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A Common-Use Proxy for Economic Performance: Application to Asymmetric Causality between the Stock Returns and Growth

Lee, Yuan-Ming; Wang, Kuan-Min; Nguyen, T. Thanh-Binh - In: International Journal of Business and Economics 7 (2008) 2, pp. 101-124

This study develops a common-use proxy based on the so-called "current depth of recession" (CDR) measure of economic performance. The proposed proxy, termed MCDR, removes the limitations of the nonlinear model from the CDR. The MCDR enjoys the benefits of the CDR but also extends directly to...

Persistent link: https://www.econbiz.de/10010598979

Spending Cuts or Tax Adjustments: How Can UEMOA Countries Control Their Budget Deficits?

Keho, Yaya - In: International Journal of Business and Economics 9 (2010) 3, pp. 233-252

This paper uses cointegration and Granger causality tests to examine the relationship between government revenue and …

Persistent link: https://www.econbiz.de/10010599010

Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries

Afonso, António; Jalles, João Tovar - ISEG - School of Economics and Management, Department … - 2012

for Australia, Belgium, Germany, Ireland, Netherlands and the UK; Granger causality from government debt to the primary …

Persistent link: https://www.econbiz.de/10010599167

Are corporate bond market returns predictable?

Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of Banking & Finance 36 (2012) 8, pp. 2216-2232

This paper examines the predictability of corporate bond returns using the transaction-based index data for the period from October 1, 2002 to December 31, 2010. We find evidence of significant serial and cross-serial dependence in daily investment-grade and high-yield bond returns. The serial...

Persistent link: https://www.econbiz.de/10010599662

Agricultural and non-agricultural outputs and energy consumption in Tunisia: empirical evidences from cointegration and causality

Chebbi, Houssem Eddine; Boujelbene, Y. - European Association of Agricultural Economists - EAAE - 2008

This short paper investigates the cointegration and causality link between energy consumption and agricultural, non …. Empirical results suggest that there is only unidirectional causality running from agricultural and non-agricultural sectors to … energy consumption as well as from overall GDP growth to energy consumption. This unidirectional causality signifies a less …

Persistent link: https://www.econbiz.de/10005804845

Causal Inference by Independent Component Analysis with Applications to Micro- and Macroeconomic Data

Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, Alex - Wirtschaftswissenschaftliche Fakultät, … - 2010

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

Persistent link: https://www.econbiz.de/10008511335

EFFICIENCY AND COMPETITION IN THE GHANAIAN BANKING INDUSTRY: A PANEL GRANGER CAUSALITY APPROACH

ADJEI-FRIMPONG, KOFI; GAN, CHRISTOPHER; HU, BAIDING - In: Annals of Financial Economics (AFE) 08 (2013) 01, pp. 1350004-1

Granger-causes market power and hence causality negatively runs from bank cost efficiency to bank competition indicating that … bank cost efficiency precedes bank competition. However, the reverse causality running from bank competition to bank cost …

Persistent link: https://www.econbiz.de/10010678223

Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey

Halime Temel NalÄ±n; Güler, Sevinç - In: Romanian Economic Journal 18 (2015) 55, pp. 129-148

, unit root tests, Johansen cointegration and Granger causality test. Monthly data covers the period from July 1997 to … monthly closing prices of indices follow the random walk procedure. According to Granger causality and Johansen cointegration …

Persistent link: https://www.econbiz.de/10011241651

The Democracy and Economic Growth Nexus: Empirical Evidence from Côte d’Ivoire

Djezou, Wadjamsse B. - In: European Journal of Comparative Economics 11 (2014) 2, pp. 251-266

2012. It analyzes both the long-run relation and the direction of causality. To this end, an autoregressive distributed lag … (ARDL) model of cointegration and a Granger causality test have been implemented within a vector error correction model … for causality show long run causality running from GDP per capita and regime durability to democracy. In the short run …

Persistent link: https://www.econbiz.de/10011245957

Empirical Essays in the Economics of Ageing and the Economics of Innovation

Reinkowski, Janina - ifo Leibniz-Institut für Wirtschaftsforschung an der …

This dissertation consists of five distinct empirical papers covering two large areas of research that are rather independent from each other: the economics of ageing and the economics of innovation. The first three chapters cover the impact of intergeneration interaction on the parents of adult...

Persistent link: https://www.econbiz.de/10011148814