2020, Volume 73 - Issue 3
RSS feed citation: At RePEc
Publication date: 17 August 2020
STRUCTURAL REFORMS IN THE EUROPEAN UNION: WHAT IS NEW AFTER THE CRISIS?Read the article
EXCHANGE RATE VOLATILITY AND ITS IMPACT ON CHINA'S TRADE WITH THE UNITED STATESRead the article
ASYMMETRIC PANEL CAUSALITY TESTS WITH AN APPLICATION TO THE IMPACT OF FISCAL POLICY ON ECONOMIC PERFORMANCE IN SCANDINAVIARead the article
Abdulnasser HATEMI-J, Department of Accounting and Finance, College of Business and Economics, UAE University, Al Ain, The United Arab Emirates
Tests for conducting asymmetric Granger causality within a panel system are introduced in this paper. It is shown how the cumulative sums of negative and positive shocks can be constructed to investigate whether the potential causal effects of these shocks are asymmetrical or not within a panel system. These tests can be based on asymptotic or bootstrap distributions. In addition, a test for efficiency gains of the suggested estimation method is introduced. An information criterion is also provided for selecting the optimal lag order in the autoregressive panel model. The suggested methods are applied to assess the impact of contractionary as well as expansionary fiscal policy on the economic performance of the three Scandinavian countries. The results show that allowing for asymmetry in the panel causality testing has important repercussions for the underlying causal inference.
C33, H21, H26
Asymmetric Causality, Panel, Fiscal Policy, Scandinavia
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