Search results

1

Wpływ kryzysu gospodarczego na strumienie BIZ napływających do Polski

100%

Folfas P.

International Business and Global Economy

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2014

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vol. Volume 33

651–662

EN

The world economic crisis, which began in 2008, affected negatively not only national economies but also the intensity of international movements of goods, services, and production factors. This article focuses on the impact of the last economic crisis on the FDI inflows into Poland. It is aimed at answering the research question whether the economic performance of Poland and its main economic partners affect the FDI inflows into Poland, which fell sharply in 2008 and also slightly decreased in 2009. Despite the increases in the FDI inflows during 2010–2011, they did not achieve the level from 2007. Additionally, the vulnerability of the FDI inflows into Poland to economic performance in Poland (host economy) and its main investment partners (home economies) is confirmed by Granger-causalitytests. According to them, in the case of Poland, there is a one-waycausality link between the growth in realGDPand the FDI inflows (case of growth-driven FDI).

2

International trade and economic growth in the Polish economy

80%

GURGUL H., LACH Ł.

Operations Research and Decisions

|

2010

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vol. 20

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issue 3-4

5-29

EN

The paper presents the results of examinations of linear and nonlinear causalities performed for international trade involving the Polish economy and its economic growth. In order to infer the impact of the world crisis on the Polish economy, two samples have been studied (containing quarterly data) – a full sample (Q1 1996–Q3 2009) and pre-crisis sample (Q1 1996–Q3 2008). The results of linear causality tests support the existence of feedback between the growth rate of exports and growth in gross domestic product (GDP) irrespectively of the time period chosen. For both the samples examined, no direct causal links between the growth rates of GDP and imports were detected. One can only suppose the existence of indirect links before the crisis. Bidirectional causality was found for growth rates of exports and imports only for the pre-crisis sample. Some weak evidence of a causal link running from the growth rate of imports to the growth rate of exports was also found for the period that covers the crisis, which may be interpreted as a confirmation of the fact that growth in imports also precedes growth in exports in bullish periods. It results from our computations that, at the time of the financial crisis of 2008, the main factor that caused Polish GDP growth to remain positive was domestic demand. The results of nonlinear causality analysis provided only weak evidence for causality running from GDP to exports, from GDP to imports and from imports to exports.

3

Testing the Granger causality for commodity mutual funds in Poland and commodity prices

80%

Krawiec M.

Metody Ilościowe w Badaniach Ekonomicznych

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2012

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vol. 13

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issue 2

84-95

EN

The recent increase in commodity price levels has resulted in the launch of a number of new commodity funds also in Poland. Since these funds do not have long quotation records, the study designed to answer the question whether changes in prices of commodities on world markets Granger-cause changes in quotations of participation units in specialized commodity funds in Poland, must have been limited to a 3-year-period. It includes 8 commodity funds, 11 commodities and 2 stock indices. Their log-returns constitute the base for calculating some descriptive statistics, testing for normality and stationarity. In order to achieve the goal of the research the Granger causality test is adopted. Its results exhibit Granger causality between commodity returns and majority of commodity fund returns, whereas in only few cases there is Granger causality running from stock indices returns to commodity funds returns.

4

The influence of money supply on inflation in Nigeria

80%

Amassoma D., Sunday K., Onyedikachi E.-E.

Journal of Economics and Management

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2018

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vol. 31

5-23

EN

Aim/purpose – The aim of this study is to empirically investigate the influence of money supply on inflation in Nigeria. The study was borne out of the curiosity to reexamine the immediate cause of the alarming rate of inflation in Nigeria which is adversely affecting the general welfare of Nigerian populace. Design/methodology/approach – The study employed co-integration test and error correction approach on annual time series data spanning from 1970 to 2016 to ascertain both the long run and short run dynamics relationship among the variables under consideration. Findings – The results showed that money supply does not considerably influence inflation both in the long and short run possibly because the country is in recession. The error correction model has the correct sign of negative and it is significant meaning that about 21% of the errors are corrected yearly. The Granger causality outcome demonstrates that, there is no causality between money supply and inflation in Nigeria within the study period and vice-versa. Research implications/limitations – The implication of this is often that there are different economic conditions which are key determinant of inflation in Nigeria. The study recommends that the government should diversify the economy, minimise importation by encouraging local production of products and services. The Central Bank of Nigeria should guarantee an exchange rate policy that is essentially determined by the state of the economy and not by speculators being a net importation economy. Also, the Central Bank of Nigeria should look inwards into the current interest rate and see how it can be regulated in such a way that will encourage private and foreign investors to be able to invest in the country. This in turn, successively increases income, infrastructure development and economic growth at large. Originality/value/contribution – This paper has been able to confirm that money supply is not a key factor that trigger up inflation in Nigeria.

