Granger Nedensellik Sınamasında Yeni Yaklaşımlar
New Approaches in Granger Causality Testing
Contributor(s): Emrah İsmail Çevik (Editor), Buket Kırcı Altınkeski (Editor)
Subject(s): National Economy, Supranational / Global Economy, Energy and Environmental Studies, Economic history, Economic policy, Economic development, Financial Markets, Fiscal Politics / Budgeting, ICT Information and Communications Technologies, Socio-Economic Research
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: Granger Causality Testing; causality; economic growth; economic development;
Summary/Abstract: The concept of causality, developed by Wiener (1956) and Granger (1996), has been a cornerstone for examining the dynamic relationships between time series. Since the Granger causality relationship helps researchers to formulate a suitable model and obtain better predictions for the variables, it has attracted attention in the literature and the Granger causality test has been employed in many studies. In this study, current methods used in Granger causality tests are included. In this context, in the relevant sections, the regime-dependent causality test proposed by Krolzig (1996), the lag-augmented VAR-based causality test developed by Toda and Yamamoto (1996), the causality test in variance proposed by Hong (2001), the frequency domain test developed by Breitung and Candelon (2006), the asymmetric causality test developed by Hatemi-J (2012), and Fourier Granger causality test proposed by Enders and Jones (2016) are discussed theoretically and empirically. We would like to thank all the chapter authors who contributed to the book.
- E-ISBN-13: 978-975-447-602-6
- Print-ISBN-13: 978-975-447-602-6
- Page Count: 115
- Publication Year: 2023
- Language: Turkish, English
Impact of Credit Risk on Stock Market and Short-Term Financing: Evidence From the U.S. Market
Impact of Credit Risk on Stock Market and Short-Term Financing: Evidence From the U.S. Market
(Impact of Credit Risk on Stock Market and Short-Term Financing: Evidence From the U.S. Market)
- Author(s):Samet Günay
- Language:English
- Subject(s):Supranational / Global Economy, Methodology and research technology, Financial Markets
- Page Range:1-17
- No. of Pages:17
- Keywords:Stock Market; Credit risk; U.S. equity market;
- Summary/Abstract:In this study, we examine the impact of two leading credit risk indicators (ABX.HE and CDX.NA.IG indexes) on the U.S. equity market (the Dow Jones Industrial Average index, DJIA) and short-term financing stress (TED spread) through asymmetric causality and Markov Regime-Switching regression analysis. According to the findings, CDX.NA.IG dominates ABX.HE index both in negative and positive returns. Additionally, it appears to be more impactful over the U.S. equity market and short-term financing stress. Markov Regime-Switching regression analysis shows that CDX.NA.IG negatively affects the U.S. equity market returns and escalates the short-term financing stress in expansionary and contractionary regimes. These effects become considerably higher during financial turmoil. Based on our findings, we suggest market participants monitor the CDX.NA.IG index for potential trend reversals in the equity market and liquidity crunch in the debt market. This attention would help in working capital management.
Yapısal Kırılmalı Durağanlık Testi ve Granger Nedensellik Analizi: Türkiye’de Kadın İntihar Oranının Ekonomik Değişkenler ile İlişkisi
Yapısal Kırılmalı Durağanlık Testi ve Granger Nedensellik Analizi: Türkiye’de Kadın İntihar Oranının Ekonomik Değişkenler ile İlişkisi
(Stationary Test with Structural Breaks and Granger Causality Analysis: The Relationship between Female Suicide Rate and Economic Variables in Turkiye)
- Author(s):Hayriye Esra Akyüz
- Language:Turkish
- Subject(s):Gender Studies, Economic history, Social history, Labor relations, Health and medicine and law, Demography and human biology, Transformation Period (1990 - 2010), Present Times (2010 - today), Socio-Economic Research
- Page Range:19-35
- No. of Pages:17
- Keywords:Turkey; Granger Causality Analysis; causality relationship;
- Summary/Abstract:In this study, it was aimed to examine the causality relationship between female suicide rate, fertility rate, female unemployment rate, inflation and gross domestic product between 2000-2022 in Turkey. In the examination of stationarity, Augmented Dickey and Fuller (ADF), Phillips-Perron (PP), Kwiatkowsky-Philips-Schmidt-Shin (KPSS) and Dickey-Fuller generalized least squares, Zivot and Andrews one structural break test were used and Granger causality test was conducted to investigate the causality relationship. According to the results of ADF, PP and KPSS unit root tests, it was determined that all series were stationary at the first difference. A bi-directional causality relationship was found between female suicide rate and fertility rate, and unidirectional causality relationship was found from female unemployment rate to female suicide rate and fertility rate. On the other hand; it has been determined that female suicide rate, female unemployment rate and GDP per capita are the causes of inflation and there is a unidirectional causality relationship from these variables to inflation. According to Granger causality test results, there is no Granger causality relationship between female suicide rate and GDP per capita.
