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Insurance market density and economic growth in Eurozone countries:the granger causality approach
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作者 Rudra P.Pradhan Saurav Dash +2 位作者 Rana Pratap Maradana Manju Jayakumar Kunal Gaurav 《Financial Innovation》 2017年第1期214-237,共24页
Background:This study examines the relationship between insurance market density(IMD)and economic growth.Methods:We employed Granger causality technique in 19 Eurozone countries for the period 1980-2014.We use three d... Background:This study examines the relationship between insurance market density(IMD)and economic growth.Methods:We employed Granger causality technique in 19 Eurozone countries for the period 1980-2014.We use three different indicators of IMD,namely life insurance density,non-life insurance density,and total insurance density.We particularly emphasize on whether Granger causality runs between IMD and economic growth both ways,one way,or not at all.Results:Our empirical result recognizes the presence of both unidirectional and bidirectional causality between insurance market density and economic growth.However,these results are mostly non-uniform across Eurozone countries.Conclusions:This study holds important policy implications-economic policies should recognize the differences in the insurance market density and economic growth in order to maintain sustainable economic growth in the Eurozone. 展开更多
关键词 Insurance market density Economic growth granger causality Eurozone countries
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Rural Financial Development and Rural Economic Efficiency Improvement Based on Granger Causality Test
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作者 ZENG Guo-ping XU Xin-fang 《Asian Agricultural Research》 2010年第6期9-13,共5页
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 select... 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. 展开更多
关键词 Rural finance Economic efficiency granger causality Test China
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Research on the Relationship between Energy Minerals Exploitation and Economic Growth: Johansen Co-integration Analysis and Granger Causality Test
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作者 Zhu Dong-yuan Sun Ji-ke 《International Journal of Technology Management》 2014年第7期137-139,共3页
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 eco... 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. 展开更多
关键词 energy mineral resources Johansen co-integration. granger causality test
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The Relationship between Carbon Dioxide Emission Intensity and Economic Growth in China:Cointegration,Linear and Nonlinear Granger Causality 被引量:2
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作者 涂雄苓 《Journal of Resources and Ecology》 CSCD 2016年第2期122-129,共8页
This study is to use cointegration, linear and non-linear Granger causality test to investigate the relationship between carbon dioxide (CO2) emissionand economic growth (GDP) in China for the period 1961-2010. Ou... This study is to use cointegration, linear and non-linear Granger causality test to investigate the relationship between carbon dioxide (CO2) emissionand economic growth (GDP) in China for the period 1961-2010. Our analysis shows that CO2 emission and GDP are balanced in the long-run. The results suggest that there is evidence that economic development can improve environmental degradation in the long-run. Moreover, the result of linear and non-linear Granger causality test indicates a long-run unidirectional causality running from GDP to CO2 emissions. The study suggests that in the long run, economic growth may have an adverse effect on the CO2 emissions in China. Government should take into account the environment in their current policies, which may be of great importance for policy decision-makers to develop economic policies to preserve economic growth while curbing of carbon emissions. 展开更多
关键词 COINTEGRATION Linear and Nonlinear granger causality CO2 emission economic growth
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LEARNING GRANGER CAUSALITY GRAPHS FOR MULTIVARIATE NONLINEAR TIME SERIES 被引量:3
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作者 Wei GAO Zheng TIAN 《Journal of Systems Science and Systems Engineering》 SCIE EI CSCD 2009年第1期38-52,共15页
An information theory method is proposed to test the. Granger causality and contemporaneous conditional independence in Granger causality graph models. In the graphs, the vertex set denotes the component series of the... An information theory method is proposed to test the. Granger causality and contemporaneous conditional independence in Granger causality graph models. In the graphs, the vertex set denotes the component series of the multivariate time series, and the directed edges denote causal dependence, while the undirected edges reflect the instantaneous dependence. The presence of the edges is measured by a statistics based on conditional mutual information and tested by a permutation procedure. Furthermore, for the existed relations, a statistics based on the difference between general conditional mutual information and linear conditional mutual information is proposed to test the nonlinearity. The significance of the nonlinear test statistics is determined by a bootstrap method based on surrogate data. We investigate the finite sample behavior of the procedure through simulation time series with different dependence structures, including linear and nonlinear relations. 展开更多
关键词 Multivariate nonlinear time series granger causality graph conditional mutual information surrogate data
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TESTING LINEAR AND NONLINEAR GRANGER CAUSALITY IN CSI300 FUTURES AND SPOT MARKETS BASED ON NEW CONCEPTS OF NONLINEAR POSITIVE/NEGATIVE SPILLOVER 被引量:2
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作者 ZHOU Pu LU Fengbin WANG Shouyang 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2014年第4期729-742,共14页
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
关键词 China stock market negative volatility spillover nonlinear granger causality test riskabsorption volatility spillover.
