Testing for Granger (non‐)causality in a time‐varying coefficient VAR model

Christopoulos, Dimitris; León‐Ledesma, Miguel A.

doi:10.1002/for.1060

Cited by 21 publications

(11 citation statements)

References 26 publications

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“…In addition, we are able to define at each time step the probability of a transfer through every possible channels. A multivariate extension of the causal time varying VAR approach of [ 32 ] could also be considered as an alternative to this procedure. Nevertheless, our approach is model free and is able to treat more complex transition patterns between regimes compared to the single smooth transition considered in [ 32 ].…”

Section: Methodology: Multichannel Markov Switching Granger Causalitymentioning

confidence: 99%

Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach

Dahlqvist¹

2018

PLoS ONE

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This paper examines the interrelationships among 9 advanced economies using a novel multichannel approach to investigate, beyond the usual causal relationships, the time-varying dimension of the channels conveying causal relationships. The model is derived from the well-known Markov Switching setting and account for systems described by multiple variables. A Markov switching causality measure is adapted to account for information transmissions between distinct multivariate systems. Each country is described by 5 different fundamental variables reflecting its state. Our multichannel causality measure is then applied on these sets of time series to determine, over time, the main channels through which the information is transmitted between the different countries. In a second step, we investigate the relationships existing between these countries and the commodity markets and look at the possible use of the commodity markets as an indirect channel of information transmission between countries.

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Section: Methodology: Multichannel Markov Switching Granger Causalitymentioning

confidence: 99%

Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach

Dahlqvist¹

2018

PLoS ONE

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“…. For the identification of the transition (γ) and location (δ) parameters, a grid search procedure was employed following relevant studies (i.e., Holt and Craig, 2006;Christopoulos and Leon-Ledesma, 2008;Balagtas and Holt, 2009) as the log likelihood function of a transition model may have many local maxima (Van Dijk et al, 2002). Specifically, the value of γ was estimated over the range [0.1, 4.0] while that for δ over [0.1, 1] using an 0.01 increment during the grid search for both parameters.…”

Section: Econometric Modelmentioning

confidence: 99%

“…By the estimating the translog-transition production function using the above linearized specification of irrigation water effectiveness function, we can test the null hypothesis of linearity H : ϑ 3 = ϑ 4 = ϑ 5 = ϑ 6 = ϑ 7 = ϑ 8 = 0 using a standard F -test (the F -version of the linearity test performs better in small samples; see for example Luukkonen et al, (1998) and Christopoulos and Leon-Ledesma (2008). If the null hypothesis of linearity is rejected against the alternative, then we proceed to the econometric estimation of the translog-transition production function using the specification in (11) for the irrigation water effectiveness function.…”

Section: A Appendixmentioning

confidence: 99%

Irrigation practices, water effectiveness and productivity measurement

Chatzimichael

Christopoulos

Stefanou

et al. 2019

European Review of Agricultural Economics

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This paper develops a consistent theoretical framework for measuring irrigation water effectiveness and its impact on productivity growth rates by assuming a smooth transition process from traditional to modern irrigation technologies among individual farmers. The econometric model is based on a two-stage estimation procedure incorporating the transition process within a primal TFP decomposition framework. An empirical investigation addresses a panel of 56 small-scale greenhouse farms in Crete, Greece during the 2010-13 period. The results indicate that technical change driven by irrigation water techology improvement contributes significantly to total factor prodcutivity growth. Further, the impact of specific climatic and soil conditions do not allow farmers to fully explore the potential of the new irrigation technology delaying adoption rates.

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“…This method is recommended for the investigation of price developments in the pre-crisis period, since the examination of financial markets during the crisis or in the post-crisis period requires the identification of models specifically tailored for the situation, or requires creation of new models (Christopoulus and Leon-Ledesma 2008;Gelper and Croux 2007;Rublikova 2003;Dufour and Jouini 2006). In the event of no cointegration between the variables, clearly Granger causality tests should be prioritised and regression equations must be adjusted simultaneously according to the peculiarities of the problem addressed (equations 1 and 2).…”

Section: Lnp C C Lnpmentioning

confidence: 99%

Alterations in the Financial Markets of the Baltic Countries and Russia in the Period of Economic Downturn / Finansų Rinkų Pokyčiai Baltijos Šalyse Ir Rusijoje Ekonominio Nuosmukio Laikotarpiu

