Wyniki wyszukiwania - Biblioteka Nauki

1

Analiza związków pomiędzy wybranymi rynkami kapitałowymi z wykorzystaniem pojęcia przyczynowości w sensie Grangera

100%

Dziekoński K. , Tarka D.

Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Taksonomia

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2005

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tom 12

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nr nr 1076 Klasyfikacja i analiza danych - teoria i zastosowania

623-631

XX

W prezentowanym artykule autorzy analizują wpływ zachowań rynków sklasyfikowanych jako centra finansowe (giełdy, których kapitalizacja w grudniu 2003 r. przekroczyła 500 mld euro) na zachowania rynków lokalnych. Za centra finansowe przyjęto giełdy: Niemiec, Francji, Wielkiej Brytanii i Stanów Zjednoczonych. Za najbardziej reprezentatywny rynek kapitałowy krajów w procesie transformacji przyjęto giełdę w Warszawie. Jest to jednocześnie rynek, na którym może być widoczny wpływ największych i renomowanych rynków kapitałowych. Giełda w Warszawie, aspirująca do roli lidera rynków środkowoeuropejskich, może mieć największy potencjał w przeciwstawianiu się naciskom, rozumianym jako wartości notowań, płynącym z rynków zagranicznych. Dodatkowym atutem giełdy w Warszawie jest spory udział inwestorów zagranicznych, wynoszący w 2001 r. ok. 39%, oraz to, że są na niej notowane praktycznie tylko polskie firmy. Jeżeli inwestorzy zagraniczni przy wycenie akcji polskich firm nie będą się kierować globalną sytuacją ekonomiczną, może to świadczyć o niewielkim jeszcze stopniu zintegrowania polskiego rynku kapitałowego z globalnym rynkiem kapitałowym i/lub niewielkim wpływie "psychologicznym" centrów finansowych. (fragment tekstu)

EN

This paper presents results of the analysis of the potential influence that changes in the DJIA, FTSE100, CAC40 and DAX30 stock market indices can have on the changes in value of polish stock market index WIG20. The results show the dependence of the WIG20 index on the value of DJIA, FTSE100, CAC40 and DAX30. Dependence was considered in accordance with the Granger causality definition. The Granger and Sims-GMW tests were used in the analysis. The analysis was done using daily open and close values of indices under consideration from 1996 till 2003. (original abstract)

2

Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe

100%

Sofyan H. , Majid M. S. A. , Rahmanda M. R.

Contemporary Economics

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2019

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tom 13

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nr nr 1

35-48

EN

Historically, the Indonesian Rupiah (IDR) has fluctuated throughout the years, and its fluctuations have been very much interrelated with other forex markets. Since the IDR fluctuations impact national economic growth, investigating the movements of forex markets with respect to the IDR provides important policy implications. Due to limited previous studies investigating the interactions between the IDR and forex markets, this study explores the dynamic causality over both the short and long run between the IDR and the forex markets of ASEAN (Association of South East Asian Nations), Japan and Europe. The study utilizes the daily nominal exchange rates of Indonesia, Thailand, Malaysia, Singapore, the Philippines, Japan, the U.S., and Europe spanning from January 1, 2008, to December 31, 2015. These data were then analyzed using the cointegration and vector error correction (VECM) techniques. The study found that the IDR was cointegrated with the forex markets of ASEAN, Japan, and Europe. The IDR was found to be the most dependent market compared to the other ASEAN forex markets since those forex markets appeared to have close causal linkages between them. For multivariate causalities, the Philippine Peso was found to be the only forex market that was independent of both the Japanese and European forex markets. Additionally, the ASEAN forex markets were more influenced by the forex markets of Japan rather than those of Europe. Since the forex markets become more integrated regionally, there is a need for policy synchronization among those countries in order to manage the impacts of forex fluctuations. (original abstract)

3

Causal Relationships Between the Metals Market and the Stock Market in the Face of the Changes Taking Place in the Modern World

100%

Zeug-Żebro K.