5

An analysis of causal relationship between economic growth and financial development for Turkey: A MODWT-Granger causality test

80%

Abar H.

Economics and Business Review

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2022

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vol. 8

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issue 3

59-81

EN

This study aims to investigate the relationship between financial development and economic growth in different time horizons for Turkey. In this study an ensemble of wavelet analysis and Granger causality test were used. PSC was used to represent financial development and GDP was used to represent growth. The annual data used are for the period 1961–2018. The result obtained for a one year period shows that the demand-following hypothesis is valid for Turkey. Financial development is the Granger cause of growth and positively affects growth. The financial sector should be supported for growth in the short term. While there is no causal relationship for the 2–4 year period, bidirectional causality relationships were determined for the periods of 4–8 years, 8–16 years and 16–32 years. Because variables are a Granger cause of each other and affect each other in a positive direction supporting the financial sector is a preferable policy when the purpose is to achieve growth in the long run.

6

GRANGER CAUSALITY TESTS FOR PRECIOUS METALS RETURNS

80%

Krawiec M., Górska A.

Metody Ilościowe w Badaniach Ekonomicznych

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2015

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vol. 16

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issue 2

13-22

EN

The aim of the paper was examining Granger causality between rates of return of precious metals. The study covers the period from 2008 through 2013 and includes gold, silver, platinum, and palladium. After developing statistical analysis and confirming stationarity of time series under consideration, the Granger causality test was run. Its results revealed a bilateral causation between silver and platinum rates of return. The study also detected causal relationships flowing from gold and palladium rates of return to silver returns.

7

Causality analysis between stock market indices

80%

Sekuła P.

Nauki o Finansach

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2019

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issue vol. 24 no. 1

74-93

EN

The paper examines relationships between selected stock market indices in Western Europe, Central Europe, and the United States. The study focuses on two periods, from January 1998 to August 2006 and from September 2006 to December 2016. The first one includes stock quotes from before the financial crisis while the second one covers the crisis and changes in the economic situation in post-crisis years. Relationships between stock market indices in developed economies were more frequent and durable than in Central Europe, although they were subject to changes. In our investigation into Granger causality relationships we observed changes in these relationships and in their direction for stock markets in Central Europe, while bidirectional relationships between indices in developed economies remained stable over time. Changes in relationships between indices, in particular long- -term interdependences, may result from the impact of the 2008 financial crisis. The increased number of causality relationships for the markets in Central Europe may testify to the advancing integration of the EU common market.

8

An empirical analysis of Malaysian palm oil export to world main palm oil importing countries : evidence from a panel cointegration model

80%

Hassan N. A. M., Zakaria K., Salleh K. M., Ahmad S. M.

Operations Research and Decisions

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2023

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vol. 33

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issue 1

EN

The paper explores the long-term causal relationships of Malaysian palm oil exports with the real effective exchange rate of the respective importing countries, palm oil consumption, vegetable oil production, and GDP growth. The study applied panel cointegration and causality approaches based on data from 10 main palm oil importing countries between 2004 and 2018. The impacts of economic growth, the effective real exchange rate, and the production of other vegetable oils by the main palm oil importing countries on Malaysian palm oil exports were found to be negative. However, palm oil consumption by the main palm oil importers was found to be a statistically significant positive determinant of Malaysian palm oil exports. This finding indicates that consumption has a direct positive effect on the demand for exports. A panel Granger causality analysis revealed a unidirectional causality between importing countries’ production of other vegetable oils and Malaysian exports of palm oil.

9

The impact of regional disparities on economic growth

80%

GURGUL H., LACH Ł.

