Asymmetric causality tests with an application
@article{HatemiJ2012AsymmetricCT, title={Asymmetric causality tests with an application}, author={Abdulnasser Hatemi‐J}, journal={Empirical Economics}, year={2012}, volume={43}, pages={447-456} }
This article argues that there are several logical reasons for the existence of asymmetric causal effects that need to be taken into account but usually are neglected in the literature. It suggests allowing for asymmetry in the causality testing by using the cumulative sums of positive and negative shocks. A bootstrap simulation approach with leverage adjustment is used to generate critical values that are robust to non-normality and time-varying volatility. An application to the efficient…
442 Citations
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia
- Economics
- 2011
Tests for conducting asymmetric Granger causality within a panel system are introduced in this paper. It is shown how the cumulative sums of negative and positive shocks can be constructed to…
Examination of money supply endogeneity in Turkey: Evidence from asymmetric causality test
- Economics
- 2018
Abstract In this study, we examine the money supply endogeneity in Turkish economy for the post crises period, between 2009.10 and 2016.12 by employing asymmetric causality test. Our results reveal…
Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
- Economics, Business
- 2012
Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test
- EconomicsJournal of Economic Integration
- 2021
The results suggest an asymmetric causality between the two markets expressed by different patterns regarding positive and negative oil shocks, and have implications for portfolio design and hedging strategies that are important to both policymakers and investors.
A bootstrap test for causality with endogenous lag length choice: theory and application in finance
- Economics
- 2012
Granger causality tests have become among the most popular empirical applications with time series data. Several new tests have been developed in the literature that can deal with different data…
Testing for Financial Market Integration of the UAE Market with the Global Market
- Economics
- 2019
This paper investigates empirically whether or not the UAE financial market is integrated with the global financial market. A battery of diagnostic tests are performed to check for the fulfillment of…
Dynamic Asymmetric Causality Tests with an Application
- Economics
- 2021
Testing for causation—defined as the preceding impact of the past value(s) of one variable on the current value of another one when all other pertinent information is accounted for—is increasingly…
Asymmetric Causality Between Inflation and Uncertainty: Evidences from 33 Developed and Developing Countries
- EconomicsJournal of Quantitative Economics
- 2019
Empirical studies have provided conflicting findings about the relationship between inflation and inflation uncertainty. Thus, the direction of the causality is still questionable. The present paper…
The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach
- Economics
- 2019
This paper investigates the causal impact of the financial sector on the real or economic sector of the UAE. The underlying data is transformed into partial cumulative sums for positive and negative…
References
SHOWING 1-10 OF 39 REFERENCES
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
- Economics
- 2007
We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for asymmetric…
Extreme Correlation of International Equity Markets
- Economics
- 2000
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a…
Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets
- Economics
- 2002
Inferences drawn from tests of market efficiency are rendered imprecise in the presence of infrequent trading. As the observed index in thinly traded markets may not represent the true underlying…
Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application
- Mathematics
- 2006
Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been…
MACROECONOMICS AND REALITY
- Economics
- 1980
Existing strategies for econometric analysis related to macroeconomics are subject to a number of serious objections, some recently formulated, some old. These objections are summarized in this…
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
- Economics
- 1987
In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is…
Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples
- Economics
- 2003
Analyzes dynamic linkages between stock prices and four macroeconomic variables for the case of Malaysia using standard and well‐accepted methods of cointegration and vector autoregression. Empirical…