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2022

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nr z. 167 Contemporary Challenges in the Performance of Organisations = Współczesne wyzwania organizacji

623-636

EN

Purpose: The high uncertainty on the industrial metals market that has occurred in recent years is an important premise for looking for methods that will allow for a good predict of the price of these raw materials and their volatility in the future. The detection of causal relationships between the price of metals and the rate of certain financial instruments may improve the quality of forecasts by reducing the variance of the prediction error. The aim of the research is to test of the causality between the rate of the selected metals and the factors influencing their price. Design/methodology/approach: In order to study the causal relationships between the selected variables, the linear Granger test and the non-parametric Diks-Panchenko test were used. The second test can be used to detect causal relationships that are not necessarily linear. Findings: In the first phase of the research, the Granger linear causality test of variable pairs was carried out. For this purpose, the equations of the VAR model with the same number of lags for both variables were estimated and the test of the total significance of the delays of a given variable was applied in the equation explaining the second variable. Then, in order to compare the obtained results, the non-parametric Diks-Panchenko test was used for the same variables. Research limitations/implications: The indications of the Diks-Panchenko test depend on the number delays of variables. At a later stage of the research, one should, inter alia, check in more detail the influence of the delays adopted for the variables in this test. Practical implications: Application in making investment decisions on the capital market. Originality/value: The use of information on causal relationships to improve the quality of industrial metal price forecasts.(original abstract)

4

Test przyczynowości w sensie Grangera między stopami zwrotu z akcji, zmianami koniunktury gospodarczej i wskaźnikami sentymentu ekonomicznego - badania na rynku polskim

75%

Sekuła P.

Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia

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2019

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tom 53

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nr nr 4

129-139

XX

Cel artykułu: W opracowaniu przedstawiono empiryczne badanie zależności między stopami zwrotu na rynku akcji, zmianami koniunktury gospodarczej i wskaźnikami sentymentu ekonomicznego. Metody badawcze: W badaniu wykorzystano dwuwymiarowy model VAR i przeprowadzono testy przyczynowości Grangera. Wykorzystano dane kwartalne obejmujące okres od września 2001 r. do grudnia 2018 r. Główne wnioski: Wyniki empiryczne wskazały na jednokierunkową przyczynowość od wahań koniunktury gospodarczej do wskaźników sentymentu ekonomicznego oraz od zwrotów na rynku akcji do wskaźników sentymentu ekonomicznego. Testy nie potwierdziły związku przyczynowego między wahaniami koniunktury gospodarczej a zwrotami na rynku akcji.(abstrakt oryginalny)

EN

Purpose of the article: This paper empirically investigates the interdependencies between stock return, economic fluctuations and sentiment indicators. Research methods: The research used a bivariate VAR model and Granger causality tests are performed. Quarterly data covering the period from September 2001 to December 2018 are used. Main findings: The empirical results indicated a one-way causality from economic fluctuations to sentiment indicators and from stock return to sentiment indicators. The tests did not confirm the causal relationship between economic fluctuations and stock return.(original abstract)

5

Sectoral Sensitivity of Oman Stock Market to Oil Price Movements

75%

Anasweh M.

Journal of International Studies

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2021

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tom 14

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nr nr 1

216-226

EN

This study investigates Omani stock market responses to the decline in oil prices. It examines the effects at both market and sectoral levels, specifically to distinguish the sector reaction from the market reaction as a whole. The period of the study, covering 10 years from 2010-2019, experienced huge swings in oil prices. Using Granger causality and regression analysis, the results support the asymmetric sensitivity of stock market returns to oil price fluctuations. This study also concludes that the Omani stock market and its heterogeneous sectors differ in their responses to oil price fluctuations. Oman stock market is dealing with the drop in oil prices by reducing the dependence of certain sectors on oil revenues which would make them less susceptible to the decline in oil prices. Further studies, employing different methodologies to investigate other GCC stock markets, will increase our understanding of the dynamics between oil price fluctuations and GCC sectoral returns. (original abstract)

6

Bezpośrednie inwestycje zagraniczne i wzrost gospodarczy w państwach G-5 oraz BRICS - analiza przyczynowości w sensie Grangera

75%

Folfas P.

