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The finite sample performances of the cDCC and DCC esti- mators are compared by means of applications to simulated and real data. It is shown that, under the hypothesis of a
How- ever, when uncertainty is more generally related to economic and financial conditions, as measured by the VIX, its impact on real-activity variables seems to be stronger and
A set of simulation experiments was designed to uncover the size and power properties of bootstrap tests based on our proposed family of statistics, and to compare these properties
We subsequently conduct a pseudo-out-of-sample forecast experiment with real-time data to study the extent to which the incorporation of monthly observations via an MF-VAR
Outcome of the Pairwise Granger Causality test ** and * stands for 5% and 10% Source: authors’ compilation 2022 From the correlation matrix in Table 1, there exists a strong
4.12 Test statistics for the Classical models 56 4.13 Hypothesis tests for the Classical models 56 4.14 Panel Granger causality tests 57 4.15 Granger causality tests for Singapore 59
In a restricted version of the estimation model, there is bi-directional Granger causality between real GDP per capita and stock market development and bank development, respectively,
Discussion In the case of Indonesia, based on Granger causality testing, monetary and fiscal policies are proven to have a positive influence and have an impact on forecasting the
