Correlation analysis and causality test between Ludong-Huanghai block and South Japan

In this paper, we make a comparative analysis and correlation test for the seismic activities in the South Japan and the Ludong-Huanghai block （a secondary tectonic unit in the North China） and approach the relationship between the energy release processes of these two areas by using co-integration analysis and Granger causality test for the time series of random variables. The results show that the seismic activities in these two areas are correlative and synchronous to a certain extent, and their release series of cumulative strain energy are contemporaneously correlative. Both energy series are first-order difference stationary processes and there is secular and steady co-integration between them. We make a positive analysis on the first-order difference energy series through Granger causality test based on vector error correction （VEC） model and find there is unilateral Granger causality and prominent co-integration between the two energy release processes.

Rural Financial Development and Rural Economic Efficiency Improvement Based on Granger Causality Test

Based on the co-integration test theory,Financial Interrelation Ratio(FIR),level of financial efficiency(LFE),level of financial development(LFD) and other indices evaluating the rural financial development are selected by Granger Causality Test.The rural loan balance(RLB),rural deposit balance(RDB),total rural output(TRO),fixed assets investment(FAI),Financial Interrelation Ratio(FIR),economic efficiency(EE),level of financial efficiency(LFE),and level of financial development(LFD) in the years 1979-2007 are collected.Graphical method intuitively reflects the development trend and historical track of relevant indices;and Granger Causality Test verifies the relationship between rural financial development level and rural economic efficiency in the years 1979-2007.Result shows that rural financial development level has significant impact on rural economic growth,but rural economic growth has no significant impact on rural financial development;and rural financial development also has insignificant promotion impact on rural economic efficiency.Thus,conclusions are obtained.Although rural financial development has made certain contribution to the development of rural economy,this kind of contribution is only reflected in total quantity,but not efficiency.Therefore,government should further strengthen the promotion function of financial development for economic efficiency,and gradually establish a virtuous circle system for rural finance and economic development.

Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility

This paper compares the statistical properties of time-varying causality tests when errors of variables have multivariate stochastic volatility (SV). The time-varying causal-ity tests in this paper are based on a logistic smooth transition autoregressive model. The compared time-varying causality tests include asymptotic tests, heteroskedasticity-robust tests, and tests using wild bootstrap. Our simulation results show that asymptotic tests and heteroskedasticity-robust counterparts have size distortions under multivariate SV, whereas tests using wild bootstrap have better size properties regardless of type of error. In particular, the time-varying causality test with first-order Taylor approximation using wild bootstrap has better statistical properties.

Research on the Relationship between Energy Minerals Exploitation and Economic Growth： Johansen Co-integration Analysis and Granger Causality Test

The purpose of this paper is to puts forward suggestions for the sustainable development of mineral resources by combining the benefit of economy from mineral resources with the introduction of concept of circular economic development.

Robust Parameter Identification Method of Adhesion Model for Heavy Haul Trains

A robust parameter identification method based on Kiencke model was proposed to solve the problem of the parameter identification accuracy being affected by the rail environment change and noise interference for heavy-duty trains. Firstly, a Kiencke stick-creep identification model was constructed, and the parameter identification task was transformed into a quadratic programming problem. Secondly, an iterative algorithm was constructed to solve the problem, into which a time-varying forgetting factor was added to track the change of the rail environment, and to solve the uncertainty problem of the wheel-rail environment. The Granger causality test was adopted to detect the interference, and then the weights of the current data were redistributed to solve the problem of noise interference in parameter identification. Finally, simulations were carried out and the results showed that the proposed method could track the change of the track environment in time, reduce the noise interference in the identification process, and effectively identify the adhesion performance parameters.