Ekonomia XXI Wieku

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2015

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nr nr 3 (7)

30-45

XX

Opracowanie dotyczy związku między strumieniami napływających BIZ a wzrostem realnego PKB w dziesięciu państwach: we Francji, Japonii, Niemczech, USA i Wielkiej Brytanii oraz w Brazylii, Chinach, Indiach, Rosji i RPA w latach 1971-2012. Analiza oparta jest na teście przyczynowości w sensie Grangera, a celem badania jest odpowiedź na pytanie, czy występuje jednokierunkowa czy dwukierunkowa (lub nie występuje wcale) przyczynowość między strumieniami napływających BIZ a wzrostem realnego PKB w dziesięciu gospodarkach należących do grup G-5 i BRICS. Na podstawie przeprowadzonych testów przyczynowości w sensie Grangera przynajmniej jednokierunkowa przyczynowość między strumieniami napływających BIZ a wzrostem realnego PKB jest potwierdzona tylko w dwóch z dziesięciu analizowanych państw (w Japonii i Indiach). W świetle wyników badania empirycznego oraz przeglądu literatury sformułowanie wniosków dotyczących wszystkich gospodarek lub chociażby wszystkich krajów wysoko rozwiniętych czy rozwijających się nie jest możliwe. Zasadne jest stwierdzenie, że związek przyczynowo-skutkowy między napływami BIZ a wzrostem realnego PKB jest kwestią indywidualną danej gospodarki i prawdopodobnie zależy od specyficznych czynników danej gospodarki goszczącej, a także od okresu analizy.(abstrakt oryginalny)

EN

Research concerns causality between FDI inflows and real GDP growth in ten countries: France, Germany, Japan, U.S., U.K., Brazil, China, India, Russia and South Africa during the period 1971-2012. The analysis is based on Granger-causality tests. The study is aimed at answering a question whether there is one way or two-way causality (or no causality at all) between FDI inflows and real GDP growth in G-5 and BRICS countries. According to the Granger-causality tests one-way causality occurs only in the case of Japan and India. Thus, Granger-causality between FDI inflows and real GDP growth seems to be a country-specific issue and any genral conlusions concerning developed or developing economies are not justified.(original abstract)

7

The Cause-and-effect Relationships between the Real Estate Market and the Stock Market in Poland

75%

Nowak K.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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2020

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nr nr 8 (64)

118-132

XX

: Rynek nieruchomości i giełda to dwa elementy rynku finansowego. Celem badawczym artykułu jest odpowiedź na pytanie, czy w polskich warunkach można mówić o zależności przyczynowo-skutkowej między tymi dwoma rynkami. W tym celu zweryfikowano, czy występuje istotna statystycznie zależność między indeksem WIG Nieruchomości oraz średnimi cenami transakcyjnymi nowych mieszkań w 10 miastach wojewódzkich, liczbą mieszkań oddanych do użytkowania oraz wartością i liczbą nowych kredytów hipotecznych. Ponadto zbadano, czy notowania indeksu WIG Nieruchomości są zależne od głównych indeksów giełdowych notowanych na Giełdzie Papierów Wartościowych w Warszawie. Sformułowano trzy modele autoregresji wektorowej, przeprowadzono również test przyczynowości Grangera. Uzyskane wyniki wskazują, iż jedynie liczba mieszkań oddanych do użytkowania nie wpływa na WIG Nieruchomości. Największy wpływ na notowania indeksu WIG Nieruchomości przejawiają średnie ceny transakcyjne nowych mieszkań.

EN

The real estate market and the stock market are two elements of the financial market. The objective of the article is to verify if there can be established the cause-and-effect relationships between these two markets in Poland. In order to realise that goal the author verified if quotations of the WIG Real Estate index are affected by the mean transaction price of new apartments in 10 voivodeship cities, the number of apartments with the official permit to inhabit, as well as the value and number of new mortgage loans. The relationships between the WIG Real Estate and two main stock indexes quoted on the Warsaw Stock Exchange were also examined. Three Vector Auto-Regression models were formulated, and a Granger causality test was conducted. The study revealed that only lags of the number of apartments put into use did not affect the WIG Real Estate. Moreover, the time series of the mean transaction price of new apartments impacts most on the WIG Real Estate.

8

Nonlinear Granger Causality between Natural Gas and Heating Oil Prices and Selected Exchange Rates

75%

Zeug-Żebro K.

