Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen–US dollar exchange rates in Japan

Nakajima, Tadahiro; Hamori, Shigeyuki

doi:10.1016/j.ribaf.2012.03.001

Cited by 40 publications

(18 citation statements)

References 18 publications

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“…More recently Nakajima et al (2012) tested for Granger non-causality-in-mean and Granger non-causality -in-variance among electricity prices, crude oil prices, and the yen-to-US-dollar exchange rates in Japan using a cross-correlation function approach. They found no evidence of Granger-causality-in-mean from the exchange market, nor from the oil market to the power market.…”

Section: 2-empirical Literaturementioning

confidence: 99%

Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira¹,

Amor²,

Rault³

2019

The Quarterly Review of Economics and Finance

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The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia, and UAE). Using daily time series data covering the period from January 1, 2001 to December 29, 2017, we implement the test for asymmetric non-causality of Hatemi-J (2012), the asymmetric generalized impulse response functions of Hatemi-J (2014), and the test for noncausality-in-variance of Hafner and Herwartz (2006) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric investigation reveals in particular that i) when prices are rising in Tunisia and Saudi Arabia, oil prices cause change in exchange rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the selected MENA countries. These findings have important implications both from the investor's and from the policy-maker's perspective.

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Section: 2-empirical Literaturementioning

confidence: 99%

Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira¹,

Amor²,

Rault³

2019

The Quarterly Review of Economics and Finance

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“…They find that the oil price shocks have significant effect on exchange rates. Nakajima and Hamori (2012) have tested the Granger causality-in-mean and Granger causality-in-variance among electricity prices, crude oil prices, and exchange rates in Japan using a cross-correlation function approach. They conclude that the individual effect of exchange rates and oil prices are not significant to influence the power sector, however, the joint effect of them greatly influence the power generation costs in Japan.…”

Section: Empirical Study On Dynamic Relationshipmentioning

confidence: 99%

An empirical study on the dynamic relationship between oil prices and Indian stock market

2014

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Purpose – This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market. Design/methodology/approach – The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them. Findings – The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run. Originality/value – The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

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“…5 The Japanese economy's dependence on exports such as manufacturing led to reduced demand, while simultaneously the Yen's value rose to record highs against international currencies such as the US dollar (yearly average=110.2 yen in 2005, which increased to 87.8 yen in 2010). 6 As a consequence, this resulted in a precarious financial situation for many Japanese companies that were dependent on exports. 7 …”

Section: Introductionmentioning

confidence: 99%

Socioeconomic status and self-reported health among middle-aged Japanese men: results from a nationwide longitudinal study

2015

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ObjectiveTo examine potential associations between socioeconomic factors and self-rated health among a national sample of Japanese men aged 50–59 years between 2005 and 2010, including the 2008 global financial crisis.DesignProspective cohort study.SettingRandomly selected 2515 census areas from a total of 1.8 million census areas in Japan.ParticipantsThis study utilised data from a national, longitudinal survey conducted by the Ministry of Health, Labour and Welfare. Starting in 2005, 16 738 Japanese men aged 50–59 years were recruited and sent a questionnaire each year. We analysed data for the 6-year period (2005–2010) from participants who had worked for over 20 years in the same industry (n=9727).Main outcome measuresWe focused on worsening self-rated health status by occupation, education and employment contract.ResultsWorking in the manufacturing industry was associated with worsening self-rated health scores when compared to those working in management (HR=1.19; 95% CI 1.04 to 1.37). A relationship between education level and worsening self-rated health was also identified as follows: junior high school (HR=1.49; 95% CI 1.31 to 1.69), high school (HR=1.29; 95% CI 1.17 to 1.42), and vocational college (HR=1.25; 95% CI 1.07 to 1.46), when compared with those holding university-level qualifications. Precarious employment (HR=1.17; 95% CI 1.00 to 1.37) was also associated with worsening self-rated health status in the current study.ConclusionsThis study suggests that working in manufacturing for more than 20 years and having lower education levels may have a significant impact on the self-rated health of middle-aged Japanese men. This may reflect a progressive decline in Japanese working conditions following the global financial crisis and/or the impact of lower socioeconomic status.

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Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen–US dollar exchange rates in Japan

Cited by 40 publications

References 18 publications

Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests

Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests

An empirical study on the dynamic relationship between oil prices and Indian stock market

Socioeconomic status and self-reported health among middle-aged Japanese men: results from a nationwide longitudinal study

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