Dubinskas

Stungurienė

2010

Technological and Economic Development of Economy

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The present article analyses the alternations in the causality in the financial markets during the 2008–2009 financial crisis with a clear focus on the changes and developments in the financial markets of the Baltic States and Russia in the period starting from 2008. The authors have advanced a hypothesis that the research methods of trends of an abrupt plunge and subsequent stabilistation of equity prices that were clearly discernable during the 1987 crisis are also pointfull for the current financial crisis. The present research was conducted on the basis of the following assumptions: both crises affected financial markets of several nations; a characteristic feature for the inception of the crises is an abrupt fall in equity prices; indications of stabilisation in financial markets become observable before financial experts conclude the end of the financial crisis. To confirm the hypothesis on the similarities of the general trends during the two major international financial crisis, the authors employed empiric tests developed on the basis of Granger causality tests. Based on the precedent survey of the financial crisis of 1987 (Malliaris and Urrutia 1992), the authors of the present article chose to use the Granger causality testing methodology. To be able to apply the Granger causality test first it was necessary to verify the degree of cointegration of the indices of the main equity markets in each of the country (OMX Vilnius, OMX Riga, OMX Tallinn, RTS). For that purpose the authors used the Dickey‐Fuller and Johansen testing methodology. Both methodologies demonstrated a strong cointegration between the changes in the indices of all equity markets irrespective of the period analysed (i.e., pre‐crisis, during the crisis, post‐crisis). In all cases the T‐statistics exceeded the critical value. The strongest cointegration was observable in the crisis period, and the weakest – after the crisis. The results showed that in view of the financial crisis the Latvian market showed the greatest degree of slow‐down despite it being most active in the pre‐crisis times, likewise, Estonian market also showed a somewhat higher degree of passiveness. Thus, it was the Latvian and Estonian markets that the financial downturn had the most painful impacts upon. While the Lithuanian and the Russian markets were, on the contrary, much more active and therefore outlived the equity crash period with least painful after‐effects, thus producing confirmation that in the face of a crisis the interests and expectations of most investors are largely related to major markets normally viewed as more reliable and showing a higher degree of resilience. Santrauka Straipsnyje analizuojami finansų rinkų priežastingumo pokyčiai 2008–2009 m. finansinės krizės laikotarpiu. Pagrindinis dėmesys sutelkiamas į Baltijos šalių– Lietuvos, Latvijos ir Estijos – bei Rusijos akcijų rinkų pokyčius nuo 2008 m. Autoriai iškelia hipotezę, kad finansų rinkose staigaus akcijų kainų kritimo ir jų stabilizavimosi tendencijos, kurios išryškejo nuo 1987 m. prasidėjusios krizės, būdingos dabartinei finansinei krizei. Tyrimo metu daromos prielaidos: abi krizės apima daugelio valstybių finansų rinkas; krizių pradžiai būdingas staigus akcijų kainų kritimas; finansų rinkų stabilizavimosi požymiai pastebimi anksčiau, nei ekspertai konstatuoja krizės pabaigą. Dviejų tarptautinių finansų rinkų krizių bendrųjų tendencijų panašumo hipotezei patvirtinti naudoti empiriniai testai, parengti remiantis Granger priežastiniais testais: Granger priežastiniai testai ir kointegracijos testai. Nustatyta, kad finansinės krizės metu Latvijos rinka tapo pasyviausia, nors iki prasidedant krizei buvo pati aktyviausia, pasyvesne tapo ir Estijos rinka. Taigi finansinis nuosmukis skaudžiausiai paveikė Latvijos ir Estijos finansų rinkas. Lietuvos ir Rusijos rinkos krizės metu tapo pačios aktyviausios ir lengviausiai išgyveno akcijų kainų kritimo perioda, tuo patvirtindamos, kad krizės metu daugelio investuotojų interesai ir lūkesčiai paprastai siejami su didesnemis rinkomis, kurios laikomos patikimesnėmis ir turinčiomis galimybę greičiau atsigauti.

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Testing for Granger (non‐)causality in a time‐varying coefficient VAR model

Cited by 21 publications

References 26 publications

Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach

Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach

Irrigation practices, water effectiveness and productivity measurement

Alterations in the Financial Markets of the Baltic Countries and Russia in the Period of Economic Downturn / Finansų Rinkų Pokyčiai Baltijos Šalyse Ir Rusijoje Ekonominio Nuosmukio Laikotarpiu

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