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2023

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nr z. 186 W kierunku przyszłości zarządzania

759-769

EN

Purpose: The currently observed uncertainty in financial markets related to changes taking place in the modern world requires investors to look for tools that allow for good forecasting of the price of financial instruments. The detection of causal relationships may contribute to improving the quality of forecasts by reducing the variance of the prediction error. The aim of the research is to detect nonlinear Granger causality in both directions between selected financial instruments and to check whether the identified relationships are stable over time. Design/methodology/approach: The study of causal relationships between selected financial instruments was carried out using the nonparametric Diks-Panchenko test. This test identifies all types of relationships: linear and nonlinear. Findings: In the first phase of the study, nonlinear Granger causality was tested using the nonparametric Diks-Panchenko test. Six values of lags and two distance measures were used. It is then shown that the significance of the detected relationships has changed in recent years. For this purpose, two directions of causality and three sub-periods were analyzed. Research limitations/implications: Due to the short-term character of the detected relationships, they should be taken into consideration primarily by market participants, to create effective investment portfolios and risk-hedging strategies. Practical implications: Application in making investment decisions on the capital market. Originality/value: The use of information on causal relationships to improve the quality of forecasts related to the energy and currency markets. (original abstract)

9

Comparing Links between Topic Trends and Economic Indicators in the German and Polish Academic Literature

75%

Bystrov V. , Naboka-Krell V. , Staszewska-Bystrova A. , Winker P.

Comparative Economic Research

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2024

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tom 27

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nr nr 2

7-28

XX

W ostatnim czasie obserwować można gwałtowny wzrost popularności metod analizy ekonomicznej wykorzystującej zmienne pozyskane z tekstów. Jednym z najczęściej stosowanych podejść jest modelowanie tematów, które pozwala na oszacowanie, jak waga poszczególnych tematów zmieniała się w czasie. Celem artykułu jest zbadanie, czy mierzona za pomocą wag popularność tematów była powiązana z wybranymi zmiennymi ekonomicznymi. W badaniu wykorzystano artykuły naukowe z obszaru ekonomii, opublikowane w Polsce i Niemczech w latach 1984-2020. Jednym z celów analizy było stwierdzenie, czy zależności pomiędzy popularnością wybranych tematów w Polsce i w Niemczech i powiązanymi z nimi wskaźnikami ekonomicznymi były podobne. Badanie przeprowadzono za pomocą modeli wektorowej autoregresji i testów przyczynowości Grangera. (abstrakt oryginalny)

EN

The popularity of econometric analyses that include variables obtained from text mining is growing rapidly. A frequently applied approach is to identify topics from large corpora, which makes it possible to determine trends that reflect the changing relevance of topics over time. We address the question of whether such topic trends are linked to quantitative economic indicators typically used for analysing the objects described by atopic. The analysis is based on academic economic articles from Poland and Germany from 1984 to 2020. There is a specific focus on whether relationships between topic trends and indicators are similar across national economies. The connection between topic trends and indicators is analysed using vector autoregressive models and Granger causality tests. (original abstract)

10

O wartości informacyjnej testów przyczynowości w sensie Grangera

75%

Maziarz M.

Optimum : studia ekonomiczne

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2015

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nr nr 2 (74)

152-170

XX

Celem artykułu jest wykazanie na podstawie przeglądu badań, że zastosowanie testów Granger-przyczynowości nie dostarcza wiarygodnych informacji o zależności pomiędzy badanymi szeregami czasowymi, jeżeli nie dysponuje się wiedzą teoretyczną na ich temat. Dotychczasowa krytyka testowania przyczynowości w sensie Grangera skupiała się przede wszystkim na wskazywaniu różnic pomiędzy tradycyjnie rozumianą przyczynowością a definicją zaproponowaną przez Grangera. Autor wykazuje, że analizowana definicja przyczynowości ma uzasadnienie filozoficzne, jednak stosowanie testów Granger-przyczynowości prowadzi do błędnych wniosków, co jest wynikiem m.in.: nieliniowości szeregów czasowych, zbyt rzadkiego próbkowania szeregów czasowych, skointegrowania zmiennych, zdeterminowania szeregów czasowych przez trzecią zmienną, istnienia zależności nieliniowej oraz racjonalnych oczekiwań podmiotów ekonomicznych. Analiza opisanych w literaturze przypadków zawodności wyników testów przyczynowości w sensie Grangera pozwala stwierdzić, że wyciągnięcie wniosków o istnieniu i kierunku zależności przyczynowej na podstawie testu Granger-przyczynowości jest możliwe tylko wtedy, gdy posiada się wiedzę o mechanizmie łączącym dwa szeregi czasowe. (abstrakt oryginalny)

