Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy
Granger`s (1969) concept and definitions of causality, feedback, and instantaneous causality and Akaike final prediction error criterion and extended by Chan et al (1982) to fit a multivariate autoregressive model are used. The objective of the paper is to distinguish between simple, feedback and in...
| Main Authors: | , |
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| Format: | Article |
| Language: | Arabic |
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Faculty of Commerce, Port Said University
2021-07-01
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| Series: | Maǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ |
| Subjects: | |
| Online Access: | https://jsst.journals.ekb.eg/article_173532_31b8cc0650b18c072b04a7ae7e54f9ab.pdf |
| _version_ | 1797651163659632640 |
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| author | دينا عبد الهادى سهير حجازي |
| author_facet | دينا عبد الهادى سهير حجازي |
| author_sort | دينا عبد الهادى |
| collection | DOAJ |
| description | Granger`s (1969) concept and definitions of causality, feedback, and instantaneous causality and Akaike final prediction error criterion and extended by Chan et al (1982) to fit a multivariate autoregressive model are used. The objective of the paper is to distinguish between simple, feedback and instantaneous causality. The notion of feedback between endogenous and exogenous variables in the bivariate AR model and its extension to the tri-variate AR models is presented. As an application to these Causality notions, the paper aimed to reach the optimal lag structure in forecasting some monetary variables in the Egyptian economy from 2005 to 2018. Variables selected were “current deposits of local currency”, “loan totals” and “quasi-money”. The three variables were correlated, and each variable was used as an endogenous function of itself lagged and the other two variables as exogeneous. The study also aimed to test if prediction is improved if current values and previous values are used in the prediction equation. .. The analysis showed that a one-way simple causal model exists from “loans total” to “current deposits of local currency”, and from “quasi-money” to “loans total”. Instantaneous causality and feedback occur between the three variables. |
| first_indexed | 2024-03-11T16:11:57Z |
| format | Article |
| id | doaj.art-3162e9e98e964cc3ab9639bd54894113 |
| institution | Directory Open Access Journal |
| issn | 2090-5327 2682-3543 |
| language | Arabic |
| last_indexed | 2024-03-11T16:11:57Z |
| publishDate | 2021-07-01 |
| publisher | Faculty of Commerce, Port Said University |
| record_format | Article |
| series | Maǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ |
| spelling | doaj.art-3162e9e98e964cc3ab9639bd548941132023-10-24T14:35:15ZaraFaculty of Commerce, Port Said UniversityMaǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ2090-53272682-35432021-07-0122364566210.21608/jsst.2021.73640.1263173532Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economyدينا عبد الهادى0سهير حجازي1جامعة طنطا - کلية التجارةجامعة طنطا - کلية التجارةGranger`s (1969) concept and definitions of causality, feedback, and instantaneous causality and Akaike final prediction error criterion and extended by Chan et al (1982) to fit a multivariate autoregressive model are used. The objective of the paper is to distinguish between simple, feedback and instantaneous causality. The notion of feedback between endogenous and exogenous variables in the bivariate AR model and its extension to the tri-variate AR models is presented. As an application to these Causality notions, the paper aimed to reach the optimal lag structure in forecasting some monetary variables in the Egyptian economy from 2005 to 2018. Variables selected were “current deposits of local currency”, “loan totals” and “quasi-money”. The three variables were correlated, and each variable was used as an endogenous function of itself lagged and the other two variables as exogeneous. The study also aimed to test if prediction is improved if current values and previous values are used in the prediction equation. .. The analysis showed that a one-way simple causal model exists from “loans total” to “current deposits of local currency”, and from “quasi-money” to “loans total”. Instantaneous causality and feedback occur between the three variables.https://jsst.journals.ekb.eg/article_173532_31b8cc0650b18c072b04a7ae7e54f9ab.pdfautoregressive modellinggranger causality, lag structureauto-regressive distributive lagardl |
| spellingShingle | دينا عبد الهادى سهير حجازي Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy Maǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ autoregressive modelling granger causality, lag structure auto-regressive distributive lag ardl |
| title | Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy |
| title_full | Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy |
| title_fullStr | Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy |
| title_full_unstemmed | Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy |
| title_short | Simple and Instantaneous Causality in A Multivariate Auto-Regressive Models: An Application On Some Monetary Variables of the Egyptian Economy |
| title_sort | simple and instantaneous causality in a multivariate auto regressive models an application on some monetary variables of the egyptian economy |
| topic | autoregressive modelling granger causality, lag structure auto-regressive distributive lag ardl |
| url | https://jsst.journals.ekb.eg/article_173532_31b8cc0650b18c072b04a7ae7e54f9ab.pdf |
| work_keys_str_mv | AT dynạʿbdạlhạdy simpleandinstantaneouscausalityinamultivariateautoregressivemodelsanapplicationonsomemonetaryvariablesoftheegyptianeconomy AT shyrḥjạzy simpleandinstantaneouscausalityinamultivariateautoregressivemodelsanapplicationonsomemonetaryvariablesoftheegyptianeconomy |