Analysis of services trade and employment in China by co-integration and causality

This article describes a study by co-integration test and Granger causality test on the relationships between China's services trades and employment using the data of services trade from the WTO website and the employment data from China Statistic Yearbook for the years from 1982 to 2003. Co-integration test showed that 1% increase in export value and import value of services created respectively 0.205% and 0.068 7% more job opportunities in the service sector. Both export and import of services impacted positively on employment in service industry, and export did more than import. However, in the short run, the impacts of services export and import on employment in service industry were both very small, though positive; and the impacts of employment in service industry on both export and import of services were very big, but not stable. Granger causality test indicated that employment in service industry was a Granger cause of services export. The findings highlight the importance of facilitating services import and reducing import barriers, and suggest that the competitiveness of China's labor- intensive services trade can be exploited to boost services export and help employment in service sector, and that the structure of services trade should be optimized by shifting from labor-intensive to knowledge-and technology-intensive services thus to enhance China's competitiveness of services export.

Dynamic interacting relationships among international oil prices, macroeconomic variables and precious metal prices

From the perspective of long-term and short-term, the methods of TY causality test, generalized impulse response function, variance decomposition were used to investigate the impacts of international oil prices and macroeconomic variables on Chinese gold, silver and platinum prices, but also the feedback effects of Chinese precious metal prices under this impact. The results show that international oil prices play an important role in precious metal price variation both in long-term and short-term, and exchange rate only has an effect in short-term, while interest rate is ineffective in predicting precious metal prices. In addition, precious metal prices have some feedback effects on international oil prices and interest rate in short-term.

Coupling analysis of social-economic water consumption and its effects on the arid environments in Xinjiang of China based on the water and ecological footprints

In arid areas,ecological degradation aroused by over-exploitation of fresh water,expansion of artificial oasis and shrinkage of natural oasis,has drawn attention of many scholars and officials.The water and ecological footprints can be used to quantitatively evaluate the water consumption of social-economic activities and their influence on the eco-environments.In addition,increase of the water footprint indicates the expansion of artificial oasis,and the influence on the natural oasis could be reflected by the variation of the ecological footprint.This study was conducted to answer a scientific question that what is the quantitative relationship between the expansion of the artificial oasis and the degradation of the natural oasis in the arid environments of Xinjiang,China.Thus,based on the social-economic data,water consumption data and meteorological data during 2001–2015,we calculated the water and ecological footprints to express the human-related pressure exerted on the water resources and arid environments in Xinjiang(including 14 prefectures and cities),and explore the relationship between the water and ecological footprints and its mechanism by using the coupling analysis and Granger causality test.The results show that both the water and ecological footprints of Xinjiang increased significantly during 2001–2015,and the increasing rate of the ecological footprint was much faster than that of the water footprint.The coupling degree between the water and ecological footprints was relatively high at the temporal scale and varied at the spatial scale.Among the 14 prefectures and cities examined in Xinjiang,the greater social-economic development(such as in Karamay and Urumqi)was associated with the lower coupling degree between the two footprints.Increases in the water footprint will cause the ecological footprint to increase,such that a 1-unit increase in the consumption of water resources would lead to 2–3 units of ecological degradation.The quantitative relationship between the increases of the water and ecological footprints,together with the intensities of water consumption both in the natural and artificial oases of Tarim River Basin,have approved the fact that the formation and expansion of 1 unit of the artificial oasis would bring about the degradation of 2 units of the natural oasis.These conclusions not only provide a technical basis for sustainable development in Xinjiang,but also offer a theoretical guide and scientific information that could be used in similar arid areas around the world.

TESTING LINEAR AND NONLINEAR GRANGER CAUSALITY IN CSI300 FUTURES AND SPOT MARKETS BASED ON NEW CONCEPTS OF NONLINEAR POSITIVE/NEGATIVE SPILLOVER

supported by the National Natural Science Foundation of China under Grant Nos.71125005 70871108 and 70810107020;; Outstanding Talents Funds of Organization Department Beijing Committee of CPC

Remittances,financial development and economic growth in sub-Saharan African countries:evidence from a PMG-ARDL approach

The study investigated the relationship among remittances,financial development and economic growth in a panel of 20 sub-Saharan African countries over the period of 2000 and 2015.The study used both Pooled Mean Group and Mean Group/ARDL estimations with panel unit root and cointegration tests.After establishing cointegration,remittances and financial development were found to have positive effects on economic growth both in the short and the long run.The interactive term showed that financial development acted as a substitute in the remittances-growth relationship.Finally,unidirectional causal relationships were found to exist from GDP to remittances and from financial development to GDP.However,no causality existed between remittances and financial development in the SSA countries.