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Directionality of paper reviewing and publishing of a scientist: A Granger causality inference 被引量:1
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作者 Chunli Wei Yi Bu +1 位作者 Lele Kang Jiang Li 《Data Science and Informetrics》 2021年第1期68-80,共13页
It has been evidenced that peer review activities are positively correlated to scientists’bibliometric performance(e.g.,Ortega,2017,2019).However,how the number of paper’reviewing’interacts with a scientist’s’pub... It has been evidenced that peer review activities are positively correlated to scientists’bibliometric performance(e.g.,Ortega,2017,2019).However,how the number of paper’reviewing’interacts with a scientist’s’publishing’has not been addressed in previous studies.This paper attempts to employ the Granger causality inference to explore the directionality between a scientist’s publication performance and his/her review activities.Our dataset comprises scientists’reviewed articles derived from Publons in the Web of Knowledge database,and their publications retrieved from Pub Med.We find that scientists who reviewed less or published less tend to have Granger causality between reviewing and publishing activities.In addition,compared with early-career researchers,reviewing advances publishing for senior scientists. 展开更多
关键词 granger causality Inference Peer Review Scientific Publications Science of Science
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GGC:Gray-Granger Causality Method for Sensor Correlation Network Structure Mining on High-Speed Train
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作者 Jie Man Honghui Dong +1 位作者 Limin Jia Yong Qin 《Tsinghua Science and Technology》 SCIE EI CAS CSCD 2022年第1期207-222,共16页
Vehicle information on high-speed trains can not only determine whether the various parts of the train are working normally,but also predict the train’s future operating status.How to obtain valuable information from... Vehicle information on high-speed trains can not only determine whether the various parts of the train are working normally,but also predict the train’s future operating status.How to obtain valuable information from massive vehicle data is a difficult point.First,we divide the vehicle data of a high-speed train into 13 subsystem datasets,according to the functions of the collection components.Then,according to the gray theory and the Granger causality test,we propose the Gray-Granger Causality(GGC)model,which can construct a vehicle information network on the basis of the correlation between the collection components.By using the complex network theory to mine vehicle information and its subsystem networks,we find that the vehicle information network and its subsystem networks have the characteristics of a scale-free network.In addition,the vehicle information network is weak against attacks,but the subsystem network is closely connected and strong against attacks. 展开更多
关键词 vehicle information network structure mining gray theory granger causality theory complex network theory high-speed train
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Research on Interest Rate Transmission Mechanism of China’s Bond Market:Empirical Analysis Based on Granger Causality Complex Network
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作者 Xiao CUI Mo YIN +1 位作者 Kun GUO Yijing WANG 《Journal of Systems Science and Information》 CSCD 2023年第5期604-621,共18页
The bond market is an important market for investment and financing in China’s economic sectors,and also an important part of the monetary policy framework.The internal transmission of bond market is an important par... The bond market is an important market for investment and financing in China’s economic sectors,and also an important part of the monetary policy framework.The internal transmission of bond market is an important part of market interest rate transmission,which iscritical to the effectiveness of monetary policy.However,few scholars have studied the characteristics of interest rate transmission in China.An in-depth study of the interest rate transmission mechanism and its dynamic evolution between different bond markets is conducive to clarify the pulse of transmission within Chinese bond market and to further unblock the transmission mechanism of monetary policy.From the perspective of system theory and based on the analysis method of Granger causality complex network,this paper finds that the interest rate transmission among various varieties in China’s bond market is relatively significant.Treasury bonds and CDB bonds are the two core bond varieties of interest rate transmission in the bond market.Simultaneously,this study concludes that the medium and long-term interest rate played a dominant role in the transmission of market interest rate during the easing phase of monetary policy,while the short-term interest rate played a dominant role in the transmission of market interest rate during the tightening phase of monetary policy.This paper also gives enlightenment and suggestions. 展开更多
