Browsing by Subject "Granger causality test"

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    Environment Kuznets curve for CO2 emissions: a cointegration analysis for China
    (Elsevier Ltd, 2009) Jalil, A.; Mahmud, S. F.
    This study examines the long-run relationship between carbon emissions and energy consumption, income and foreign trade in the case of China by employing time series data of 1975-2005. In particular the study aims at testing whether environmental Kuznets curve (EKC) relationship between CO2 emissions and per capita real GDP holds in the long run or not. Auto regressive distributed lag (ARDL) methodology is employed for empirical analysis. A quadratic relationship between income and CO2 emission has been found for the sample period, supporting EKC relationship. The results of Granger causality tests indicate one way causality runs through economic growth to CO2 emissions. The results of this study also indicate that the carbon emissions are mainly determined by income and energy consumption in the long run. Trade has a positive but statistically insignificant impact on CO2 emissions. © 2009 Elsevier Ltd. All rights reserved.
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    Investigating the relationship between stock market returns and macroeconomic variables: evidence from developed and emerging markets
    (EuroJournals, 2011) Al-Jafari, M. K.; Salameh, R. M.; Habbash, M. R.
    This study examines the links between the macroeconomic variables (real economic activity, inflation, interest rate, money supply and exchange rate) and stock prices for developed and emerging markets during the period of January 2002 to December 2008. The study uses various testing methods including Granger causality test and Pedroni panel cointegration tests. These tests were applied by using panel data from 16 developed markets and 16 emerging markets. The empirical results show a significant causal relationship between macroeconomic variables, with the exception of interest rate and money supply, and stock prices for developed and emerging markets. It also finds a significant causal relationship between stock prices and macroeconomic variables for developed and emerging markets with the exception of exchange rate and money supply for developed markets. The findings also show a positive long-run relationship between real economic activity level and stock prices for developed markets. Furthermore, the results find that the relationship between macroeconomic variables and stock return in emerging markets is significantly more established than in developed markets.