Time-varying Granger causality tests for applications in global crude oil markets

Lu, Fang; Hong, Yun Sik; Wang, Shouyang; Lai, Kin Keung; Liu, John

doi:10.1016/j.eneco.2014.01.002

Cited by 95 publications

(157 citation statements)

References 21 publications

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“…It is quite possible that the causal relationship between variables of interest change over time. In these cases, time-varying causality tests, as pointed out by one of the Referees, represent an attractive alternative (see, Hong 2001 ;Lu et al 2014 ).…”

Section: Resultsmentioning

confidence: 99%

Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests

Saafi

Farhat

Mohamed

2015

Studies in Nonlinear Dynamics &Amp; Econometrics

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The aim of this paper is to empirically investigate the dynamic linkages between unemployment and shadow economy for 32 developing and developed countries for the period 1980 -2009 using parametric and non-parametric techniques. To this end, the Hansen and Seo (2002) threshold cointegration approach and the nonlinear causality test of Kyrtsou and Labys (2006) are applied to assess these relationships. Results obtained clearly do not support the view that unemployment and shadow economy are neutral with respect to each other, except in the case of Bolivia, China, Colombia, Pakistan, Philippines and Portugal, where a neutral relationship is found. We find, however, considerable evidence of bi-directionality in Finland and Sweden. This indicates that high levels of unemployment lead to high levels of shadow economy and vice versa. We also find clear evidence of unidirectional causality running from unemployment to shadow economy in the US, Jamaica and Venezuela which implies that, in these three countries, a faster rate of unemployment promotes a higher share of the underground economy in total GDP. Further, the causality relationship appears to be uni-directional but reversed for Chile. Overall, our findings suggest that policy implications of the unemployment-shadow economy relationships should be interpreted with caution, taking into account the test-dependent and country-specific results.

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Section: Resultsmentioning

confidence: 99%

Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests

Saafi

Farhat

Mohamed

2015

Studies in Nonlinear Dynamics &Amp; Econometrics

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“…In these cases, we follow Lu et al (2014) and allow for instantaneous return spillover from market j to market i, by allowing k = 0 in calculating cross-lagged correlations, i.e. :…”

Section: Granger Causality Testmentioning

confidence: 99%

Return spillovers around the globe: A network approach

2019

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Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate the ensuing structure of the relationships by studying network properties and fitting spatial probit models. We provide evidence that stock market volatility and market size increases, while foreign exchange volatility decreases the probability of return spillover from a given market. We also show that market development and returns on the foreign exchange market and stock market also matter, but they exhibit significant time-varying behaviour with alternating effects. These results suggest that higher market integration periods are alternated with periods where investors appear to be chasing returns. Despite the significance of market characteristics and market conditions, what in reality matters for information propagation is the temporal distance between closing hours, i.e. the temporal proximity effect. This implies that choosing markets which trade in similar hours bears additional costs to investors, as the probability of return spillovers increases. The same effect was observed with regard to the temporal distance to the US market. Finally, we confirm the existence of the preferential attachment effect, i.e. the probability of a given market to propagate return spillovers to a new market depends endogenously and positively on the existing number of return spillovers from that market. JEL Classification: G01, L14 40 developed, emerging, and frontier markets, we test for Granger causalities among returns while controlling for the size of multiple Granger causality tests and taking care of return alignment with respect to non-synchronous trading effects. A possibly high number of return spillovers creates a complex network of relationships, which depicts world-wide market linkages. This is described via measures used in the network theory.The remainder of the paper is organized as follows. In Section 1 we briefly introduce the reader to the networks and their use in finance. Section 2 describes the data, including the return alignment procedure used to deal with non-synchronous trading effects. Econometric and network methodology is described in Section 3. Section 4 describes the results and the last section concludes.

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“…A simple extension of Lu et al [50] allows for instantaneous volatility spillovers from market j to market i, by allowing k = 0 in calculating cross-lagged correlations, i.e. :…”

Section: The Granger Causality Testmentioning

confidence: 99%

Networks of volatility spillovers among stock markets

Baumöhl

Kočenda

Lyócsa

et al. 2018

Physica A: Statistical Mechanics and its Applications

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity marketvolatility spillovers decrease when markets are characterized by greater temporal proximity. Terms of use: Documents inVolatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.JEL-Codes: C310, C580, F010, G010, G150.Keywords: volatility spillovers, stock markets, shock transmission, Granger causality network, spatial regression, financial crisis. We benefited from helpful comments we received from two anonymous referees and participants at several presentations. Eduard Baumöhl University of Economics in Bratislava

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Time-varying Granger causality tests for applications in global crude oil markets

Cited by 95 publications

References 21 publications

Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests

Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests

Return spillovers around the globe: A network approach

Networks of volatility spillovers among stock markets

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