Causality : definitions, tests and empirical evidence
KeywordsCausality ; Granger causality ; Long-short run causality ; VAR model ; Cointegration ; Αιτιότητα ; Συνολοκλήρωση
This project involves the presentation of various definitions that have been proposed for the concept of causality, with an emphasis in the field of Finance and Econometrics, and various statistical tests which have been used or used in recent years checking the existence of causal relationships. The last piece of work is devoted to an empirical study between industrial production of Germany and USA and stock indices DAX30 and S&P500 respectively, in order to check whether there is any causal relationship. Specifically, the first chapter begins with a historical overview showing the main "instigators" of the concept of causality and continues giving the precise definitions that have been given. The second section deals with the various statistical tests have been used or used in recent years, while in the third section we present the empirical study, which based on the concept of causality developed by Granger.