condition; iii) no clear evidence of causality between oil and Italian agri-commodities, suggesting that the oil volatility is …

inputs capital and labour. We also find some evidence of bidirectional causality between GDP and energy use. Although the … evidence of causality from energy use to GDP was relatively weak when using the thermal aggregate of energy use, once energy … consumption was adjusted for energy quality, we found strong evidence of Granger causality from energy use to GDP in Australia …

Granger causality test, a unidirectional causality was detected, running from farm gate to export prices, and from wholesale … to export prices. In addition, there was bidirectional causality in other three price relationships: between retail and … export prices; between wholesale and retail; between farm gate and retail. The results from Granger causality test together …

and between volatility and returns. We have used the vector autoregression based Granger causality framework to examine … the linear causality, while the non-linear causality have been investigated using bivariate noisy Macke-Glass model which … has been used so far in only economic and commodity data sets. The results of linear and non-linear causality show that …

disaggregate levels and provide empirical evidence of temporal causality between crime, health, income, divorce, urbanization and … causality tests and variance decompositions. Findings – The empirical results suggest the existence of cointegration amongst the … variables. Augmented Granger causality tests and variance decomposition analyses indicate the different level, long …

We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one- to four-week) foreign … rather than reversal. Momentum strategy returns are as large as 8% p.a. The short-term momentum effect appears to be robust …