关键词 bond market interest rate transmission mechanism granger causality complex network
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Urbanization,economic growth,and carbon dioxide emissions in China:A panel cointegration and causality analysis 被引量:19
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作者 刘彦随 严镔 周扬 《Journal of Geographical Sciences》 SCIE CSCD 2016年第2期131-152,共22页
Elucidating the complex mechanism between urbanization, economic growth, car- bon dioxide emissions is fundamental necessary to inform effective strategies on energy saving and emission reduction in China. Based on a ... Elucidating the complex mechanism between urbanization, economic growth, car- bon dioxide emissions is fundamental necessary to inform effective strategies on energy saving and emission reduction in China. Based on a balanced panel data of 31 provinces in China over the period 1997-2010, this study empirically examines the relationships among urbanization, economic growth and carbon dioxide (CO2) emissions at the national and re- gional levels using panel cointegration and vector error correction model and Granger cau- sality tests. Results showed that urbanization, economic growth and CO2 emissions are inte- grated of order one. Urbanization contributes to economic growth, both of which increase CO2 emissions in China and its eastern, central and western regions. The impact of urbanization on CO2 emissions in the western region was larger than that in the eastern and central re- gions. But economic growth had a larger impact on CO2 emissions in the eastern region than that in the central and western regions. Panel causality analysis revealed a bidirectional long-run causal relationship among urbanization, economic growth and CO2 emissions, in- dicating that in the long run, urbanization does have a causal effect on economic growth in China, both of which have causal effect on CO2 emissions. At the regional level, we also found a bidirectional long-run causality between land urbanization and economic growth in eastern and central China. These results demonstrated that it might be difficult for China to pursue carbon emissions reduction policy and to control urban expansion without impeding economic growth in the long run. In the short-run, we observed a unidirectional causation running from land urbanization to CO2 emissions and from economic growth to CO2 emissions in the eastern and central regions. Further investigations revealed an inverted N-shaped re- lationship between CO2 emissions and economic growth in China, not supporting the envi- ronmental Kuznets curve (EKC) hypothesis. Our empirical findings have an important refer- ence value for policy-makers in formulating effective energy saving and emission reduction strategies for China. 展开更多
关键词 URBANIZATION economic growth C02 emissions panel cointegration granger causality
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Analysis of services trade and employment in China by co-integration and causality 被引量:1
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作者 刘渝琳 DAI Jun 《Journal of Chongqing University》 CAS 2007年第1期41-49,共9页
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 em... 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. 展开更多
关键词 services trade employment in service industrv co-integration test error correction model granger causality test
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Correlation analysis and causality test between Ludong-Huanghai block and South Japan
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作者 郑建常 蒋海昆 《Acta Seismologica Sinica(English Edition)》 CSCD 2007年第4期381-391,共11页
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 relation... 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. 展开更多
关键词 South Japan Ludong-Huanghai block CORRELATION co-integration analysis granger causality test
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Structure and Connectivity Analysis of Financial Complex System Based on G-Causality Network
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作者 徐传明 闫妍 +2 位作者 朱晓武 李晓腾 陈晓松 《Communications in Theoretical Physics》 SCIE CAS CSCD 2013年第11期630-636,共7页
