Cointegration and causality in capital markets

The Causality between Human Capital and Economic Growth in Oil Exporting Countries: Panel Cointegration and Causality

This paper investigates the causal relationship between education and GDP in a panel of 11 selected oil exporting countries by using panel unit root tests and panel cointegration analysis for the period 1970-2010. A three-variable model is formulated with oil exports as the third variable. The results show a strong causality from oil revenues and economic growth to education in the oil exportin...

Exchange Rate Volatility and Foreign Capital Inflows in Nigeria (1990-2016), Cointegration, DOLS and Granger Causality Approach

The aim of this study is to examine the nexus between exchange rate volatility and foreign capital inflows in Nigeria. The results from the past empirical studies about this subject matter have been controversial, which has created a gap in the literature. The study extracted data from CBN Statistical Bulletin and UNCTAD investment report from 1990-2016. Consequently, the findings that emerged ...

Do Imports and Foreign Capital Inflows Lead Economic Growth? Cointegration and Causality Analysis in Pakistan

The paper investigates the effects of imports and foreign capital inflows on economic growth in case of Pakistan over the period of 1990Q1-2008Q4. We have applied ARDL bounds testing approach to examine the long run relationship and investigated the direction of causality by using VECM multivariate framework. Our analysis confirms the long run relationship between imports, foreign capital inflo...

Inflation and Money supply growth in Iran: Empirical Evidences from Cointegration and Causality

Are the Mortgage and Capital Markets Fully Integrated? An Fractional Heteroscedastic Cointegration Analysis

In this article, monthly data on 30-year fixed-rate conventional mortgage rate and 10-year constant maturity Treasury yield for the period from April, 1971 to December, 2003 is used to test for the integration of the mortgage market with the broader capital markets. The article uses a more general concept of fractional heteroscedastic cointegration. Furthermore, an asymmetric errorcorrection mo...