EN

The purpose of this paper is to show that the application of Granger-causality tests is not informative unless one possesses additional theoretical knowledge. Previous criticism on Granger-causality testing pointed out mostly the differences between the common sense understanding of causality and Granger s definition. The author demonstrates that Granger's definition of causality is philosophically justified. However, the use of its tests is misleading due to: data non-linearity, too low sampling rate, time series cointegration, third-variable fallacy, non-linear causal dependency, and the rational expectations of economic agents. It can be said that the fallibility of Granger-causality testing described in the literature makes drawing conclusions about the existence and direction of causal relationship possible only if the researcher applying a Granger-causality test has knowledge of the mechanism connecting the two time series. (original abstract)

11

The Tourism-Led Terrorism Hypothesis - Evidence from Italy, Spain, UK, Germany and Turkey

75%

Nikšić Radić M. , Dragičević D. , Barkiđija Sotošek M.

Journal of International Studies

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2018

|

tom 11

|

nr nr 2

236-249

EN

The aim of this study was to explore the causal relationship between terrorism and international tourism arrivals in several selected European tourist destinations. The main goal is to look at this issue from another perspective, i.e. whether the tourism-led terrorism hypothesis can be proved valid in addition to the already established terrorist-led tourism hypothesis. The study used econometric techniques such as the unit root test, the Granger causality test in a vector autoregressive model (VAR model), the analysis of variance decomposition and the impulse response function for the monthly time-series data from 2001 (1) to 2015 (12). Based on the research conducted, it was found that tourism Granger causes terrorism in Turkey, United Kingdom and Germany, while terrorism Granger causes tourism in Italy and Spain. (original abstract)

12

Scientific Research Activity and GDP : an Analysis of Causality Based on 144 Countries from Around the World

75%

Dębski W. , Świderski B. , Kurek J.

Contemporary Economics

|

2018

|

tom 12

|

nr nr 3

315-336

EN

Using the Granger methodology, this paper presents the causal relationship between scientific research activity, expressed as the number of significant publications, and gross domestic product (GDP). With causality tests, this relationship is investigated from two points of view: for each individual country (144 were selected) and for each specific academic field (28 were selected). Considering annual data from 1996 to 2012, two hypotheses are tested. The first suggests that scientific research activity in a given country has a significant effect on GDP; the second verifies how much each specific field of scientific research activity affects this growth. Our research confirmed the existence of this relationship for a relatively large number of countries, especially highly developed countries and those with a high potential both in the fields of scientific research activity and in GDP. Moreover, this study identifies the most significant fields of this activity that affect GDP. Additionally, the article includes an empirical study regarding how information related to the number of significant scientific publications influenced the quality of Polish GDP forecasts for 2011-2012. (original abstract)

13

Foreign Direct Investment Outflow as a Determinant of Exports from Central and Eastern Europe - Evidence from Poland

75%

Adamczyk P.

Journal of International Studies

|

2021

|

tom 14

|

nr nr 4

23-38

EN

For Poland, as well as for other Central and Eastern European countries, export is an important factor for economic development. Particular importance of exports in these countries is attributed to FDI inflows. However, both theory and empirical research indicate that FDI outflows (even though their values are smaller than the values of inflows) may also affect exports from these countries. After 2004 there was a sharp increase in Polish investments in Europe, which was also the main destination of Polish exports, raising the question of how this would affect exports. The purpose of this paper is to prove that FDI outflow affects exports more than its inflow. Granger causality test was used to examine the causality between the accumulated FDI flows and exports in selected manufacturing industries. The study showed that FDI outflow was determining exports in three industries, whereas FDI inflow was dictating exports in two industries. Additionally, there was causality from FDI outflow to exports at the macroeconomic level and from exports to FDI inflow at the sector level (manufacturing). The conclusion is that more emphasis should be put on examining the consequences of FDI outflow from the countries of Central and Eastern Europe. (original abstract)

14

Powiązania bezrobocia na lokalnych rynkach pracy - przykład Szczecina i gmin sąsiadujących

75%

Radlińska K.

