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Inference on one-way effect and evidence in Japanese macroeconomic data

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  • Yao, Feng
  • Hosoya, Yuzo

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  • Yao, Feng & Hosoya, Yuzo, 2000. "Inference on one-way effect and evidence in Japanese macroeconomic data," Journal of Econometrics, Elsevier, vol. 98(2), pages 225-255, October.
    • Handle: RePEc:eee:econom:v:98:y:2000:i:2:p:225-255
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    9. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    11. Clive, W.J. & Lin, Jin-Lung, 1995. "Causality in the Long Run," Econometric Theory, Cambridge University Press, vol. 11(3), pages 530-536, June.
    12. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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    4. BADRY Hechmy, 2016. "Financial Deepening-Economic Performance Nexus,An attempt to Study Granger-Causality through Spectral Time Series Analysis in MENA Countries," International Journal of Academic Research in Management and Business, International Journal of Academic Research in Management and Business, vol. 1(1), pages 24-38, July.
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    6. Bodart, Vincent & Candelon, Bertrand, 2009. "Evidence of interdependence and contagion using a frequency domain framework," Emerging Markets Review, Elsevier, vol. 10(2), pages 140-150, June.
    7. Saffet Akdağ & İlker Kiliç & Hakan Yildirim, 2019. "Does VIX scare stocks of tourism companies?," Letters in Spatial and Resource Sciences, Springer, vol. 12(3), pages 215-232, December.
    8. Lemmens, Aurélie & Croux, Christophe & Dekimpe, Marnik G., 2008. "Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys," International Journal of Forecasting, Elsevier, vol. 24(3), pages 414-431.
    9. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
    10. İskenderoglu Ömer & Akdag Saffet, 2020. "Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case," South East European Journal of Economics and Business, Sciendo, vol. 15(1), pages 105-121, June.
    11. Gradojevic, Nikola & Lento, Camillo, 2015. "Multiscale analysis of foreign exchange order flows and technical trading profitability," Economic Modelling, Elsevier, vol. 47(C), pages 156-165.
    12. Nikola Gradojević & Eldin Dobardžić, 2013. "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 633-647, September.
    13. Maissa Elmrabet & Boulila Ghazi, 2018. "Causality deficit-inflation : wavelet transform," Working Papers hal-01941464, HAL.
    14. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
    15. Olaolu Richard Olayeni, 2016. "Causality in Continuous Wavelet Transform Without Spectral Matrix Factorization: Theory and Application," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 321-340, March.
    16. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Interpreting euro area inflation at high and low frequencies," European Economic Review, Elsevier, vol. 52(6), pages 964-986, August.
    17. Marc Gronwald, 2009. "Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain," Empirical Economics, Springer, vol. 36(2), pages 441-453, May.
    18. Croux, Christophe & Reusens, Peter, 2013. "Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 93-103.
    19. Nachane, D.M. & Dubey, Amlendu Kumar, 2011. "The vanishing role of money in the macro-economy: An empirical investigation for India," Economic Modelling, Elsevier, vol. 28(3), pages 859-869, May.
    20. Funke, Michael & Li, Xiang & Tsang, Andrew, 2019. "Monetary policy shocks and peer-to-peer lending in China," BOFIT Discussion Papers 23/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    21. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
    22. D. M. Nachane, 2018. "Time-varying spectral analysis: theory and applications," Indian Economic Review, Springer, vol. 53(1), pages 3-27, December.
    23. Saffet AKDAĞ & Ali DERAN & Ömer İSKENDEROĞLU, 2020. "Is PMI a Leading Indicator: Case of TurkeyAbstract: In this study, the causal relationships of the Purchasing Managers Index (PMI) with various financial factors are examined. As a result of the analy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(45).
    24. Emrah İ. Çevik & Erdal Atukeren & Turhan Korkmaz, 2019. "Trade Openness and Economic Growth in Turkey: A Rolling Frequency Domain Analysis," Economies, MDPI, vol. 7(2), pages 1-16, May.

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