This paper investigates how financial weakness among Japanese banks in the second half of the 1990s was reflected in pricing in the financial markets. Two indicators, the Japan premium (JP) and the stock price spread (SP)}deviation between the bank stock index (BINDEX) and stock price index excluding banks (NINDEX)}were examined. The structural change occurring in the relationship between BINDE...

Granger causality analysis, as a time series analysis technique derived from econometrics, has been applied in an ever-increasing number of publications in the field of neuroscience, including fMRI, EEG/MEG, and fNIRS. The present study mainly focuses on the validity of "signed path coefficient Granger causality," a Granger-causality-derived analysis method that has been adopted by many fMRI re...

Housing market cycles are featured by correlation of prices and trading volume, which is conventionally attributed to a causal relation between prices and volume. This paper relies on a large panel dataset of housing markets in 127 metropolitan statistic areas from 1990:1 to 2002:2, treats both the price and volume as endogenous variables in housing markets, and studies how exogenous shocks cau...

Granger (Granger, C.W.J., 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37, 424–438.) defined causality between two variables X and Y in terms of predictability. A difficulty with this definition is that it is restricted to one-step ahead prediction. In the presence of a third environment variable Z the non-causality properties depend on the...

The causal notions embodied in the concept of Granger causality have been argued to belong to a different category than those of Judea Pearl’s Causal Model, and so far their relation has remained obscure. Here, we demonstrate that these concepts are in fact closely linked by showing how each relates to straightforward notions of direct causality embodied in settable systems, an extension and re...

of the Paper: Using time-series and panel data from 1986 to 2004, this paper examines the Granger causality relations between GDP, exports, and FDI among China, Korea, Taiwan, Hong Kong, Singapore, Malaysia, Philippines, and Thailand, the eight rapidly developing East and Southeast Asian economies. After reviewing the current literature and testing the properties of individual time-series data,...

Brain effective connectivity aims to detect causal interactions between distinct brain units and it is typically studied through the analysis of direct measurements of the neural activity, e.g., magneto/electroencephalography (M/EEG) signals. The literature on methods for causal inference is vast. It includes model-based methods in which a generative model of the data is assumed and model-free ...

It is typically found that the labour force participation of women is negatively affected by the presence of young children. This paper focuses on the causality, in the sense of Granger’s definition, between the participation of mothers of young children and childcare provision. We find that childcare Granger causes participation without feedback, which supports the claim that women could be co...