Similar Search Results

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - 2015

the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …

Persistent link: https://www.econbiz.de/10010518800

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, André Kallåk; Nymore, Ragnar - 2015 - This version May 8, 2015

Persistent link: https://www.econbiz.de/10010530531

The Cointegration and Causality between Tax Revenue and Economic Growth in India

Mishra, P. K. - 2012

Johansen's cointegration test and vector error correction model to serve the purpose. The empirical analysis provides the …

Persistent link: https://www.econbiz.de/10013112037

Signed Spillover Effects Building on Historical Decompositions

Dungey, Mardi H. - 2017

The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

Persistent link: https://www.econbiz.de/10012948930

Noncausal Vector Autoregression

Lanne, Markku - 2009

In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...

Persistent link: https://www.econbiz.de/10013157004

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - 2016

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011556246

A simple test for causality in volatility

Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011654183

On the causality between saving and growth : long- and short-run dynamics and country heterogeneity

Andersson, Björn - 1999

The temporal interdependence between saving and output has been in focus in a number of recent empirical studies. Results from these studies have compelled some authors to question the traditional notion of a causal chain where saving leads growth through capital accumulation. This paper...

Persistent link: https://www.econbiz.de/10011587110

Causality between bank's major activities and economic growth: evidences from Pakistan

Mushtaq, Saba - In: Financial innovation : FIN 2 (2016) 7, pp. 1-11

of this study is to investigate the direction of this relationship. Methods: Johansen test of Co-integration and Granger …

Persistent link: https://www.econbiz.de/10011542400

Causality Between Energy and Output in the Long-Run

Stern, David I. - 2014

causality and cointegration techniques to a Swedish time series data set on energy and economic growth spanning 150 years to …

Persistent link: https://www.econbiz.de/10013063467

1
2
3
4
5
6
7
8
9
10
Next
Last