The recent financial crisis highlights the inherent weaknesses of the financial market. To explore the mechanism that maintains the financial market as a system, we study the interactions of U.S. financial market from... The recent financial crisis highlights the inherent weaknesses of the financial market. To explore the mechanism that maintains the financial market as a system, we study the interactions of U.S. financial market from the network perspective. Applied with conditional Granger causality network analysis, network density, in-degree and out-degree rankings are important indicators to analyze the conditional causal relationships among financial agents, and further to assess the stability of U.S. financial systems. It is found that the topological structure of G-causality network in U.S. financial market changed in different stages over the last decade, especially during the recent global financial crisis. Network density of the G-causality model is much higher during the period of 2007-2009 crisis stage, and it reaches the peak value in 2008, the most turbulent time in the crisis. Ranked by in-degrees and out-degrees, insurance companies are listed in the top of 68 financial institutions during the crisis. They act as the hubs which are more easily influenced by other financial institutions and simultaneously influence others during the global financial disturbance. 展开更多
关键词 conditional granger causality network (G-causality network) network density IN-DEGREE out-degree
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Causality between bank’s major activities and economic growth:evidences from Pakistan
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作者 Saba Mushtaq 《Financial Innovation》 2016年第1期87-97,共11页
Background:Banking is an important sector of Pakistan’s economy.It is general consideration that bank’s major activities saving and lending have positive impact on economic growth.So the aim of this study is to inve... Background:Banking is an important sector of Pakistan’s economy.It is general consideration that bank’s major activities saving and lending have positive impact on economic growth.So the aim of this study is to investigate this consideration and also investigate that either growth led deposits and credits,or deposit and credits led growth means the purpose of this study is to investigate the direction of this relationship.Methods:Johansen test of Co-integration and Granger Causality is employed by using time series data of Pakistan from 1961 to 2013.Results:The results show that two major activities of banking sector that are saving and lending don’t have any long run or short run causality towards economic growth so the general consideration of positive impact of these activities proved wrong in case of Pakistan.However there is unidirectional causality running from GDP growth to credit provided by banking sector which shows that economic prosperity or economic growth will have a major impact on lending activities of banks meaning that demand following hypothesis is true for Pakistan in case of GDP and Bank’s credit or we can say that growth led Bank’s credit in Pakistan.Conclusions:Hence Government and central bank should make policies by keeping this fact in consideration that bank’s two major activities that are saving and lending does not have impact on GDP growth.There might be other factors which influence economic growth of Pakistan more than banking sector these activities,which can be bank’s profitability,human resource,technology,infrastructure and other sectors of the economy.However GDP growth affects bank’s lending activities so during high economic growth year central bank and private bank’s management should introduce easy loans for businesses and industries and during poor economic growth years personal loan’s new schemes should be introduce by banks. 展开更多
关键词 granger causality COINTEGRATION Economic Growth Bank deposits Bank’s credit
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Neural Dynamics of Visual Stream Interactions During Memory-Guided Actions Investigated by Intracranial EEG
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作者 Sofiia Moraresku Jiri Hammer +6 位作者 Vasileios Dimakopoulos Michaela Kajsova Radek Janca Petr Jezdik Adam Kalina Petr Marusic Kamil Vlcek 《Neuroscience Bulletin》 2025年第8期1347-1363,共17页
The dorsal and ventral visual streams have been considered to play distinct roles in visual processing for action:the dorsal stream is assumed to support real-time actions,while the ventral stream facilitates memory-g... The dorsal and ventral visual streams have been considered to play distinct roles in visual processing for action:the dorsal stream is assumed to support real-time actions,while the ventral stream facilitates memory-guided actions.However,recent evidence suggests a more integrated function of these streams.We investigated the neural dynamics and functional connectivity between them during memory-guided actions using intracranial EEG.We tracked neural activity in the inferior parietal lobule in the dorsal stream,and the ventral temporal cortex in the ventral stream as well as the hippocampus during a delayed action task involving object identity and location memory.We found increased alpha power in both streams during the delay,indicating their role in maintaining spatial visual information.In addition,we recorded increased alpha power in the hippocampus during the delay,but only when both object identity and location needed to be remembered.We also recorded an increase in theta band phase synchronization between the inferior parietal lobule and ventral temporal cortex and between the inferior parietal lobule and hippocampus during the encoding and delay.Granger causality analysis indicated dynamic and frequency-specific directional interactions among the inferior parietal lobule,ventral temporal cortex,and hippocampus that varied across task phases.Our study provides unique electrophysiological evidence for close interactions between dorsal and ventral streams,supporting an integrated processing model in which both streams contribute to memory-guided actions. 展开更多
