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Testing for Granger Causality with Mixed Frequency Data

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Cited by:

  1. Mehmet Balcilar & George Ike & Rangan Gupta, 2022. "The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(4), pages 1008-1026, March.
  2. Dunbar, Kwamie, 2022. "Impact of the COVID-19 event on U.S. banks’ financial soundness," Research in International Business and Finance, Elsevier, vol. 59(C).
  3. Zhidong Bai & Yongchang Hui & Dandan Jiang & Zhihui Lv & Wing-Keung Wong & Shurong Zheng, 2018. "A new test of multivariate nonlinear causality," PLOS ONE, Public Library of Science, vol. 13(1), pages 1-14, January.
  4. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
  5. Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high‐frequency uncertainty shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
  6. Nuttanan Wichitaksorn, 2020. "Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach," PIER Discussion Papers 146, Puey Ungphakorn Institute for Economic Research.
  7. Martin Enilov & Yuan Wang, 2022. "Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests," Tourism Economics, , vol. 28(5), pages 1216-1239, August.
  8. Ashton de Silva & Maria Yanotti & Sarah Sinclair & Sveta Angelopoulos, 2023. "Place‐Based Policies and Nowcasting," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 56(3), pages 363-370, September.
  9. Chang, Tsangyao & Hsu, Chen-Min & Chen, Sheng-Tung & Wang, Mei-Chih & Wu, Cheng-Feng, 2023. "Revisiting economic growth and CO2 emissions nexus in Taiwan using a mixed-frequency VAR model," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 319-342.
  10. Alain Hecq & Marie Ternes & Ines Wilms, 2021. "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions," Papers 2102.11780, arXiv.org, revised Mar 2022.
  11. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2020. "Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality," Journal of Econometrics, Elsevier, vol. 218(2), pages 633-654.
  12. Bevilacqua, Mattia & Morelli, David & Tunaru, Radu, 2019. "The determinants of the model-free positive and negative volatilities," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 1-24.
  13. Feng-Li Lin & Mei-Chih Wang, 2019. "Does economic growth cause military expenditure to go up? Using MF-VAR model," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 3097-3117, November.
  14. Götz, Thomas B. & Hecq, Alain, 2014. "Nowcasting causality in mixed frequency vector autoregressive models," Economics Letters, Elsevier, vol. 122(1), pages 74-78.
  15. Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2021. "Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-41, December.
  16. 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.
  17. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
  18. Mikhail Stolbov & Maria Shchepeleva, 2023. "Sentiment-based indicators of real estate market stress and systemic risk: international evidence," Annals of Finance, Springer, vol. 19(3), pages 355-382, September.
  19. del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
  20. Holmes, Mark J. & Otero, Jesús, 2019. "Re-examining the movements of crude oil spot and futures prices over time," Energy Economics, Elsevier, vol. 82(C), pages 224-236.
  21. Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga, 2017. "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 62-105.
  22. Hong Shen & Qi Pan, 2022. "Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China," Sustainability, MDPI, vol. 15(1), pages 1-20, December.
  23. Hammoudeh, Shawkat & Uddin, Gazi Salah & Sousa, Ricardo M. & Wadström, Christoffer & Sharmi, Rubaiya Zaman, 2022. "Do pandemic, trade policy and world uncertainties affect oil price returns?," Resources Policy, Elsevier, vol. 77(C).
  24. Dergiades, Theologos & Milas, Costas & Panagiotidis, Theodore, 2020. "A mixed frequency approach for stock returns and valuation ratios," Economics Letters, Elsevier, vol. 187(C).
  25. Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
  26. Saeed Solaymani, 2023. "Impacts of Environmental Variables on Rice Production in Malaysia," World, MDPI, vol. 4(3), pages 1-17, July.
  27. Thomas B. Götz & Alain W. Hecq, 2019. "Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
  28. Han Liu & Ying Liu & Yonglian Wang, 2021. "Exploring the influence of economic policy uncertainty on the relationship between tourism and economic growth with an MF-VAR model," Tourism Economics, , vol. 27(5), pages 1081-1100, August.
  29. Martin Enilov & Giorgio Fazio & Atanu Ghoshray, 2023. "Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2607-2619, July.
  30. Motegi, Kaiji & Sadahiro, Akira, 2018. "Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 118-128.
  31. Hong, Yanran & Xu, Pengfei & Wang, Lu & Pan, Zhigang, 2022. "Relationship between the news-based categorical economic policy uncertainty and US GDP: A mixed-frequency Granger-causality analysis," Finance Research Letters, Elsevier, vol. 48(C).
  32. Peng Yue & Yaodong Fan & Jonathan A. Batten & Wei-Xing Zhou, 2020. "Information transfer between stock market sectors: A comparison between the USA and China," Papers 2004.07612, arXiv.org.
  33. Hu, Jinyan & Wang, Kai-Hua & Su, Chi Wei & Umar, Muhammad, 2022. "Oil price, green innovation and institutional pressure: A China's perspective," Resources Policy, Elsevier, vol. 78(C).
  34. Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
  35. Ouyang, Zi-sheng & Yang, Xi-te & Lai, Yongzeng, 2021. "Systemic financial risk early warning of financial market in China using Attention-LSTM model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  36. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
  37. Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
  38. Wang, Kai-Hua & Su, Chi-Wei & Umar, Muhammad, 2021. "Geopolitical risk and crude oil security: A Chinese perspective," Energy, Elsevier, vol. 219(C).
  39. Yi-Hui Liu & Wei-Shiun Chang & Wen-Yi Chen, 2019. "Health progress and economic growth in the United States: the mixed frequency VAR analyses," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(4), pages 1895-1911, July.
  40. Yonglian Wang & Lijun Wang & Changchun Pan, 2022. "Tourism–Growth Nexus in the Presence of Instability," Sustainability, MDPI, vol. 14(4), pages 1-11, February.
  41. Gary Cornwall & Jeffrey A. Mills & Beau A. Sauley & Huibin Weng, 2018. "Predictive Testing for Granger Causality via Posterior Simulation and Cross Validation," BEA Working Papers 0156, Bureau of Economic Analysis.
  42. Chi-Wei Su & Yuru Song & Hsu-Ling Chang & Weike Zhang & Meng Qin, 2023. "Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?," Sustainability, MDPI, vol. 15(9), pages 1-15, May.
  43. Xuan Lv & Menggang Li & Yingjie Zhang, 2022. "Financial Stability and Economic Activity in China: Based on Mixed-Frequency Spillover Method," Sustainability, MDPI, vol. 14(19), pages 1-22, October.
  44. Haoke Ding & Yinghua Ren & Wanhai You, 2022. "Does uncertainty granger-causes visitor arrivals? evidence from the MF-VAR model," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4193-4215, December.
  45. Wichitaksorn, Nuttanan, 2022. "Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach," Journal of Asian Economics, Elsevier, vol. 78(C).
  46. Blasques, F. & Koopman, S.J. & Mallee, M. & Zhang, Z., 2016. "Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 405-417.
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