Operations Research and Decisions

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2011

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vol. 21

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issue 2

17-43

EN

The authors investigated how economic growth affects the disparity in the distribution of regional income in Poland and vice versa. The research was based on annual data covering the period 2000–2009. In general, the research was divided into two main parts. First, the authors examined the evolution of the level of spatial inequalities in income in Poland over the last decade using the concepts of sigma and beta convergence. Next the nature of causal dependences was investigated between this inequality and economic growth. It was found that Polish regions did not converge with respect to the distribution of income as total GDP grew. The second part of the research provided evidence to claim that this inequality caused growth. Moreover, the evidence was also found that growth affected regional inequality. Finally, the authors noticed that the effects of both these factors were positive. The results suggest that as a consequence of rapid economic growth, some regions in Poland seized new opportunities, while less developed regions were unable to keep up with the challenging requirements of a decade of fast economic growth.

10

The minimum wage in Poland and its connection to unemployment: Evaluating causality

70%

Sikora A.

Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie

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2021

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vol. 50

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issue 2

65-77

PL

Celem artykułu jest ocena zależności między wynagrodzeniem minimalnym, zatrudnieniem i bezrobociem w Polsce. Przedstawiono przegląd teoretycznych aspektów płacy minimalnej, głównych motywacji za jej stosowaniem, a także potencjalnych negatywnych konsekwencji. Płaca minimalna w Polsce zostaje przedstawiona na tle innych krajów Unii Europejskiej. Wykorzystując metodę Toda-Yamamoto oraz dane kwartalne GUS i ILOSTAT obejmujące lata 2002–2019, zbadano przyczynowość Grangera między indeksem Kaitza a wybranymi wskaźnikami rynku pracy. Wyniki wskazują na istnienie jednokierunkowej przyczynowości Grangera między wskaźnikiem Kaitza a ogólną stopą bezrobocia. Nie wykryto podobnych zależności w przypadku pozostałych badanych wskaźników, w tym między innymi stopy zatrudnienia i stopy bezrobocia wśród osób młodych.

EN

The paper’s primary goal is the evaluation of the relationship between minimum wage, employment, and unemployment in Poland in the past two decades. It presents an overview of theoretical aspects of minimum wages, the main motivations behind its implementation, as well as potential negative consequences. The minimum wage in Poland is presented in comparison to other European Union countries. Finally, using a Toda-Yamamoto approach and quarterly data covering the years 2002–2019, the Granger causality between the Kaitz index and selected labour market indicators is examined. The results indicate the presence of unidirectional Granger causality between the Kaitz index and the general unemployment rate. It does not indicate similar relationships for other examined indicators, including employment rate and youth unemployment rate.

11

Płaca minimalna a liczba młodych pracujących. Związki przyczynowe i prognozy wariantowe

70%

Dańska-Borsiak B.

Econometrics. Ekonometria. Advances in Applied Data Analytics

|

2014

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issue 4(46)

151-162

EN

The minimum wage is the wage policy instrument that affects, among others, labor costs and elimination of negative forms of competition. In political-economic and scientific circles there is an ongoing discussion on the legitimacy of raising the minimum wage and its impact on employment. The main aim of this study is to determine the impact of changes in the minimum wage on labor demand of young people in Poland. It has been realized through three specific aims. On the basis of causality test it has been shown that both the level of the minimum wage and its relation to average earnings are the Granger causes of the number of working people aged 15-29 in Poland in the period 1990-2013. The results of the econometric model estimation showed, ceteris paribus, the negative impact of both these variables on the demand for labor of young people, with the minimum wage effect being lagged by one year. The variant forecasts until 2020, with different assumptions about the minimum wage, indicate the largest number of working if the minimum wage does not exceed 40% of the average earnings, while maintaining the current growth rate of the minimum wage. A noticeable decrease in employment is yet expected in the case of a large increase in this wage, regardless of its relation to the average earnings.

12

Identification of Industrial Cycle Leading Indicators Using Causality Test

70%

Kasperowicz R.

