enquiry. Against this backdrop, we perform the frequency-domain causality test to investigate whether the growth rate of oil …-samples. Given that the frequency-domain test allows us to decompose the causality across different time horizons, results also …

June, 2013. We employ the recently developed test of causality in variance by Hafner and Herwarz (2006) and then we track …

-directional causality between money and income. When we apply Granger Causality tests we find that income Granger causes money. The … causality disappears when we add interest rates. Next when we use an Error Correction Model the results of the traditional … Granger causality tests hold true in the bivariate system. But, we observe bi-causality under longer lag specifications, and …

different since many factors can affect the existence and direction of this causality. This paper looks at a bivariate VAR and … takes into consideration any instability in the model using bootstrap rolling Granger non-causality tests. Full …-sample Granger causality tests report no causal relationship between the two variables. Moreover, parameter stability tests detect …

constant relationship through the years, we use bootstrapped Granger non-causality tests with fixed-size rolling-window to … analyze time-varying causal links between two series. Instead of just performing causality tests on the full sample which … assumes a single causality relationship, we also perform Granger causality tests on the rolling sub-samples with a fixed …

investigate causality between economic policy uncertainty in some of the world's major economies using the economic policy … Granger causality test. Based on the Diks and Panchenko (2005) non-linear Granger causality test, we find significant evidence … of bidirectional causality between countries' economic policy uncertainty across the sample. The results are consistent …