??????? ??????? ????? ????? ?????? ??? ????????? ??????? ??????? ???? ????? ?????? ?? ??? ???????? (Granger causality) ??????? (Toda-Yamamoto) ???????? ???? ??? ??????? ??? ???? ??????? ?????? ??????? ???? ?????? ?? ????-???????????? ?????? ????? ?????? ????? ?????? ??? ????? ???? ????? ??? ?????? ??????? ??? ??? ????? ??????? ?????? ??????? ??? ????? ?????? ????? ??????? ???? ?????? ???? ?????...

Crude oil exerts a strong influence on national economy. Changes of international crude oil price have an important effect on Chinese economy because of China’s high dependence on the import of the crude oil. Thus, Chinese stock market can be shocked by the fluctuation of oil price. Reversely, changes in crude oil imports of China have some effect on demands and price of the crude oil. This art...

BACKGROUND Measurements in the neurosciences are afflicted with observational noise. Granger-causality inference typically does not take this effect into account. We demonstrate that this leads to false positives conclusions and spurious causalities. NEW METHOD State space modelling provides a convenient framework to obtain reliable estimates for Granger-causality. Despite its previous applic...

This paper addresses the problem of inferring circulation of information between multiple stochastic processes. We discuss two possible frameworks in which the problem can be studied: directed information theory and Granger causality. The main goal of the paper is to study the connection between these two frameworks. In the case of directed information theory, we stress the importance of Kramer...

This paper introduces the concept of homogeneous non-causality in heterogeneous panels. This concept is used to examine a panel of data for evidence of a causal relationship between GDP and carbon emissions. The technique is compared to the standard test for homogeneous non-causality in homogeneous panels and heterogeneous non-causality in heterogeneous panels. In North America, Asia and Oceani...

Using a sample of province-level panel data, this paper investigates the Granger causality associations among economic growth (GDP), foreign direct investment (FDI) and CO2 emissions in China. By applying the bootstrap Granger panel causality approach (Kónya, 2006), we consider both cross-sectional dependence and homogeneity of different regions in China. The empirical results support that the ...

The objective of this study is to test the relationship between short-term nominal interest rate and inflation in the context of the Indian financial market. To achieve this objective we perform Augmented Dickey-Fuller unit root test to check for stationarity and thereafter we test for co-integration using the Engle-Granger method and further corroborate the findings of this test with the Johan...

Establishing the relationship between stock prices and macroeconomic variables is very important for formulating current economic stabilisation policies. This paper investigates the causal relationship between four macroeconomic variables and Dhaka Stock Exchange (DSE) stock prices using cointegration and Granger causality test. The results suggest that cointegration exists between stock prices...