In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for business cycle fluctuations this link exists especially at low frequencies. Thus, short-run phenomena like...

Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric depa...

This paper investigates the relationship between exports and economic growth in the three of the largest exporting countries in the world, such as European Union, United States of America and Japan. For this purpose we have used Granger causality analysis based on error correction model. The results of this paper suggested that exports have a causal effect on the development process for the cou...

We show that a deeper insight into the relations among marginal processes of a multivariate Markov chain can be gained by testing hypotheses of Granger noncausality, contemporaneous independence and monotone dependence. Granger noncausality and contemporaneous independence conditions are read off a mixed graph, and the dependence of an univariate component of the chain on its parents—according ...

The current paper investigates the existence and nature of the Granger causality between electricity consumption and economic growth for 17 industries in Taiwan. Empirical results over the period 1998–2014 suggest that a panel cointegration test shows a long-run equilibrium relationship and a bi-directional Granger causality between electricity and economic growth has been found. The result ind...

Discovering regulatory interactions from time course gene expression data constitutes a canonical problem in functional genomics and systems biology. The framework of graphical Granger causality allows one to estimate such causal relationships from these data. In this study, we propose an adaptively thresholding estimates of Granger causal effects obtained from the lasso penalization method. We...

In the paper we use the set of models Ω defined in Definition 3 in Section 4. In Section 5.4 we also report findings conditional on the set of models Ω̃. In this online appendix we give the details of the exercise conditional on Ω̃. The motivation for this exercise is the following. The set of models Ω̃ is larger than the set of models Ω. In particular, Ω includes models with one Granger-noncausal...

It is generally believed that the noise variance in in vivo neuronal data exhibits time-varying volatility, particularly signal-dependent noise. Despite a widely used and powerful tool to detect causal influences in various data sources, Granger causality has not been well tailored for time-varying volatility models. In this technical note, a unified treatment of the causal influences in both m...

Article history: Received 27 March 2007 Received in revised form 14May 2007 Accepted 2 June 2007 Available online 6 July 2007 This paper investigates the long run Granger causality relationship between economic growth, carbon dioxide emissions and energy consumption in Turkey, controlling for gross fixed capital formation and labor. Themost interesting result is that carbon emissions seem to Gr...

In this paper, an examination is made of the linkage between foreign direct investment and productivity in eight East Asian economies–China, Hong Kong SAR, Indonesia, Malaysia, Republic of Korea, Singapore, Taiwan Province of China and Thailand. The Granger causality test and the Toda-Yamamoto version of the Granger causality test are used to test if inflows of foreign direct investment “cause”...