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 …

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 …

Granger causality tests. We use annual South African data on real exports and real gross domestic product from 1911-2011. The … linear Granger causality result shows no evidence of significant causality between exports and GDP. The relevant VAR is … unstable, which undermines our confidence in the causality result identified by linear Granger causality tests. Accordingly we …

This paper applies the causality test in the frequency domain, developed by Breitung and Candelon (2006), to analyze … time domain Granger causality test fails to reject the null hypothesis that sunspot numbers does not cause global … temperatures for both full and sub-samples (identified based on tests of structural breaks), the frequency domain causality test …

markets to energy markets after the crisis. In contrast, the Toda-Yamamoto Granger causality test indicates causality from oil …

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

annual time series dataset spanning from 1900 to 2011, and analyze time-varying Granger causality test, since the inference … drawn based on linear Granger causality tests could be invalid due to structural breaks and nonlinearity – which we show are … present in the relationship between the variables of interest. We find that, under the case of time-varying causality there …

full sample and time varying Granger causality tests. Monthly data from 2000:1 to 2014:6 is used. Result from the linear … full sample Granger causality result shows no evidence of significant causality between oil price and food price. However … Granger causality tests. Based on this the causality analysis is performed using a time varying approach. Result from the …