Studia i Prace WNEiZ US

|

2017

|

nr nr 50 T. 2. Metody ilościowe w ekonomii

141-152

XX

Rynek pracy jest obszarem wielu rozważań teoretycznych i empirycznych. Szczególnie ważne wydaje się poznanie mechanizmu powiązań, jakie zachodzą na rynkach pracy. Celem artykułu jest próba określenia powiązań bezrobocia w mieście Szczecin z bezrobociem w gminach bezpośrednio z nim sąsiadujących. W ramach badań starano się określić rodzaj powiązań łączących analizowane rynki oraz kierunek tej zależności. Badaniami objęto rynki pracy miasta Szczecina oraz gmin bezpośrednio z nim sąsiadujących. Analizę powiązań przeprowadzono na podstawie miesięcznych danych dotyczących liczby bezrobotnych w latach 2001-2015. Do badań wykorzystano test Johansena oraz test przyczynowości Grangera. Uzyskane wyniki wskazują na długookresowy związek liczby bezrobotnych w mieście Szczecin z liczbą bezrobotnych w gminach sąsiadujących.(abstrakt oryginalny)

EN

Seasonality is an issue discussed relatively rarely in the labour market analyses. Particularly it is important to know the relationship between labor markets. The article attempts to defi ne the relation between unemployment in Szczecin and unemployment in municipalities with him directly adjacent. The study identifi ed the type of relation between the analyzed markets and the direction of this relationship. The study included labor markets in the city of Szczecin and municipalities directly adjacent to it. The analysis was based on the Central Statistical Office data on the number of the unemployment in Poland from January 2001 to December 2015. The study used Johansen test and Granger causality test. The results indicate the long-term relationship the number of unemployed in Szczecin and unemployment in municipalities with him directly adjacent.(original abstract)

15

Is Ringgit Really Influenced by Crude Oil Price? Evidence From Commodity and Bank Lending Markets

75%

Razak Abdul Hadi A. , Hanafia Hurid M. , Zaini S. M. , Zainudin Z.

Contemporary Economics

|

2019

|

tom 13

|

nr nr 4

407-416

EN

This study aims to investigate the effects of crude oil price (COP) and base rate (BR) on the strength of the Ringgit (RM) against the US Dollar (USD). Within the framework of the international Fisher effect theory, the study employs yearly data from the Bloomberg Database over an observed period from 1984 through 2017. Using bivariate Engle-Granger cointegration test as an estimation tool, the study reveals the presence of a long-term relationship between the RM and COP. However, the results of the Granger Causality test show an absence of a dynamic relationship between them. From the second analysis between the RM and BR, the study finds the presence of both long-term and short-term relationships between them. Interestingly, the relationship is somewhat bidirectional. Overall, the study has suggested the relevance of the international Fisher effect in explaining how variations in the RM exchange rate are elucidated by the bank lending market. In addition, it is worth noting that both BR and COP exert a significant influence on the strength of the RM against USD over time. (original abstract)

16

Financial Development and Investment in Botswana: A Multivariate Causality Test

75%

Muyambiri B. , Odhiambo N. M.

Folia Oeconomica Stetinensia

|

2018

|

nr vol. 18, iss. 2

72-89

EN

The increasing use of the Internet as a commercial sales channel arouses interest in understanding key issues in building customer relationships. Confidence is considered the key to the success of building these relationships. Considering the differences between online and offline sales, the antecedents and consequences of trust deserve a reconsideration. This research identifies satisfaction and knowledge as key factors related to trust in the context of online sales. The findings from this study suggest that people buy online more often if they see a higher level of trust in e-commerce and have more experience in using the web. Customer satisfaction can be influenced by the level of trust as well as the user's experience and knowledge about the distribution channel as well as the e-seller. It seems that people with a higher level of satisfaction with shopping become loyal customers and more often participate in e-commerce. Positive experience and the ability to monitor purchases favors the development of the e-commerce market in Poland. These results complement earlier arrangements for e-commerce and shed light on how to establish a trust relationship on the World Wide Web.(original abstract)

17

Financial and Economic Development Link in Transitional Economies : a Spectral Granger Causality Analysis 1991-2017

75%

Skare M. , Porada-Rochoń M.