Equilibrium. Quarterly Journal of Economics and Economic Policy

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2010

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vol. 5

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issue 2

EN

The biggest business activity fluctuation analysts’ attention is focused on leading indicators. It is due to their utility in forecasting resulting form their properties. Leading indicators are aggregates describing a part of economy (e.g. sector, branch) and, therefore, they also partly anticipate new behaviours of the whole of the economy. The first aim of the paper is to identify industrial business cycle leading indicators in Poland. The second aim is to estimate a leading index of cyclical fluctuations of industry. When identifying the fluctuations, first one has to purify the time-series of incidental and seasonal fluctuations. Then, the time-series underwent the adjustment procedure Census X11 and Hodrick-Prescott’s filter. This is the way in which the cyclical fluctuations of the time-series were obtained. Seeking variables determining leading indicators of the reference variable was conducted on the basis of Granger causality analysis. Series selected in that way were used to create a forecasting econometric model (leading index).

13

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

70%

Folfas P.

Ekonomia XXI Wieku

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2015

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issue 3 (7)

30-45

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.

14

Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe

70%

Gurgul H., Lach Ł., Wójtowicz T.

Managerial Economics

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2016

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vol. 17

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issue 2

217-240

EN

This paper deals with an analysis of the information flow on and between three European stock markets operating in Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of reaction to a news release and changes in the duration of causal interference. To model the conditional variance, we use the ARMA(1,1)-EGARCH-M(1,1) model. We investigate linear and nonlinear Granger causalities on the three stock exchanges using Bayesian large sample correction of the critical values in significance tests. The results of our study confirm the dominant role of the Frankfurt Stock Exchange, since the most significant linear relationship is the causality running from DAX30 returns to the returns of the ATX20 and WIG20 (which exists irrespective of the time of the day, presence of important public news, and lag length of the underlying VAR models). Moreover, the empirical results of this paper confirm the strong impact of announcements of macroeconomic news from the U.S. economy on the structure of both linear and nonlinear causal links on the three markets under study.

15

Changes of exchange rate behavior during and after crisis

61%

Syczewska E. M.

Metody Ilościowe w Badaniach Ekonomicznych

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2010

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vol. 11

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issue 1

145-157

EN

"This study extends earlier analysis, in which behavior of daily exchange rates during the global crisis was compared to that before crisis. We repeat similar comparison for data set extended until the end of April 2010, use ARMA/ARMAX and GARCH models with stock indices as additional regressors, for volatility and returns of EURPLN, EURUSD, USDPLN exchange rates. Marked increase in volatility during crisis, negatively affected quality of models. After crisis volatility and returns seem to stabilize, hence exchange rate risk seems to decline gradually. There is a slight improvement in quality of models after the crisis."

16

Econometric analysis of SMEs in Eurozone

61%

Stoklasová R.

Forum Scientiae Oeconomia

|

2018

|

issue Volume 6 (2018) Issue No. 1: Competitiveness of the modern organization: human, ethical and innovative aspects

19-30

EN

The purpose of this paper is to empirically investigate the relationship between labour productivity (LP) and government spending on research and development (R&D) in the Euro zone. In particular, its purpose is to investigate this relationship in the case of small and medium enterprises (SMEs). By utilizing causality tests and error correction models, the results suggest that support of research and development is the cause of labour productivity growth in the long-term period. However, for the short-term period changes in labour productivity precede changes in government spending on research and development. Based on the findings, the study has several theoretical and practical implications. The data sources were the Eurostat database. The data used have the character of annual time series in the period between 2004 and 2015. GRETL software was used for the calculations.

17

Does simultaneous investing on different stock markets allow to diversify risk? The cointegration analysis with main focus on Warsaw Stock Exchange

61%

Misiuk A., Zajkowska O.

Metody Ilościowe w Badaniach Ekonomicznych

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2010

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vol. 11

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issue 1

118-127

EN

This paper aims at examining the bilateral linkage between daily stock market indices, in which the leading index of WSE (WIG20) is the reference. Thus, the study is limited to pairs including WIG20 and indices which are listed on the financial centers of WSE’s main foreign investors. The relationship between the markets is investigated throughout the cointegration theory. Further, the Granger causality is carried out in order to distinguish the directions of influence across the stock market environments. The obtained results shall explain the investor’s tendencies in portfolio diversification.

18

How Google Trends can improve market predictions - the case of the Warsaw Stock Exchange

61%

Kropiński P., Anholcer M.