An Integrated Approach to Oscillation Propagation Identification and Source Locating in Process Multi-loop Systems

An integrated method for identifying the propagation of multi-loop process oscillations and their source location is proposed in this paper. Oscillatory process loop variables are automatically selected based on the component-related ratio index and a mixing matrix, both of which are obtained in data preprocessing by spectral independent component analysis. The complex causality among oscillatory process variables is then revealed by Granger causality test and is visualized in the form of causality diagram. The simplification of causal connectivity in the diagram is performed according to the understanding of process knowledge and the final simplest causality diagram, which represents the main oscillation propagation paths, is achieved by the automated cutting-off thresh-old search, with which less significant causality pathways are filtered out. The source of the oscillation disturbance can be identified intuitively through the final causality diagram. Both simulated and real plant data tests are presented to demonstrate the effectiveness and feasibility of the proposed method.

Nonlinear correlation between RMB internationalization and nonferrous metal prices

The correlation between Renminbi(RMB) internationalization and nonferrous metal prices was studied using the nonlinear Granger causality test and the dynamic conditional correlation-generalized autoregressive conditional heteroskedastic(DCC-GARCH) model. The results indicate that the relationship between RMB internationalization and nonferrous metal prices reflects a complex nonlinear mechanism. There was no mutual influence between RMB internationalization and nonferrous metal prices prior to the trials of the RMB settlement in the cross-border trade in July 2009. Since then, however, a bidirectional causal relationship between RMB internationalization and the price of copper and a unidirectional causal relationship from the price of aluminum to RMB internationalization were examined. In addition, due to the impact of extreme events, such as economic and financial crises, RMB internationalization and nonferrous metal prices are not always positively correlated but are rather occasionally negatively correlated.

Research on the Relationship Between Garlic and Young GarlicShoot Based on Big Data

In view of the problems such as frequent fluctuation of garlic price, lack ofefficient forecasting means and difficulty in realizing the steady development of garlicindustry, combined with the current situation of garlic industry and the collected datainformation. Taking Big Data platform of garlic industry chain as the core, using themethods of correlation analysis, smoothness test, co-integration test, and Grangercausality test, this paper analyzes the correlation, dynamic, and causality between garlicprice and young garlic shoot price. According to the current situation of garlic industry,the garlic industry service based on Big Data is put forward. It is concluded that there is apositive correlation between garlic price and young garlic shoot price, and there is a longtermstable dynamic equilibrium relationship between young garlic shoot price and garlicprice fluctuation, and young garlic shoot price can affect garlic price. Finally, it isproposed to strengthen the infrastructure construction of garlic Big Data, increase thetechnological innovation and application of garlic Big Data technology, and promote thesafety and security ability of the whole industry to promote the development of garlicindustry.

The impact of bank lending on Palestine economic growth:an econometric analysis of time series data

Banking is an essential sector of Palestine’s economy.More credits provided by banks are considered to have a positive impact on economic growth so that the overall objective of this study is to examine the impact of bank lending on economic growth in Palestine.The study employs the Augmented Dickey-Fuller to test for stationarity in the time series,The Johansen co-integration,Vector Autoregressive Model and Vector Error Correction Model are employed to identify the long-run and short-run dynamics among the variables,and Granger causality test in order to determine the direction of causality.The study finds that a long run relationship exists among the variables and insignificant short run relationship.Also,the study findings show that there is unidirectional causality and runs from GDP to bank lending.The insignificant contribution of bank lending to GDP is attributed to the fact that banks are not highly interested in lending to the production sector of the economy due to the high level of risk.However,the primary empirical evidence reveals that bank lending doesn’t cause economic growth,but economic growth causes bank lending.