Oeconomia Copernicana

|

2019

|

tom 10

|

nr nr 1

7-35

EN

Research background: The relationship between financial development and economic growth has been attracting attention in the field of economics since the times of the "great moderation". Previous empirical studies still fail to put forward a general conclusion on whether and how financial development affects economic growth. This is particularly true due to the lack of empirical research on the matter in question for countries in transition.Purpose of the article: This study aims to contribute to bridging the gap in the financial development-growth nexus in transitional economies. Understanding the mechanism behind financial development and economic growth should assist policymakers in the design of efficient economic policies or avoiding/alleviating financial cycles.Methods: Using Granger causality test in frequency domain, which shows to have more power over standard time domain Granger causality test, as well as gross domestic product (GDP) and the monetary base (M2 - intermediate money), we investigated the finance-growth relationship in 19 Central, East, and Southeast European countries (CESEE) from 1991 to 2017.Findings & Value added: Study results show that financial development is important for growth in CESEE countries, thus supporting the "supply-leading" theories in general for countries in the sample. Our findings indicate that the relationship between financial development and economic growth exists in CESEE countries (with one exception - the Czech Republic) ranging from unidirectional (Albania, Bosnia and Hercegovina, Belarus, Estonia, Macedonia, Russia, Turkey), to bi-directional spectral Granger causality (Bulgaria, Croatia, Hungary, Kazakhstan, Latvia, Lithuania, Poland, Romania, Slovenia, Slovakia, Ukraine). (original abstract)

18

Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

75%

Cellmer R. , Bełej M. , Cichulska A.

Real Estate Management and Valuation

|

2019

|

nr vol. 27, iss. 4

85-95

EN

The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years. (original abstract)

19

The Structure - Conduct - Performance Paradigm in the European Union Banking

75%

Gavurova B. , Kocisova K. , Kotaskova A.

Economics & Sociology

|

2017

|

tom 10

|

nr nr 4

99-112

EN

In this study we investigate the structure and performance at the European Union (EU) banking market as a whole between 2008 and 2015. The structure of this banking market was measured by two main concentration indices: the Herfindahl-Hirschman Index (HHI) and the Concentration Ratio for 5 largest banks (CR5). The results show a stable development in concentration until 2012, and a significant decrease in 2012. Since 2013, the level of concentration increased, reaching its historical maximum at the end of 2014, when the increase in market concentration was reflecting primarily the decline in the number of credit institutions. The performance was measured by means of profitability indicators: the Return on Assets (ROA) and the Return on Equity (ROE). Since 2008, the development of the market in question was affected by the financial crisis, which resulted in low profitability till the end of 2013. In more recent years the profitability in European banking market slightly increased. The purpose of this paper was to examine the relations between structure and performance. We tried to test the presence of structure-conduct- performance (SCP) paradigm in the EU conditions. The presence of this paradigm was verified using the Granger causality test for panel data. The results of our analysis show that under the studied conditions only the one-way relationship running from banking sector performance to banking market concentration was approved. The findings do not confirm the presence of the SCP paradigm, but are in line with the quiet life hypothesis, thus indicating there is a negative relationship between concentration and performance at European banking market. (original abstract)

20

Economic Restructuring and Employment in Vietnam: A Panel Granger Causality Approach

75%

Trong N. T. , Dong N. T. , Ly P. T.

Journal of International Studies

|

2021

|

tom 14

|

nr nr 2

58-69

EN

Economic restructuring is an objective process that alters structure, density, speed and quality of economic relations between sectors and regions to achieve a more reasonable structure for the social and economic development of a country. This process can be very diverse, as sometimes it is not in accordance with rules, thus the results of economic restructuring may depend on subjective or objective factors. Vietnam is a country with an abundant labor force, thus economic restructuring towards creating more jobs for workers is considered a key task of its today's economy. Through the statistical data on the structure of economic sectors and employment in 56 provinces and cities across the country in the period of 1998-2017, combined with the use of Granger causality method, the article examines the relationship between economic restructuring and employment in Vietnam. The research results show that economic restructuring has a positive impact on employment, but there is no statistical evidence for the effect of employment on economic restructuring. The research results are consistent with the reality of economic restructuring and job growth in Vietnam, because when the structure of the economic sector changes suit the development of the world, the labor market in Vietnam also changes to meet the changing needs of the economy. (original abstract)