Türkiye’de Elektrik Tüketimi ve Büyüme Arasındaki Nedensellik İlişkisi: MS-Granger Yaklaşımı
Türkiye’de Elektrik Tüketimi ve Büyüme Arasındaki Nedensellik İlişkisi: MS-Granger Yaklaşımı
(The Causality Relationship Between Electricity Consumption and Growth in Türkiye: MS-Granger Approach)
- Author(s):Funda Durgun
- Language:Turkish
- Subject(s):National Economy, Energy and Environmental Studies, Economic development
- Page Range:37-50
- No. of Pages:14
- Keywords:Turkey; Electricity Consumption; economic growth; Granger Causality Testing;
- Summary/Abstract:In this study, the causality relationship between electricity consumption and economic growth was investigated by using the regime-dependent Granger (MS-Granger) method based on the Markov-Switching VAR model, which is one of the new approaches in Granger causality testing. The variables used in the analyzes were not linear and were stationary at their first difference. Since the MS-Granger method is calculated depending on the regimens, the Markov-Switching VAR (MS-VAR) model was estimated first. The estimated MS-VAR model has two regimes and the lag length is determined as one. The regimes obtained according to the model are named as low growth period (first regime) and high growth period (second regime). With the help of these regimes, the MS-Granger causality test was estimated. According to the results obtained, one-way causality relationship from electricity consumption to economic growth in the high growth period was found to be significant. This result confirms the growth hypothesis. In this context, electricity consumption contributes to economic growth. Therefore, the implementation of protectionist policies (such as restricting the use of electrical energy and/or saving energy) will negatively affect economic growth. In order to support economic growth, it is necessary to make regulations to increase electricity consumption.
Enflasyon ile Tüketici Kredisi Faiz Oranları Arasındaki ilişkinin Toda-Yamamoto Nedensellik Yöntemi ile Analizi: Türkiye Örneği
Enflasyon ile Tüketici Kredisi Faiz Oranları Arasındaki ilişkinin Toda-Yamamoto Nedensellik Yöntemi ile Analizi: Türkiye Örneği
(Analysis of the Relationship between Inflation and Consumer Loan Interest Rates in Turkey using the Toda-Yamamoto Causality Method)
- Author(s):Emre Ürkmez
- Language:Turkish
- Subject(s):Economic policy, Financial Markets, Fiscal Politics / Budgeting
- Page Range:51-63
- No. of Pages:13
- Keywords:Inflation; Turkey; interest rates; macroeconomics;
- Summary/Abstract:Inflation and interest rates are two important macroeconomic variables in monitoring economic activities. Monetary Policy makers can make changes in interest rates to control inflation. Higher interest rates can reduce consumer spending and investment by increasing credit costs, thereby reducing inflation. On the other hand, low inflation rates can increase the risk of deflation in the economy and prevent consumers from spending. In this case, monetary policy makers can lower interest rates and increase consumer spending. This study examines the relationship between inflation rates and consumer loan interest rates in Turkey using by the Toda-Yamamoto (1995) causality test method with monthly data from 2004 to 2022. Empirical findings show that there is no causality relationship in either direction between inflation rates and consumer loan interest rates. There may be several reasons for the lack of a causal relationship between inflation rates and consumer loan interest rates in Turkey. The decrease in the effectiveness of the monetary policy implemented by the Central Bank and the high consumer loan interest rates even though inflation is low due to the high risk premium of the country. Additionally, It may also be that there is no linear relationship between inflation and consumer loan interest rates.
