The paper examines the causal nexus between financial development and economic growth in India in a multivariate VAR model. The empirical analysis is based on cointegration and causality test. The cointegration test finds the presence of long run equilibrium relationship between financial development and economic growth. The Granger causality test finds the existence of bidirectional causality ...

Causality analysis, beyond “mere” correlations, has become increasingly important for scientific discoveries and policy decisions. Many of these real-world applications involve time series data. A key observation is that the causality between time series could vary significantly over time. For example, a rain could cause severe traffic jams during the rush hours, but has little impact on the tr...

In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the dynamic complexity of individual processes at different time scales are well established, multiscale analysis of directed interactions has never been formaliz...

Granger causality methods were developed to analyze the flow of information between time series. These methods have become more widely applied in neuroscience. Frequency-domain causality measures, such as those of Geweke, as well as multivariate methods, have particular appeal in neuroscience due to the prevalence of oscillatory phenomena and highly multivariate experimental recordings. Despite...

this paper examines the causal relationship between stock prices and macroeconomic aggregates in iran, by applying the techniques of the long–run granger non–causality test proposed by toda and yamamoto (1995). we test the causal relationships between the tepix index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

Should the national economy lead the stock market or the other way round? Using co-integration test and Granger causality test, this paper analyzes the relationship between the stock index and the national economy in the case of China. The result of the empirical analysis indicates that there is no co-integration relationship between the stock index and the national economy in China. In additio...

the paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of bangladesh over the period of 1991 to 2012. a wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. the study reveals a stable and significant long run relationship between the varia...

Editor's Note: These short, critical reviews of recent papers in the Journal, written exclusively by graduate students or postdoctoral fellows, are intended to summarize the important findings of the paper and provide additional insight and commentary. For more information on the format and purpose of the Journal Club, please see Review of Bressler et al. It has been known for decades that neu-...

The paper examines the temporal relationship between revenues and expenditures for the four southern states during 1980 to 2005. Using an error-correction model and Granger causality test, it finds that the taxspend hypothesis is supported by the analsysis. The spend-tax hypothesis is valid for Karnataka; fiscal synchronization hypothesis is supported for Andhra Pradesh and Kerala, while the da...