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Granger-causality in cointegrated VAR processes The case of the term structure

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Cited by:

  1. Eugene Kouassi & Bernard Decaluwe & Crispin Kapombe & Dale Colyer, 1999. "Temporal causality and the dynamic interactions between terms of trade and current account deficits in co-integrated VAR processes: further evidence from Ivorian time series," Applied Economics, Taylor & Francis Journals, vol. 31(1), pages 89-96.
  2. Fakhri Issaoui & Talel Boufateh & Mourad Guesmi, 2015. "Money Neutrality: Rethinking the Myth," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 287-320, June.
  3. Canavire-Bacarreza, Gustavo & Martínez-Vázquez, Jorge & Vulovic, Violeta, 2013. "Taxation and Economic Growth in Latin America," IDB Publications (Working Papers) 4583, Inter-American Development Bank.
  4. Climent, Francisco & Meneu, Vicente, 2003. "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 111-143.
  5. Albert Solé-Ollé & Pilar Sorribas-Navarro, 2009. "The dynamic adjustment of local government budgets: does Spain behave differently?," Working Papers 2009/7, Institut d'Economia de Barcelona (IEB).
  6. Zapata, Hector O & Rambaldi, Alicia N, 1997. "Monte Carlo Evidence on Cointegration and Causation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 285-298, May.
  7. Jukka Ruohonen & Sami Hyrynsalmi, 2017. "Evaluating the use of internet search volumes for time series modeling of sales in the video game industry," Electronic Markets, Springer;IIM University of St. Gallen, vol. 27(4), pages 351-370, November.
  8. Risso, W. Adrián & Punzo, Lionello F. & Carrera, Edgar J. Sánchez, 2013. "Economic growth and income distribution in Mexico: A cointegration exercise," Economic Modelling, Elsevier, vol. 35(C), pages 708-714.
  9. Siliti jr Hammadi & Ben mbarek jr Hassene, 2013. "Shocks Transmission in the Mediterranean Zone," Economics Bulletin, AccessEcon, vol. 33(2), pages 1010-1028.
  10. Herzer, Dierk & Nunnenkamp, Peter, 2011. "Income inequality and health: New evidence from panel data," Kiel Working Papers 1736, Kiel Institute for the World Economy (IfW Kiel).
  11. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
  12. Dierk Herzer & Holger Strulik, 2017. "Religiosity and income: a panel cointegration and causality analysis," Applied Economics, Taylor & Francis Journals, vol. 49(30), pages 2922-2938, June.
  13. Yannis Panagopoulos & Aristotelis Spiliotis, 2006. "Testing Money Supply Endogeneity: The Case of Greece (1975-1998)," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 85-102.
  14. Francisco Climent Diranzo & Robert Meneu Gaya, "undated". "Relaciones de equilibrio entre demografía y crecimiento económico en Espana," Studies on the Spanish Economy 163, FEDEA.
  15. Kuralbayeva, Karlygash & Kutan, Ali M. & Wyzan, Michael L., 2001. "Is Kazakhstan vulnerable to the Dutch disease?," ZEI Working Papers B 29-2001, University of Bonn, ZEI - Center for European Integration Studies.
  16. Ioanna Reziti & Yannis Panagopoulos, 2008. "Asymmetric price transmission in the greek agri-food sector: some tests," Agribusiness, John Wiley & Sons, Ltd., vol. 24(1), pages 16-30.
  17. Herzer, Dierk & Nunnenkamp, Peter, 2015. "Income inequality and health: Evidence from developed and developing countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-56.
  18. Yothin Jinjarak & Huanhuan Zheng, 2010. "Financial panic and emerging market funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1793-1805.
  19. Zapata, Hector O. & Gil, Jose M., 1999. "Cointegration and causality in international agricultural economics research," Agricultural Economics, Blackwell, vol. 20(1), pages 1-9, January.
  20. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
  21. Albert Sol魏ll頍 & Pilar Sorribas-Navarro, 2012. "The dynamic adjustment of local government budgets: does Spain behave differently?," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3203-3213, September.
  22. M. Hakan Berument & Zulal Denaux & Yeliz Yalcin, 2012. "Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model," Applied Economics, Taylor & Francis Journals, vol. 44(36), pages 4787-4798, December.
  23. 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.
  24. Yang Hu & Yanran Hong & Kai Feng & Jikai Wang, 2023. "Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses," Evaluation Review, , vol. 47(2), pages 264-286, April.
  25. Ivan Hajdukovic, 2021. "Interactions among macroeconomic policies, the energy market and environmental quality," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 23(4), pages 861-913, October.
  26. PENDARAKI Konstantina & CHARDA Magdalini, 2023. "Investigating Causal Spillovers among International Stock Markets," European Journal of Interdisciplinary Studies, Bucharest Economic Academy, issue 01, March.
