Granger causality

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  • Granger Causality Test Essay

    1.1. Granger causality test 1.1.1. Pre-crisis period from 2005 to 2007 Since we aim to compare the causal relationship between stock price and exchange rate before and after the 2008 global financial crisis, we analyze the Granger causality test results in different subperiods separately first. Before the test, we use final prediction error (FPE) criterion to select lag orders. During the pre-crisis period from 2005 to 2007, an optimal lag length of one was selected for all the seven markets. The Granger causality test results for pre-crisis period are shown in table 4. Table 4 Granger causality test results for pre-crisis period from 2005 to 2007 Market Ho F-value Prob>F Coefficient P>|t| China ΔlnEXt≠>ΔlnSt 0.19 0.8233 ΔlnSt(-1) 0.973 ΔlnEXt(-1) 0.535 ΔlnSt≠>ΔlnEXt 0.10 0.9025 ΔlnSt(-1) 0.927 ΔlnEXt(-1) 0.662 Taiwan ΔlnEXt≠>ΔlnSt 3.20*** 0.0415 ΔlnSt(-1) 0.255 ΔlnEXt(-1) 0.065 ΔlnSt≠>ΔlnEXt 1.77 0.1714 ΔlnSt(-1) 0.214 ΔlnEXt(-1) 0.306 Singapore ΔlnEXt≠>ΔlnSt 5.55*** 0.0041…

    Words: 3475 - Pages: 14
  • Case 6.5 Granger Causality

    6.5 Granger Causality Granger causality statistics determine whether past values of one variable helps to predict another variable. For example, if the lagged value of the independent variable X, help in predicting the value of the explanatory variable Y_(t+1), then X granger causes the Y. On the other hand, if the independent variable X does not help to predict Y, then the coefficients on the lags of X will all be zero in the reduced form Y equation. 7. Empirical results 7.1 Optimal lag…

    Words: 1233 - Pages: 5
  • Correlation Analysis: The Granger

    The null hypothesis of this test is that the past p values of X are not helpful to predict Y (X does not Granger cause Y). The alternative hypothesis is that the past p values of X are useful to predict Y (X Granger causes Y). p is the lag length of the Granger causality test and the results of the test depend on the chosen lag lengths (p). Therefore, different lag lengths (6, 12, 18, 24, 30, 36 lag lengths) are used in this study. These lag lengths represent a three-year horizon. The following…

    Words: 941 - Pages: 4
  • FDI In Brazil

    economic growth in developing countries. However, there seems to be no agreement with regard to the direction of causality between these two variables. This study focuses on the causal effect of FDI in Brazilian’s economic growth based on an econometric study with panel data collected during the last three decades, which was a phase in which many of the development countries introduced various political, financial and economic…

    Words: 738 - Pages: 3
  • Theories Of Moral Development By J. K. Rowling

    It is important to note that Rowling lets Harry make mistakes and succumb to the temptation of using the Unforgivable Curses. The key to this honest understanding of how and why Harry makes his decisions comes from Rowling’s ability to create believable situations where Harry makes the believable choice, as Lana A. Whited and M. Katherine Grimes describe in “What Would Harry Do? J.K. Rowling and Lawrence Kohlberg’s Theories of Moral Development”: “Although Harry’s dilemmas involve creatures and…

    Words: 1731 - Pages: 7
  • Harry Potter In The Sorcerer's Stone

    In the Sorcerer's Stone, Harry Potter is revealed to a new world learning the truths about who is he is, and the world around him. He makes trusted friends and enemies, and in the end gives his life for the betterment of the world. It starts with young boy, unaware of His magical Powers or his history is brought into the hidden world of Magic and Wizards. For most his life was tucked away behind his almost cruel Aunt and Uncle, unaware of what he is and especially who he is. Hagrid, a large…

    Words: 1495 - Pages: 6
  • Analysis Of The Gift By R. W. Thompson

    The Gift By R. W. Thompson 1. "Once upon a time, there was a little boy named Danny. One day he found a magic lamp that would give him anything he wanted. 2 As Steven Jacobs begins his story, the swings in the park come quickly to a stop. The merry-go-rounds stop twirling and the see-saws creak to a halt. The play area of the park becomes very quiet, for the children have come to sit under the giant maple tree and as the shadows grow, hear their daily stories from the blind storyteller of…

    Words: 1230 - Pages: 5
  • D Holbach's View Of Free Will And The Compatibilist Theory Of Free Will

    Free will is the known as the capability to decide between different potential courses of action and is a highly questioned topic in the philosophical world. Free will, also closely accompanied to the views of moral responsibility, has some philosophers reason that only actions which are free willed are justified to accept the blame of the action while other philosophers oppose this view. Baron d’Holbach views free will under the idea of Determinism, which entails that only one sequence of…

    Words: 1345 - Pages: 6
  • Thomas Aquinas's A Cosmological View On The Existence Of God

    When it comes to the existence of God, there are many arguments. Some say that God does not exist while others try to explain how the universe was created. Saint Thomas Aquinas gives a cosmological view on whether God exists. In his article, Whether God Exists, he provides five arguments to support his view. The first article talks about motion. Just like the Myth of the Cave the prisoners used their senses to survive on a daily basis. Your senses prove that things are in motion. This shows…

    Words: 793 - Pages: 4
  • Informative Speech On Methamphetamine

    Introduction: _Have you ever done something in your life that gave you a thrill like you have never had before? For example, you played the best game of your entire life and you 're on cloud nine or you ride a roller coaster for the very first time. This is the same experience that methamphetamine users experience. It 's a thrill, a rush, but its the beginning of an addiction that is very hard to get rid of. Methamphetamine isn 't usually drug that many people pick up for the first time. It…

    Words: 1005 - Pages: 5
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