Toda Yamamoto
Causality Between GPD Growth and Non-performing Loans in Bangladesh: A Toda-Yamamoto Approach
... the Toda-Yamamoto procedure is that it can be used irrespective of whether the time series in the system are integrated of different orders or non-cointegrated or both ...
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An Application of Asymmetric Toda-Yamamoto Causality on Exchange Rate-Inflation Differentials in Emerging Economies
... using Toda-Yamamoto causality with application of modified leverage bootstrap distribution as well as asymmetric causality test in order to provide a wider comparison and draw sound ...of Toda and ...
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Insurance Demand, Financial Development and Economic Growth in South Africa: Evidence from Toda-Yamamoto Causality Test
... and Toda-Yamamoto (T-Y) causality test are used to analyze the short run and long run relationship after establishing a multivariate cointegration relation among the variables of ...The Toda- ...
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Granger-causality Between Economic Growth and Sugar Exports in the Kingdom of Eswatini: A Toda-Yamamoto Approach
... using Toda-Yamamota Granger-causality approach, which is considered to be one of the superior Granger-causality tests since it eliminates the need for pre-testing for cointegration and therefore avoids pre-test ...
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Intra-Market Price Discovery in an Emerging Stock Market: Vector Fractionally-Integrated Error Correction Model and Toda-Yamamoto Level VAR Approaches
... played, relatively, the leading role (both in the short- and long-term) being the most exogenous of all. In other words, it was the initial receptor of any exogenous shocks to the long run equilibrium relationship, ...
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Budget deficit and selected macroeconomic variables in Nigeria: A toda yamamoto causality approach
... the Toda-Yamamoto causality testing procedure. The Toda-Yamamoto approach is an alternative causality testing approach based on the Granger causality equation but augmented with extra lags ...
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Toda-Yamamoto Causality Test between Inflation and Nominal Interest Rates: Evidence from Three Countries of Europe
... of Toda and Yamamoto (1995) in comparison to Granger test for the following reasons: • Granger testing can give spurious regressions on functions ...
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Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach
... maximal order of integration, and I then construct a VAR model in their levels with a total of (k + “d‑max”) lags. In equation Y; X “does not Granger‑cause” Y if it is θ y, i = 0 for i ≤ k similarly, in equation X; Y ...
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... This study aims to investigate the causality relationship between consumer loans and inflation, and consumer loans and current account deficit in Turkey. In this scope, Toda Yamamoto causality test is used ...
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Budget Deficits and Interest Rates: An Empirical Analysis for Turkey
... conventional Toda Yamamoto (1995) Granger type linear causality test and bootstrapped Toda Yamamoto linear causality test developed by Hacker and Hatemi-J ...bootstrapped Toda ...
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Linkages between Inflation and Economic Growth in Serbia: An ARDL Bounds Testing Approach
... The situation in which the possibility of a different order of integration is present, it is possible to do ARDL modelling and to develop a VAR model based on Toda- Yamamoto procedure (Toda and ...
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Energy-Economy Nexus in Indonesia: A Bivariate Cointegration Analysis
... Mahmoodi and Mahmoodi, (2011) employed the ARDL bound test and the Toda-Yamamoto modified Granger causality test to examine the causal and the long-run relationship between renewable e[r] ...
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Dynamics of Mutual Funds in Relation to Stock Market: A Vector Autoregressive Causality Analysis
... cointegrated. Toda-Yamamoto (TY) version of granger non-causality test is employed and bidirectional causality is found moving DSE general index turnover to DSE general index return, whereas unidirectional ...
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Dynamic Relationship between Oil Price and Inflation in Oil Exporting Economy: Empirical Evidence from Wavelet Coherence Technique
... and Toda Yamamoto's causality tests were deployed as a robustness check for the wavelet coherence ...and Toda Yamamoto causality test revealed unidirectional causality running from oil price to ...
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Causality analysis between public expenditure and economic growth of Polish economy in last decade
... As we have already mentioned the application of Toda–Yamamoto method requires some specific modelling assumptions. If these assumptions are fulfilled then the test statistic is asymptotically chi–square ...
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The Relationship between Exchange Rate Volatility and Foreign Direct Investment in Turkey: Toda and Yamamoto Causality Analysis
... Many countries have embraced the floating exchange rate system with the collapse of the Bretton Woods system. As a result of the transition to the floating exchange rate system, the volatilities in exchange rates have ...
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Toda and Yamamoto Causality Test between US $ Exchange Rates and Stock Market Prices in Sri Lanka
... The Toda-Yamamoto causality analysis result is given in Table 5. The table provided Chi‑square statistic and probability values with respect to the null hypothesis of non‑causality. The test result reveals ...
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Financial Development and Investment Amount Nexus: A Case Study of Turkey
... In this study, we used quarterly data over the period 1998-2015 for Turkey to investigate the causality relationship between financial development and investment amount. We used two measure of financial development, ...
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Investigating Causal Relationship between Financial Development Indicators and Economic Growth: Toda and Yamamoto Approach
... recent Toda and Yamamoto and Dolado and Lütkepohl (TYDL) approach to causality were used to investigate the causal relationship between financial development and economic growth in Nigeria for the period ...
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Couplings in Affine Toda Field Theories
... rules for the non-vanishing three-point coupling, i.e. that is the ”triangle rule”. Using the result that the classical fusing rule for a non-vanishing three-point cou- pling becomes quantum mechanicall y equivalent to ...
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