An empirical examination of investor sentiment and stock market volatility: evidence from India

Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market sentiments.This research is an attempt to address this gap.The study explores the role of irrational investors’sentiments in determining stock market volatility.By employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component analysis.This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility.The results showed that irrational sentiment significantly causes excess market volatility.Moreover,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns.The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.

Empirical analysis of the monetary policy transmission through interest rate channel in China

With the deregulation of interest rates in China, the interest rate channel of monetary policy transmission is becoming more and more important. Firstly, this paper makes empirical studies on the transmission mechanism in China represented by the conventional interest rate channel of monetary policy transmission by using the Granger causality test. The result shows that there is no causality neither between investment expenditure and the market interest rate nor between household consumption and the market interest rate, which suggests that the transmission of monetary policy in China is impeded. Then the reasons from three aspects including interest rate liberalization, asset-backed securitization and household consumption behavior are analyzed.

Empirical Study on Relationship between Income Structure and Consumption of Rural Residents in Jiangsu

After the Chinese economy enters a new era,there has been significant changes in the pull of consumption,investment,and import and export for the economic growth,and consumption has gradually become the main driving force of economic growth.The core factor influencing the consumption is income,so it is particularly important to study the impact of income and its structure on the consumption.Based on the relevant data of Jiangsu's income and its structure and consumption in 1992-2018,using Granger causality test and other methods,we built an econometric model,and made an empirical analysis on the relationship between the two,and finally came up with conclusions and recommendations.

To What Extent Does the Market Price of Imported Fishmeal Affect the Market Price of Pisciculture Products in Japan？ The Case of Yellowtail and Sea Bream

This study investigates the extent of the influence of imported fishmeal price changes on the market price of pisciculture products. To date, there have been only a few insufficient researches on this topic in Japan. This paper aims to reveal the causality relationship between the market price of imported fishmeal and the market price of pisciculture products using the granger causality test, and to simulate the market price of pisciculture products using impulse response functions as the price of imported fishmeal increases. The results of the granger causality test and impulse response function analyses were as follows： （1） there is a market linkage from the price of imported fishmeal to the market price of sea bream, but no causality with the market price yellowtail; and （2） this has a positive impact on the market price of sea bream when the price of imported fishmeal changes. Moreover, spillover effects were noticed in this simple scenario （at a market price of 800 yen/kg and one unit shock of 1 yen） of about 3 yen/kg.

Islamic Banking and Economic Growth： Evidence From Asia

This paper investigates the short- and long-run causality relationship between Islamic banking and the economic growth. The main goal of this paper is to examine the relationship between the economic growth and Islamic banking. The dataset used covers the Asia countries over the period of 1980-2009. The unit root test Im, Pesaran, and Shin （IPS） （2003） confirms that all of the variables that the authors use in the equation below are stationary. The empirical result of the Granger causality test shows a bidirectional relationship between Islamic banking and the economic growth and also a bidirectional relationship between the economic growth and export.

Relationship between the price of green tea and black tea of the world’s major tea countries

Black tea and green tea are the most important tea in the world.In this paper we analyze the relationship of the world green price and black tea price.The results show that:in the world tea markets,the world black tea price and the world green tea price have no co-integration,independent of the curve segmentation.In the major green tea countries,there are co-integration relationships between China and Japan,China and Brazil,Japan and Brazil,while Vietnam has a first-order stationary sequence.In the major black tea countries,Sri Lanka and India have no co-integration,Sri Lanka and Indonesia no co-integration,India and Indonesia no co-integration,Sri Lanka and Kenya have co-integration,India and Kenya have co-integration,Kenya and Indonesia have co-integration.