关键词 Dorsal visual stream Ventral visual stream Memory-guided actions Intracranial EEG Phase-locking value granger causality analysis Alpha oscillations Theta oscillations
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Frontal,temporal,cerebellar changes link to sepsis survivors'cognitive issues:A resting state functional magnetic resonance imaging study
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作者 Ying Li Jian-Qing Chen +2 位作者 Hui Wang Jian-Jun Yang Mu-Huo Ji 《World Journal of Psychiatry》 2025年第10期190-202,共13页
BACKGROUND Sepsis is a life-threatening condition defined by organ dysfunction,triggered by a dysregulated host response to infection.there is limited published literature combining cognitive impairment with topologic... BACKGROUND Sepsis is a life-threatening condition defined by organ dysfunction,triggered by a dysregulated host response to infection.there is limited published literature combining cognitive impairment with topological property alterations in brain networks in sepsis survivors.Therefore,we employed graph theory and Granger causality analysis(GCA)methods to analyze resting-state functional magnetic resonance imaging(rs-fMRI)data,aiming to explore the topological alterations in the brain networks of intensive care unit(ICU)sepsis survivors.Using correlation analysis,the interplay between topological property alterations and cognitive impairment was also investigated.AIM To explore the topological alterations of the brain networks of sepsis survivors and their correlation with cognitive impairment.METHODS Sixteen sepsis survivors and nineteen healthy controls from the community were recruited.Within one month after discharge,neurocognitive tests were administered to assess cognitive performance.Rs-fMRI was acquired and the topological properties of brain networks were measured based on graph theory approaches.GCA was conducted to quantify effective connectivity(EC)between brain regions showing positive topological alterations and other regions in the brain.The correlations between topological properties and cognitive were analyzed.RESULTS Sepsis survivors exhibited significant cognitive impairment.At the global level,sepsis survivors showed lower normalized clustering coefficient(γ)and small-worldness(σ)than healthy controls.At the local level,degree centrality(DC)and nodal efficiency(NE)decreased in the right orbital part of inferior frontal gyrus(ORBinf.R),NE decreased in the left temporal pole of superior temporal gyrus(TPOsup.L)whereas DC and NE increased in the right cerebellum Crus 2(CRBLCrus2.R).Regarding directional connection alterations,EC from left cerebellum 6(CRBL6.L)to ORBinf.R and EC from TPOsup.L to right cerebellum 1(CRBLCrus1.R)decreased,whereas EC from right lingual gyrus(LING.R)to TPOsup.L increased.The implementation of correlation analysis revealed a negative correlation between DC in CRBLCrus2.R and both Mini-mental state examination(r=-0.572,P=0.041)and Montreal cognitive assessment(MoCA)scores(r=-0.629,P=0.021)at the local level.In the CRBLCrus2.R cohort,a negative correlation was identified between NE and MoCA scores,with a statistically significant result of r=-0.633 and P=0.020.CONCLUSION Frontal,temporal and cerebellar topological property alterations are possibly associated with cognitive impairment of ICU sepsis survivors and may serve as biomarkers for early diagnosis. 展开更多
关键词 SEPSIS Cognitive impairment Functional magnetic resonance imaging Graph theory granger causality analysis Topological properties
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Does urbanization of tourism-oriented cities promote urban ecological resilience?Observations,judgments,and verifications
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作者 ZHANG Yaping ZHANG Jianjun +4 位作者 Geng Yuhuan LIU Shidong YI Kexin MENG Mingyu LI Yufei 《Journal of Geographical Sciences》 2025年第7期1575-1598,共24页
