX ) is estimated, where d max is the maximal order of integration suspected to occur in the system. Monte Carlo experiments presented by Zapata and Rambaldi (1997) provide evidence that the MWALD test has a comparable performance in size and power to the likelihood and WALD tests. Rambaldi and Doran (1996) proved that this method can use a seemingly unrelated regression (SUR) form.…”

Section: Methodologiesmentioning

confidence: 93%

Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?

Tian

2007

Australian Economic Papers

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This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and Bshare market, and between these two markets and the Hong Kong, the Taiwanese, the Japanese and the US market of two sub periods between July 1993 and March 2007. On the basis of a new Granger non-causality test procedure developed by Toda-Yamamoto (1995) andJohansen's (1988) cointegration test, my results suggest that a long-term equilibrium relationship measured by cointegration has been merged between the Chinese A-share market and the other markets in greater China region as well as the US market during the post-crisis period which covers the period since Chinese A-share market was opened to the Qualified Foreign Institutional Investors (QFII) in 2002. I also found that the Shanghai A-share market uni-directionally Granger-causes the other regional markets after the Asian financial crisis, while the A-share market and Hong Kong H-share market have had a significant feedback relationship since then. However, I found no evidence there has been cointegrating relationship between Shanghai B-share market and any other market ever since the B-share market was opened to the local retail investors in 2001. This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and B-share market, and between these two markets and the Hong Kong, the

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Section: Methodologiesmentioning

confidence: 93%

Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?

Tian

2007

Australian Economic Papers

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“…By utilising a VAR model it is possible to analyse the long term co-integrating relationship between the variables (Doyle 2001). A test for Granger causality is applied to the VAR model estimated as outlined by Tonda and Phillips (1993), Tonda and Yamamoto (1995) and Zapata and Rambaldi (1997).…”

Section: Estimating the Vector Autoregressive (Var) Model And Testingmentioning

confidence: 99%

An analysis of the interdependence of demographic factors, labour effort and economic growth in Ireland

Doran

2012

International Journal of Social Economics

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Original citationAn analysis of the interdependence of demographic factors, labour effort and economic growth in Ireland", International Journal of Social Economics, Vol. An Analysis of the Interdependence of Demographic Factors, Labour Effort and Economic Growth in IrelandAbstract Purpose -The purpose of this article is to analyse the effects of a declining birth rate and an increasing old age-population ratio on Ireland's economic output. Design-Methodology/Approach -This paper utilises data on the birth rate, old-age population ratio, economic output and labour effort of the Irish economy to estimate a vector-autoregressive model. The results of this model are then analysed to test for the presence of Granger causality among these variables. In doing so it is possible to assess whether there are statistically significant causal relationships existing among these factors. Subsequently, impulse response functions are derived from this model in order to assess the magnitude of the causal relationships. Findings -The results suggest that declining fertility rates and increases in the old-age dependency ratio have a significant impact on labour effort and economic output. Labour effort is also found to explain variation in the fertility rate and economic output. Economic output is found to effect labour effort and the fertility rate. Social Implications -The results derived in this paper raise interesting policy implications. It is evident that Ireland's declining birth rate and increasing old-age population ratio are creating a demographic situation which will have implications for future economic growth. Policies need to be put in place to mitigate the negative effects these factors will have on Irish growth. Originality/Value -This paper adopts modern econometric techniques to assess the causal relationships which exist between the demographic and economic factors considered. These have not previously been applied to the Irish situation. In doing this, this paper provides an important insight into the changing dynamics of the Irish economy.

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“…5 For a complete description of these biases, refer to Fung and Shieh (2002). 6 The test has a comparable performance in size and power to the likelihood ratio (LR) and Wald tests (Zapata and Rambaldi, 1997 …”

Section: Methodsmentioning

confidence: 99%

Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia

Azman-Saini

Lau

Karim

2008

Applied Economics Letters

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This article contributes to the debate on hedge funds and exchange rates in Thailand and Malaysia. It provides the first empirical evidence on causal relation between hedge funds and exchange rates. Using a new Granger noncausality procedure proposed by Toda and Yamamoto (1995) and monthly data for the January 1994 to April 2002 period, two important findings emerge. First, hedge funds lead Thai baht during the 1997 crisis. Second, there is a bidirectional causality between hedge funds and Malaysian ringgit for the pre-crisis period. In all other cases, no causal relation can be established.

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Monte Carlo Evidence on Cointegration and Causation

Cited by 380 publications

References 13 publications

Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?

Are Chinese Stock Markets Increasing Integration With Other Markets in the Greater China Region and Other Major Markets?

An analysis of the interdependence of demographic factors, labour effort and economic growth in Ireland

Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia

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