• Title/Summary/Keyword: Granger Causality

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Analysis of Causal Relationship between Energy Consumption, Production and Export in Domestic Manufacturing Sector (국내 제조업부문의 에너지소비, 생산, 수출간의 인과관계 분석)

  • Kim, Suyi
    • Environmental and Resource Economics Review
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    • v.26 no.1
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    • pp.37-56
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    • 2017
  • This study analyzed the mutual causal relationship between energy consumption, production, and export for manufacturing industry in Korea. The Korean manufacturing industry was divided into nine industries and panel data was constructed from 1991 to 2013. The panel Granger causality test method developed by Demitrescu and Hurlin (2012) was used along with the Vector Error Correction Model. This analysis showed that there was Granger Causality from production to energy consumption, from exports to energy consumption. However, Granger Causality was not established in the opposite direction. Therefore, this result supports the conservation hypothesis of Qzturk (2010) that energy-saving policies in the manufacturing sector can be implemented without adverse effects on production or exports in short-run. There is a long-run cointegrating relationship between production, energy consumption, exports, labor, and capital in the Korean manufacturing sector. Furthermore, the energy consumption contributes to the increasing of production in long-run equilibrium relationship.

Integrating Granger Causality and Vector Auto-Regression for Traffic Prediction of Large-Scale WLANs

  • Lu, Zheng;Zhou, Chen;Wu, Jing;Jiang, Hao;Cui, Songyue
    • KSII Transactions on Internet and Information Systems (TIIS)
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    • v.10 no.1
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    • pp.136-151
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    • 2016
  • Flexible large-scale WLANs are now widely deployed in crowded and highly mobile places such as campus, airport, shopping mall and company etc. But network management is hard for large-scale WLANs due to highly uneven interference and throughput among links. So the traffic is difficult to predict accurately. In the paper, through analysis of traffic in two real large-scale WLANs, Granger Causality is found in both scenarios. In combination with information entropy, it shows that the traffic prediction of target AP considering Granger Causality can be more predictable than that utilizing target AP alone, or that of considering irrelevant APs. So We develops new method -Granger Causality and Vector Auto-Regression (GCVAR), which takes APs series sharing Granger Causality based on Vector Auto-regression (VAR) into account, to predict the traffic flow in two real scenarios, thus redundant and noise introduced by multivariate time series could be removed. Experiments show that GCVAR is much more effective compared to that of traditional univariate time series (e.g. ARIMA, WARIMA). In particular, GCVAR consumes two orders of magnitude less than that caused by ARIMA/WARIMA.

Nonparametric Granger Causality Test

  • Jeong, Ki-ho;Nishiyama, Yoshihiko
    • Journal of the Korean Data and Information Science Society
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    • v.18 no.1
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    • pp.195-210
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    • 2007
  • This paper develops a consistent nonparametric test for Granger causality in the context of strong-mixing process, which covers a large class of stationary processes including ARMA and ARCH models. The previously proposed tests require absolute regularity ($\beta$-mixing) more stringent than the strong-mixing condition. We prove the consistency of the test under a high level assumption on the approximation error of U statistic by its projection. Due to the sample splitting, the test statistic we propose is asymptotically normally distributed under the null.

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Causality change between Korea and other major equity markets

  • Kwon, Tae Yeon
    • Communications for Statistical Applications and Methods
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    • v.25 no.4
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    • pp.397-409
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    • 2018
  • The world financial markets are inter-linked in ways that varies according to market and time. We examine the causality of change focusing on the Korean market as related to the U.S. (S&P 500), Japan (Nikkei 225), Hong-Kong (HSI), and European (DAX) markets. In order to capture time-varying causality running from and to the Korea stock market, we apply the Granger causality test under a VAR model with a wild bootstrap rolling-window approach. We also propose a new concept of a significant causality ratio to measure the intensity of the Granger causality in each time unit. There are many asymmetric strengths in mutual Granger causal relationships. Moreover, there are cases with significant Granger causal relations only in one direction. The period with the most severe Granger causality both running from and to the KOSPI market is the GFC. The market that formed the two-way Granger causal relationship with the KOSPI market for the longest period is the S&P 500. The HSI and DAX markets have the strongest two-way Granger causal relationship with the KOSPI shortly after 2000, and the Nikkei market had the strongest two-way Granger causal relationship with the KOSPI market before the Asian financial crisis.

Causality Analysis for Public and Private Expenditures on Health Using Panel Granger-Causality Test

  • Lee, Su-Dong;Lee, Junghye;Jun, Chi-Hyuck
    • Industrial Engineering and Management Systems
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    • v.14 no.1
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    • pp.104-110
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    • 2015
  • Every year governments spend their national budget on public health in order to reduce financial burden of individuals on health. Although it has been widely believed that the increase of public expenditure on health decreases private health expenditure, it has not been proved by analysis with real data. For better understanding, we conducted an empirical study on the real data of 17 OECD countries-Australia, Austria, Canada, Denmark, Finland, Germany, Iceland, Ireland, Japan, Korea, New Zealand, Norway, Portugal, Spain, Sweden, the United Kingdom, and the United States. The panel Granger-causality test is used to verify the cause-and-effect relationship between the two expenditures. As a result, public expenditure on health has a 3 to 4 year-lagged negative effect on private health expenditure in the cases of the 16 countries except for the United States.

