| 1. |
- Gunduz, Lokman, et al.
(författare)
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Is the tourism-led growth hypothesis valid for Turkey?
- 2005
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Ingår i: Applied Economics Letters. - : Routledge. - 1350-4851 .- 1466-4291. ; 12:8, s. 499-504
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Tidskriftsartikel (refereegranskat)abstract
- Like many developing countries, Turkey has also given priority to the development of tourism industry as a part of its economic growth strategy. This study intends to investigate whether tourism has really contributed to the economic growth in Turkey. The interaction between tourism and economic growth is investigated by making use of leveraged bootstrap causality tests. This method is robust to the existence of non-normality and ARCH effects. Special attention is given to the choice of the optimal lag order of the empirical model. It is found that the tourism-led growth hypothesis is supported empirically in the case of Turkey.
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| 2. |
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| 3. |
- Gündüz, Lokman, et al.
(författare)
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Stock Price and Volume Relation in Emerging Markets
- 2005
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Ingår i: Emerging markets finance & trade. - : M. E. Sharpe. - 1540-496X .- 1558-0938. ; 41:1, s. 29-44
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Tidskriftsartikel (refereegranskat)abstract
- This paper explores the causal relationship between stock prices and volume figures for stock markets in the Czech Republic, Hungary, Poland, Russia, and Turkey. Prior to running causality tests, the time series properties of the data are carefully investigated and special attention is given to the choice of optimal lag order. Granger causality tests, based on the Toda-Yamamoto (1995) procedure, reveal that there is no causal relationship between the variables in the Czech Republic. In Hungary, there is a bidirectional causality irrespective of volume or market turnover tested. In Poland, while there is bidirectional causality between stock prices and volume, there exists a unidirectional causality running from market turnover to stock prices. The stock prices unidirectionally cause both volume and market turnover without any feedback in the case of Russia and Turkey. These results have important implications regarding market efficiency and the effects of different market characteristics on the stock price/volume relation.
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| 4. |
- Hacker,, R Scott, 1964-, et al.
(författare)
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A Bootstrap Test for Causality with Endogenous Lag Length Choice : theory and application in finance
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Granger causality tests have become among the most popular empirical applications with time series data. Several new tests have been developed in the literature that can deal with different data generating processes. In all existing theoretical papers it is assumed that the lag length is known a priori. However, in applied research the lag length has to be selected before testing for causality. This paper suggests that in investigating the effectiveness of various Granger causality testing methodologies, including those using bootstrapping, the lag length choice should be endogenized, by which we mean the data-driven preselection of lag length should be taken into account. We provide and accordingly evaluate a Granger-causality bootstrap test which may be used with data that may or may not be integrated, and compare the performance of this test to that for the analogous asymptotic test. The suggested bootstrap test performs well and appears to be also robust to ARCH effects that usually characterize the financial data. This test is applied to testing the causal impact of the US financial market on the market of the United Arab Emirates.
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| 5. |
- Hacker, R. Scott, et al.
(författare)
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A bootstrap test for causality with endogenous lag length choice : theory and application in finance
- 2012
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Ingår i: Journal of economic studies. - : Emerald. - 0144-3585 .- 1758-7387. ; 39:2, s. 144-160
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Tidskriftsartikel (refereegranskat)abstract
- Purpose – In all existing theoretical papers on causality it is assumed that the lag length is known a priori. However, in applied research the lag length has to be selected before testing for causality. The purpose of this paper is to suggest that in investigating the effectiveness of various Granger causality testing methodologies, including those using bootstrapping, the lag length choice should be endogenized, by which we mean the data-driven preselection of lag length should be taken into account.Design/methodology/approach – The size and power of a bootstrap test with endogenized lag-length choice are investigated by simulation methods. A statistical software component is produced to implement the test, which is available online.Findings – The simulation results show that this test performs well. An application of the test provides empirical support for the hypothesis that the UAE financial market is integrated with the US market.Social implications – The empirical results based on this test are expected to be more precise.Originality/value – This paper considers a bootstrap test for causality with endogenous lag order. This test has superior properties compared to existing causality tests in terms of size, with similar if not better power and it is robust to ARCH effects that usually characterize financial data. Practitioners interested in causal inference based on time series data might find the test valuable.