Enhancing urban ecological resilience(UER)is a new concept for modern tourism-oriented cities to cope with environmental crises.Revealing the impact of the urbanization on UER is critical to the sustainability of urba... Enhancing urban ecological resilience(UER)is a new concept for modern tourism-oriented cities to cope with environmental crises.Revealing the impact of the urbanization on UER is critical to the sustainability of urban ecosystems.Taking Zhangjiajie,a typical tourism-oriented city,as an example,urbanization level(UL)and UER evaluation system were constructed,and the change trend was analyzed.The Granger Causality Test model was used to discuss the relationship between UL and UER.The results showed that:(1)the urbanization rate of Zhangjiajie significantly increased by 0.531 from 2011 to 2020.Cili county has the highest UL,and Wulingyuan district including a large number of scenic spots has the fastest development trend.(2)The ecological restoration was more sensitive in the face of rising pressure,and showed a synchronized change trend with pressure.The high pressure in 2016 had the most significant impact on resistance.This effect continued into 2019,with an average decline in resistance of 0.802.(3)The UL has significantly promoted the improvement of urban ecological restoration.Specially,tourism urbanization was the most significant in scenic spots,while economic and social urbanization played a major role in other regions for the improvement of ecological restoration. 展开更多
关键词 tourism urbanization urbanization level urban ecological resilience urban ecological resistance urban ecological restoration The granger causality Test
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中国股市与周边股市波动风险传导效应研究 被引量:16
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作者 陈王 魏宇 +1 位作者 淳伟德 侯县平 《中国管理科学》 CSSCI 北大核心 2011年第6期31-39,共9页
由于金融资产收益的条件波动率不仅是金融市场风险度量的重要指标,而且呈现出明显的杠杆效应。因此,本文运用能够刻画波动率杠杆效应的LGARCH(Leverage GARCH)模型对金融市场条件波动率进行建模分析,进而运用Granger-Causality检验分析... 由于金融资产收益的条件波动率不仅是金融市场风险度量的重要指标,而且呈现出明显的杠杆效应。因此,本文运用能够刻画波动率杠杆效应的LGARCH(Leverage GARCH)模型对金融市场条件波动率进行建模分析,进而运用Granger-Causality检验分析了中国股市与周边股市波动风险的传导效应。实证结果表明,在整个样本区间,上海股市与周边重要股市的联系比较微弱,仅与香港股市存在一定的风险传导关系,而与东京、新加坡股市却不存在传导关系。然而,在我国股市对境外合格机构投资者(Qualified Foreign Institutional Investors,QFII)开放后,中国股市与周边股市的波动风险传导关系明显异于对QFII开放之前和整个样本期的风险传导关系,上海股市与香港、东京、新加坡股市间的波动风险传导关系均显著增强。 展开更多
关键词 股市 波动风险 LGARCH grangercausality 风险传导
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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 被引量:9
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作者 ZHANG Pei DENG Mingjiang +5 位作者 LONG Aihua DENG Xiaoya WANG Hao HAI Yang WANG Jie LIU Yundong 《Journal of Arid Land》 SCIE CSCD 2020年第1期73-89,共17页
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... 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. 展开更多
关键词 water consumption ecological footprint water footprint granger causality test natural oasis artificial oasis Tarim River
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The relationship between international crude oil prices and China's refined oil prices based on a structural VAR model 被引量:4
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作者 Song Han Bao-Sheng Zhang +1 位作者 Xu Tang Ke-Qiang Guo 《Petroleum Science》 SCIE CAS CSCD 2017年第1期228-235,共8页
With the frequent fluctuations of international crude oil prices and China's increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domesti... With the frequent fluctuations of international crude oil prices and China's increasing dependence on foreign oil in recent years, the volatility of international oil prices has significantly influenced China domestic refined oil price. This paper aims to investigate the transmission and feedback mechanism between international crude oil prices and China's refined oil prices for the time span from January 2011 to November 2015 by using the Granger causality test, vector autoregression model, impulse response function and variance decomposition methods. It is demonstrated that variation of international crude oil prices can cause China domestic refined oil price to change with a weak feedback effect. Moreover, international crude oil prices and China domestic refined oil prices are affected by their lag terms in positive and negative directions in different degrees. Besides, an international crude oil price shock has a signif- icant positive impact on domestic refined oil prices while the impulse response of the international crude oil price variable to the domestic refined oil price shock is negatively insignificant. Furthermore, international crude oil prices and domestic refined oil prices have strong historical inheri- tance. According to the variance decomposition analysis, the international crude oil price is significantly affected by its own disturbance influence, and a domestic refined oil price shock has a slight impact on international crude oil price changes. The domestic refined oil price variance is mainly caused by international crude oil price disturbance, while the domestic refined oil price is slightly affected by its own disturbance. Generally, domestic refined oil prices do not immediately respond to an international crude oil price change, that is, there is a time lag. 展开更多
关键词 International crude oil prices China's refinedoil prices VAR model granger causality - Impulseresponse Variance decomposition
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