Does Telecommunications Investment Cause Economic Growth: Evidence from Korea

  • Yoo, Seung-Hoon;Jung, Kun-Oh
    • Proceedings of the Korea Technology Innovation Society Conference
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    • pp.141-158
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    • 2001
  • This paper examines the causality issue between telecommunications investment and economic growth for South Korea by applying recently developed time series techniques. Tests for unit roots, co-integration, and Granger causality are presented. The results show that hi-directional causality runs from telecommunications investment to economic growth for South Korea. This means that increased telecommunications investment directly affects economic growth and an increase in real income also influences telecommunications investment. The study also discusses the implications of the results for addressing telecommunications policy in South Korea.

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A Causality Analysis between R&D Investment and Technology Trade (R&D 투자와 기술무역 간의 인과관계 분석)

  • Pak, Cheolmin;Ku, Bonchul
    • Journal of Technology Innovation
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    • v.24 no.2
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    • pp.91-113
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    • 2016
  • The purpose of this study is to examine the causal relationship among R&D spending and variables of technology trade, and to explore promoting R&D activities and revitalizing technology trade. To analyze the causal relationship, we built a multivariate model that consists of government R&D spending, private R&D spending, technical importation and export of techniques, and employed the Granger-causality test based on an error correction model. The results show that there are five Granger-causality relationship among them in the short run, as well as there are eleven Granger-causality relationship among a total of twelve causal relationship, excluding only a unidirectional causality relationship from the government R&D spending to the export of techniques, in the long run. Besides, we attempted the impulse-response analysis on them to observe the reaction of any dynamic system in response to some external change. The significance of this paper is to make sure the causal relationship between R&D investments and the technology trade by analyzing empirically, and to suggest several implications for promoting the R&D activities and revitalizing the technology trade.

Evaluation of Baroreflex Effectiveness in Normal Subject and Obstructive Sleep Apnea Patient during Sleep using Granger Causality Analysis (그레인저 인과성 분석을 이용한 정상인과 수면무호흡증 환자의 수면 중 압수용기 반사 효과의 평가)

  • Jung, Da Woon;Kim, Sang Kyong;Kim, Ko Keun;Lee, Yu-Jin;Jeong, Do-Un;Park, Kwang Suk
    • Journal of Biomedical Engineering Research
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    • v.35 no.4
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    • pp.95-98
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    • 2014
  • The baroreflex is one kind of homeostatic mechanisms to regulate acute blood pressure (BP) changes by controlling heartbeat interval (HBI). To quantify the effect of baroreflex, we suggested a new approach of analyzing Granger causality between systolic BP (SBP) and HBI. The index defined as baroreflex effectiveness (BRE) was generated by the hypothesis that more effectual baroreflex would be related to more effective Granger causal influence of SBP on HBI. Six obstructive sleep apnea (OSA) patients (apnea-hypopnea index, AHI ${\geq}5$ events/hr) and six normal subjects participated in the study. Their SBP and HBI during nocturnal sleep were obtained from a non-invasive continuous BP measurement device. While the BRE ($mean{\pm}SD$) of normal subjects was $47.0{\pm}4.0%$, OSA patients exhibited the BRE of $34.0{\pm}3.8%$. The impaired baroreflex function of OSA patients can be explained by the physiological mechanism associated with recurrent hypoxic episodes during sleep. Thus, the significantly lower BRE in OSA patients verified the availability of Granger causality analysis to evaluate baroreflex during sleep. Furthermore, the range of BRE obtained from normal subjects was not overlapped with that obtained from OSA patients. It suggests the potential of BRE as a new helpful tool for diagnosing OSA.

Granger Causality Test between ENSO and Winter Climate Variability over the Korean Peninsula (엘니뇨-남방진동과 한반도 겨울철 기후변동성의 그랜저 인과관계 검정)

  • Park, Chang-Hyun;Son, Seok-Woo;Choi, Jung
    • Journal of Climate Change Research
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    • v.9 no.2
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    • pp.171-179
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    • 2018
  • The causal relationship between El Nino-Southern Oscillation (ENSO) and winter climate variability in Korea is tested by analyzing Korea Meteorological Administration Automatic Synoptic Observing System datasets for the past 59 years. Consistent with previous studies, positive phase of ENSO (El Nino) tends to cause warmer temperature and heavier precipitation in Korea in early winter with three-week lead time. This causality is quantified by performing Granger causality test. It turns out that ENSO explains an additional 9.25% of the variance of early-winter temperature anomalies in Korea, beyond that already provided by temperature itself. Likewise, 22.18% additional information is gained to explain early-winter precipitation variance by considering ENSO. This result, which differs from simple lead-lag correlation analysis, suggests that ENSO needs to be considered in predicting early-winter surface climate variability in Korea.

Causal Relationship Between Indian Ports' Originated Container Traffic and Total Transshipments of Port of Colombo: A Granger Causality Analysis

  • Bandara, Sooriya;Ryoo, Dong-Keun;Ahn, Ki-Myung
    • Journal of Navigation and Port Research
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    • v.42 no.5
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    • pp.357-364
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    • 2018
  • Colombo noticeably became the most economical gateway to the Indian subcontinent, in terms of cost as well as time. The Colombo Port Expansion Project (CPEP) started commencement with the purpose of accommodating mega ships, under the long-term strategies of making Colombo the hub of South Asia. In this context, the purpose of this study is to investigate the causal relationship between Indian ports' originated container traffic, and total transshipments of the port of Colombo, and also to identify the nature of the causality between the two variables, evaluating Granger causality test results. It finds unidirectional causality from total transshipments of Colombo to Indian ports' originated transshipments in the port of Colombo. It suggested that ongoing port expansion projects, opening up for new markets and attracting new shipping lines in the port of Colombo, have generated significant impact on Indian ports' container traffic, via the port of Colombo. Findings would be valuable for future forecasting of container traffic in Colombo port and the policy-making process in the port as well.