Kripto Paralar ile Dolar Endeksi Arasında Varyansta Nedensellik İlişkisi
Kripto Paralar ile Dolar Endeksi Arasında Varyansta Nedensellik İlişkisi
(The Causality Relationship in the Variance between Crypto Currencies and the Dollar Index)
- Author(s):Serhat Sezen
- Language:Turkish
- Subject(s):Economy, Financial Markets
- Page Range:65-83
- No. of Pages:19
- Keywords:cryptocurrencies; Causality Relationship; Dollar Index;
- Summary/Abstract:In this paper, it is aimed to determine the possible existence of the volatility spillover effect between the seven cryptocurrencies (Bitcoin, Ethereum, Tether, BNB, Ripple, Cardano and Dogecoin) from which the largest sample volume can be obtained among the top ten cryptocurrencies with the dollar index and the highest market value. intended. For this purpose, using daily data between 31 December 2017 and 09 February 2023, the possible existence of the spillover effect between the dollar index and cryptocurrencies in return and volatility was investigated with the causality test in the mean and variance developed by Hong (2001). According to the results obtained from the causality test on average, a one-way causality relationship has been determined from the Dollar index to Bitcoin, Ethereum, BNB, Ripple and Cardano. This result shows that the changes seen in the prices of Bitcoin, Ethereum, BNB, Ripple and Cardano cryptocurrencies in the returns are affected by the price movements seen in the Dollar index. On the other hand, no causal relationship was found between the Dollar index and Tether and Dogecoin. According to the causality test results in variance, it has been determined that there is a bidirectional volatility spillover effect between the Dollar index and all cryptocurrencies in the study. This result means that Bitcoin, Ethereum, Tether, BNB, Ripple, Cardano and Dogecoin cryptocurrencies will react instantly and their volatility will increase in the face of a new news about the Dollar index; Similarly, if there is a new news on the market about the cryptocurrencies included in the study, the Dollar index will react immediately and its volatility will increase.
Tüketici Güven Endeksi, Politika Faizi ve Bist100 Endeksi Arasında Fourier Nedensellik İlişkisi: Türkiye Örneği
Tüketici Güven Endeksi, Politika Faizi ve Bist100 Endeksi Arasında Fourier Nedensellik İlişkisi: Türkiye Örneği
(Fourier Causality Relationship between Consumer Confidence Index, Policy Rate and ISE100 Index: The Case of Turkey)
- Author(s):İbrahim Sezer Belliler, Ahmet Demiralp
- Language:Turkish
- Subject(s):Economy, National Economy, Economic policy, Methodology and research technology, Financial Markets
- Page Range:85-101
- No. of Pages:17
- Keywords:causality relationship; consumer confidence index; policy rate; BIST100 index; Turkey;
- Summary/Abstract:In this study, the short-term causality relationship between consumer confidence index, policy rate and BIST100 index was investigated in Turkey. Using monthly data between 2011:01-2023:01, Enders and Jones (2016) Fourier Granger Causality analysis and Nazlıoğlu et al. (2016) Fourier was analyzed using Toda-Yamamoto Causality analysis. As a prerequisite for the Fourier Granger causality analysis, the stationarity of the variables was examined with the ADF unit root test. As a result of the analysis, a one-way short-term causality relationship was found from consumer confidence index to policy rate and from BIST100 to consumer confidence index.
Enerji Tüketimi ve Ekonomik Büyüme Arasında Frekans Alanında Nedensellik Analizi: Türkiye Örneği
Enerji Tüketimi ve Ekonomik Büyüme Arasında Frekans Alanında Nedensellik Analizi: Türkiye Örneği
(Frequency Domain Causality Analysis Between Energy Consumption and Economic Growth: The Case of Turkey)
- Author(s):Buket Kırcı Altınkeski, Fatih Çemrek
- Language:Turkish
- Subject(s):National Economy, Energy and Environmental Studies, Economic development, Fiscal Politics / Budgeting
- Page Range:103-115
- No. of Pages:13
- Keywords:Energy; Turkey; Energy Consumption; Economic Growth;
- Summary/Abstract:Energy is the most basic input element in the modern industrial economy. Economic growth is closely related to energy consumption. In this study, it was aimed to investigate the relationship between energy consumption and economic growth with the causality test in the frequency domain, and to determine both the direction of the relationship and whether the direction of the relationship has changed in the short, medium and long term. In the study, the relationship between energy consumption and economic growth was examined with the help of frequency dimension causality test by using annual data for the 1968-2021 period for the Turkish economy. Before performing the Breitung and Candelon (2006) causality test, the VAR model was estimated using energy consumption and economic growth variables and the optimal lag number was determined. According to the results obtained, only a long-term causality relationship was found from energy consumption to economic growth, while no causality relationship was found from economic growth to energy consumption. These results are consistent with the results found by Aydın (2020) and Rashed and Eren (2021). In line with the findings, energy consumption, which is a complementary element to labor and capital, will affect economic growth in the Turkish economy in the long run. In this context, it is important for decision makers to implement energy incentive policies. If energy raw materials can be offered to producers at low prices or with low tax rates, this will contribute positively to growth.