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| 6. |
- Hacker, R Scott, et al.
(författare)
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A Test for Multivariate ARCH Effects
- 2005
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 12:7, s. 411-417
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Tidskriftsartikel (refereegranskat)abstract
- This paper extends Engle's LM test for ARCH affects to multivariate cases. The size and power properties of this multivariate test for ARCH effects in VAR models are investigated based on asymptotic and bootstrap distributions. Using the asymptotic distribution, deviations of actual size from nominal size do not appear to be very excessive. Nevertheless, there is a tendency for the actual size to overreject the null hypothesis when the nominal size is 1% and underreject the null when the nominal size is 5% or 10%. It is found that using a bootstrap distribution for the multivariate LM test is generally superior in achieving the appropriate size to using the asymptotic distribution when (1) the nominal size is 5%; (2) the sample size is small (40 observations) and/or the VAR system is stable. With a small sample, the power of the test using the bootstrap distribution also appears better at the 5% nominal size.
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| 7. |
- Hacker, R Scott, et al.
(författare)
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An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis
- 2005
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Ingår i: Applied Financial Economics Letters. - : Informa UK Limited. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.
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| 8. |
- Hacker, R Scott, et al.
(författare)
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Capital Mobility in Sweden : A Time Varying Parameter Approach
- 2007
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 14:15, s. 1115-1118
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Tidskriftsartikel (refereegranskat)abstract
- This article investigates the degree of capital mobility in Sweden during 1993 to 2004 using quarterly data. A time varying parameter model is estimated by the Kalman filter, and it shows that the relationship between investment as share in gross domestic product (GDP) and saving as share in GDP is much less than one (within the interval of 0.25–0.35), indicating substantial capital mobility. However, since the coefficient in each period is statistically different from zero, capital is still not perfectly mobile. Nevertheless, capital mobility seems to have increased until 1995 when Sweden became a member of EU and after membership there seems to be no significant increase in capital mobility.
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| 9. |
- Hacker, R Scott, et al.
(författare)
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How Productivity and Domestic Output Are Related to Exports and Foreign Output in the Case of Sweden
- 2003
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Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 28:4, s. 767-782
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we examine the relationships between two sets of three variables: Swedish real exports, Swedish real GDP, and foreign real GDP in one set; and Swedish real exports, Swedish total factor productivity, and foreign real GDP in the other set. The foreign real GDP facing Sweden is proxied by total OECD real GDP minus Sweden's real GDP. Multivariate tests for integration and cointegration show that the variables in each model are cointegrated. We also perform Granger causality tests on these variables in our examination using the Toda-Yamamoto procedure. We discover bi-directional causality between Swedish real exports and Swedish real GDP (or Swedish total factor productivity). Foreign real GDP is shown to Granger cause Swedish real exports, but no significant causation of foreign real GDP on either domestic GDP or total factor productivity was found. A change in foreign real GDP thus appears to affect Swedish output and productivity only indirectly, through changes in Swedish exports.
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| 10. |
- Hacker, R Scott, et al.
(författare)
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Is the J-Curve Effect Observable for Small North European Economies?
- 2003
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Ingår i: Open Economies Review. - 0923-7992 .- 1573-708X. ; 14:2, s. 119-134
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Tidskriftsartikel (refereegranskat)abstract
- The present study tests for the J-curve for five North European countries—Belgium, Denmark, The Netherlands, Norway, and Sweden—using generalized impulse response functions. The results provide empirical support for the J-curve. Each country has an impulse response function generated from a vector error-correction model that suggests that after a depreciation, there will be a dip in the export-import ratio within the first half-year after the depreciation. The long-run export-import ratio appears to be higher than the low point of this early dip in almost all cases. Also, in most cases, the export-import ratio appears in many periods after the depreciation to be converging from below to a higher long-run equilibrium.
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