Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00125036" target="_blank" >RIV/00216224:14560/21:00125036 - isvavai.cz</a>

Výsledek na webu

<a href="https://4ab039238f.clvaw-cdnwnd.com/86dee696f396962ce1759356ee8577e1/200000166-5799357996/2021%20-%20XIV.%20ro%C4%8Dn%C3%ADk-2.pdf?ph=4ab039238f" target="_blank" >https://4ab039238f.clvaw-cdnwnd.com/86dee696f396962ce1759356ee8577e1/200000166-5799357996/2021%20-%20XIV.%20ro%C4%8Dn%C3%ADk-2.pdf?ph=4ab039238f</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity

Popis výsledku v původním jazyce

Investment activity has long stood in a position of a crucial economic topic, albeit a difficult one to grasp on account of the manifold factors that determine it. With regard to current dynamics of economic conditions, it is necessary to update findings as frequently as possible, taking into account new influences and using modern tools of statistical analysis. Investor behaviour affects macroeconomics and simultaneously macroeconomic phenomena influence investment, which gains even more significance as in the first half of 2018 investment in investment funds exceeded state budget expenditures in the Czech Republic. Previous literature examining this topic shows that the key question is comprised of what determines which variable and how. This paper concentrates on finding causal relationships between investment activity and macroeconomic indicators. Using Granger causality, nine mutual causalities (macroeconomic indicators helping predict the development of investment funds and at the same time investment funds helping predict the development of macroeconomic indicators) and 18 one-directional causalities were identified. Response functions presented in this paper use the identified causal relationships to simulate the influence of shocks in macroeconomic indicators on fund investment. The most significant effects observed were caused by inflationary shocks, which can cause the funds to deviate considerably from the long-term equilibrium and also cause cyclical effects, destabilizing the development of funds also in the long term.

Název v anglickém jazyce

Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity

Popis výsledku anglicky

Investment activity has long stood in a position of a crucial economic topic, albeit a difficult one to grasp on account of the manifold factors that determine it. With regard to current dynamics of economic conditions, it is necessary to update findings as frequently as possible, taking into account new influences and using modern tools of statistical analysis. Investor behaviour affects macroeconomics and simultaneously macroeconomic phenomena influence investment, which gains even more significance as in the first half of 2018 investment in investment funds exceeded state budget expenditures in the Czech Republic. Previous literature examining this topic shows that the key question is comprised of what determines which variable and how. This paper concentrates on finding causal relationships between investment activity and macroeconomic indicators. Using Granger causality, nine mutual causalities (macroeconomic indicators helping predict the development of investment funds and at the same time investment funds helping predict the development of macroeconomic indicators) and 18 one-directional causalities were identified. Response functions presented in this paper use the identified causal relationships to simulate the influence of shocks in macroeconomic indicators on fund investment. The most significant effects observed were caused by inflationary shocks, which can cause the funds to deviate considerably from the long-term equilibrium and also cause cyclical effects, destabilizing the development of funds also in the long term.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 14th International Scientific Conference: European Forum of Entrepreneurship 2021

ISBN

9788087325421

ISSN

—

e-ISSN

—

Počet stran výsledku

15

Strana od-do

74-88

Název nakladatele

NEWTON Academy, a. s.

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

1. 1. 2021

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—