  27. Boufateh, Talel & Ajmi, Ahdi Noomen & El Montasser, Ghassen & Issaoui, Fakhri, 2013. "Dynamic relationship between energy consumption and income in Tunisia: A SVECM approach," MPRA Paper 44539, University Library of Munich, Germany.
  28. Yannis Panagopoulos, 2010. "Basel II and the money supply process: some empirical evidence from the Greek banking system," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 973-976.
  29. Boufateh, Talel, 2016. "Cycle-Trend Dichotomy of the Dutch Disease Phenomenon," MPRA Paper 71741, University Library of Munich, Germany.
  30. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Research Discussion Papers 34/1995, Bank of Finland.
  31. Elena Argentesi & Helmut Lütkepohl & Massimo Motta, 2010. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 381-396, August.
  32. Herzer, Dierk & Nowak-Lehmann, Felicitas & Dreher, Axel & Klasen, Stephan & Martinez-Zarzoso, Inmaculada, 2015. "Comment on Lof, Mekasha, and Tarp (2014)," World Development, Elsevier, vol. 70(C), pages 389-396.
  33. Oxley, Les, 1994. "Cointegration, Causality and Wagner's Law: A Test for Britain 1870-1913," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(3), pages 286-298, August.
  34. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
  35. Ghassan, Hassan B., 2002. "الإنفاق العمومي والإستثمار الخاص اختبار أثر المزاحمة عبر المعاينة المعادة [Public Spending and Private Investment: Test of Crowding-out Effects through Re-sampling]," MPRA Paper 56381, University Library of Munich, Germany, revised 03 Dec 2002.
  36. Mohammad Afzal, 2010. "Exchange Rate and Reserves in Asian Countries: Causality Test," Global Economic Review, Taylor & Francis Journals, vol. 39(2), pages 215-223.
  37. Kenneth Chan & Vinh Dang, 2010. "Multilateral trade and export-led growth in the world economy: some post-war evidence," Empirical Economics, Springer, vol. 38(3), pages 689-703, June.
  38. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Nguyen, Sang Phu & Duong, Duy, 2020. "An assessment of contagion risks in the banking system using non-parametric and Copula approaches," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 105-116.
  39. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
  40. repec:zbw:bofrdp:1995_034 is not listed on IDEAS
  41. A. D. Owen & K. Chowdhury & J. R. R. Garrido, 1997. "Price interrelationships in the vegetable and tropical oils market," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 119-124.
  42. A. A. Asseery & D. Law & N. Perdikis, 1999. "Wagner's Law and public expenditure in Iraq: a test using disaggregated data," Applied Economics Letters, Taylor & Francis Journals, vol. 6(1), pages 39-44.
  43. Dan Lupu & Mihai Bogdan Petrisor & Ana Bercu & Mihaela Tofan, 2018. "The Impact of Public Expenditures on Economic Growth: A Case Study of Central and Eastern European Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 552-570, February.
  44. Mamingi, Nlandu, 1996. "Aggregation over time, error correction models and Granger causality: A Monte Carlo investigation," Economics Letters, Elsevier, vol. 52(1), pages 7-14, July.
  45. Hayat, Farah & Pirzada, Muhammad Daniel Saeed & Khan, Abid Ali, 2018. "The validation of Granger causality through formulation and use of finance-growth-energy indexes," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P2), pages 1859-1867.
  46. 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.
  47. Halkos, George E. & Paizanos, Epameinondas Α., 2016. "The effects of fiscal policy on CO2 emissions: Evidence from the U.S.A," Energy Policy, Elsevier, vol. 88(C), pages 317-328.
  48. Carlos Góes & Herman Kamil & Phil De Imus & Ms. Mercedes Garcia-Escribano & Mr. Roberto Perrelli & Mr. Shaun K. Roache & Jeremy Zook, 2017. "Spillovers from U.S. Monetary Policy Normalization on Brazil and Mexico’s Sovereign Bond Yields," IMF Working Papers 2017/050, International Monetary Fund.
  49. Albert Solé-Ollé & Pilar Sorribas-Navarro, 2012. "The dynamic adjustment of local government budgets: does Spain behave differently?," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3203-3213, September.
  50. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2008. "ما هي طبيعة العلاقة بين الإنفاق الحكومي والإستثمار الخاص في الإقتصاد السعودي؟ [What is the Nature of the Relationship between Government Spending and Private Investment in Saudi Arabia?]," MPRA Paper 56377, University Library of Munich, Germany, revised 11 Jan 2009.
  51. Kutan, Ali M. & Wyzan, Michael L., 2005. "Explaining the real exchange rate in Kazakhstan, 1996-2003: Is Kazakhstan vulnerable to the Dutch disease?," Economic Systems, Elsevier, vol. 29(2), pages 242-255, June.
  52. Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane, 2011. "IS-LM model for US economy: testing in JMULTI," MPRA Paper 34024, University Library of Munich, Germany.
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