Query : quantile causality test
- Tomiwa Sunday Adebayo2
- Assoil, Ayad1
- Chi-Wei Su1
- Eyob Mulat-Weldemeskel1
- Farrukh Shahzad1
- Huiming Zhu1
- Jianchun Fang1
- Jianhuan Huang1
- Ka, Ndéné1
- KIENDREBEOGO, Youssouf1
- Mohamed Bilel TRIKI 1
- Muhlis Can1
- Nengsheng Luo1
- Ran Tao1
- Sadefo Kamdem, Jules1
- Seong-Min Yoon1
- Sudharshan Reddy Paramati1
- Sultan Salem1
- Taizeng Ren1
- Ugur Korkut Pata1
- Methods and Statistics5
- Political Science2
- Architecture and Space Management1
- Economies and Finances1
Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis
The causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the f...
Relationship between International Reserves and FX Rate Movements
This paper investigates the relationship between international reserves changes and foreign exchange rate movements for five Far Eastern countries (China, Japan, Taiwan, Hong Kong, and Korea) from January 1997 to May 2020. We use the quantile Granger causality test and the quantile autoregressive mo...
THE ROLE OF RELIGIOUS TOURISM IN SUSTAINABLE DEVELOPMENT IN SAUDI ARABIA: EVIDENCE FROM QUANTILE NON-CAUSALITY TEST
This paper empirically examines the role of religious tourism in sustainable development to the projection of Saudi Arabia 2030. This study observes the causal relationship between hajj pilgrims and economic growth in the KSA by conducting a quantile Granger non-causality test. We show that the caus...
The Impact of Tourism Quality on Economic Development and Environment: Evidence from Mediterranean Countries
This paper is the first of its kind to measure the income level of a country’s tourist arrival and empirically examine its impact on economic growth and environmental pollution in a sample of eight Mediterranean countries. The paper undertakes annual data from 1995 to 2014 and employs quantile...
Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index
The aim of this paper is to analyze the dynamic evolution of six liquidity proxies ontime, and to find their causality with the French CAC 40 stock market index returns, overthe period from January 2007 to December 2018. For that, we use a vector autoregressiveapproach and the impulse response funct...
Can More Environmental Information Disclosure Lead to Higher Eco-Efficiency? Evidence from China
The present paper investigates the impact of pollution information transparency index (PITI) on eco-efficiency using a novel panel dataset covering 109 key environmental protection prefecture-level cities in China over the period 2008–2015. We apply an extended data envelopment analysis (DEA) model,...
Role of Export Diversification and Renewable Energy on the Load Capacity Factor in Indonesia: A Fourier Quantile Causality Approach
Sustainable development and reducing environmental pressure are major issues that concern developed as well as developing countries. Although researchers widely use carbon dioxide emissions and ecological footprint within the scope of environmental degradation, a more comprehensive ecological indica...
Can Stock Investor Sentiment Be Contagious in China?
This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, except for in the corporate bond market. In extreme sit...
The moderating role of environmental tax and renewable energy in CO2 emissions in Latin America and Caribbean countries: Evidence from method of moments quantile regression
This paper investigates the effectiveness of environmental tax and renewable energy in mitigating CO2 emissions in 18 Latin America and Caribbean (LAC) countries for the period 1994–2018 after controlling for financial development, non-renewable energy and economic growth. We applied the recently no...
Understanding the Causal Links between Financial Development and International Trade
This paper analyses the causal relationship between financial development and international trade using data of 21 developed and developing countries from 1961 to 2010 and appropriate time series techniques that allow us to decompose the source of causation according to the order of integration of t...