Economics and Business Review

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2022

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vol. 8

|

issue 2

7-28

EN

The aim of this paper is to investigate interdependencies between the WIG20 index and economic policy uncertainty (EPU) related keywords quantiefid by a Google Trends search index. Tests for two periods from January 2015 till December 2019 and from June 2016 till May 2021 have been performed. This allowed the period of relative stability from the time of economic shock caused by the COVID-19 pandemics followed by various restrictions imposed by the governments to be distinguished. A bivariate VAR model to selected search terms and the value of the WIG20 index was applied. Aeftr using AIC to establish the optimal number of lags the Granger cau sality test was performed. The increased empirical relationship has been conrfimed be tween twelve EPU related terms and changes in the WIG20 index in the second period versus six terms for the pre-COVID period. It was also found that in the post-COVID period the intensity of reverse relations increased.

19

Nastrój inwestorów i stopy zwrotu WIG

61%

Sekuła P.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

|

2017

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vol. 51

|

issue 5

EN

The article presents the analysis of the relations between the investor sentiment and the WIG returns on the weekly and monthly data in the period of 2011–2016. The study shows a positive, statistically significant relationship between the WIG changes and the investor sentiment index. The results obtained indicate that the WIG is the dominant variable, and the investor sentiment index depends on the WIG changes. Moreover, the Granger causality test suggests that the investor sentiment index is not the Granger cause for the WIG.

PL

W artykule przedstawiono analizę zależności pomiędzy nastrojami inwestorów a stopą zwrotu WIG, na podstawie danych tygodniowych i miesięcznych, w okresie 2011–2016. Badania wykazują dodatni, statystycznie istotny związek między zmianami WIG a indeksem nastrojów inwestorów. Uzyskane wyniki wskazują, że WIG jest dominującą zmienną, a indeks nastrojów inwestorów zależy od zmian WIG. Test przyczynowości Grangera sugeruje ponadto, że indeks nastrojów inwestorów nie jest przyczyną w sensie Grangera dla WIG.

20

Zależności przyczynowe między WIG20 i PLN

61%

Sekuła P.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2018

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vol. 52

|

issue 4

EN

The article examines the interaction between share prices and exchange rates on the Polish fiancial market. A two-dimensional model of vector autoregression was used and daily data on the stock exchange index and exchange rate index for the period from April 2000 to December 2017 were used. The empirical results indicated a one-way causality from exchange rates to share prices.

PL

W artykule przedstawiono wyniki badania interakcji między cenami akcji a kursami walut na polskim rynku fiansowym. Wykorzystano dwuwymiarowy model wektorowej autoregresji i zastosowano dzienne dane o indeksie giełdowym i indeksie kursów walut dla okresu od kwietnia 2000 r. do grudnia 2017 r. Wyniki empiryczne wskazały na jednokierunkową przyczynowość od kursów walutowych do cen akcji.

Refine search results

Wpływ kryzysu gospodarczego na strumienie BIZ napływających do Polski

International trade and economic growth in the Polish economy

Testing the Granger causality for commodity mutual funds in Poland and commodity prices

The influence of money supply on inflation in Nigeria

An analysis of causal relationship between economic growth and financial development for Turkey: A MODWT-Granger causality test

GRANGER CAUSALITY TESTS FOR PRECIOUS METALS RETURNS

Causality analysis between stock market indices

An empirical analysis of Malaysian palm oil export to world main palm oil importing countries : evidence from a panel cointegration model

The impact of regional disparities on economic growth

The minimum wage in Poland and its connection to unemployment: Evaluating causality

Płaca minimalna a liczba młodych pracujących. Związki przyczynowe i prognozy wariantowe

Identification of Industrial Cycle Leading Indicators Using Causality Test

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

Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe

Changes of exchange rate behavior during and after crisis

Econometric analysis of SMEs in Eurozone

Does simultaneous investing on different stock markets allow to diversify risk? The cointegration analysis with main focus on Warsaw Stock Exchange

How Google Trends can improve market predictions - the case of the Warsaw Stock Exchange

Nastrój inwestorów i stopy zwrotu WIG

Zależności przyczynowe między WIG20 i PLN