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

D 2021

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

CENEK, Martin, Roman HOLÍK and Petr MIKUŠ

Basic information

Original name

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

Authors

CENEK, Martin (203 Czech Republic), Roman HOLÍK (203 Czech Republic, belonging to the institution) and Petr MIKUŠ (203 Czech Republic, belonging to the institution)

Edition

Praha, Proceedings of the 14th International Scientific Conference: European Forum of Entrepreneurship 2021, p. 74-88, 15 pp. 2021

Publisher

NEWTON Academy, a. s.

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

electronic version available online

References:

URL

RIV identification code

RIV/00216224:14560/21:00125036

Organization unit

Faculty of Economics and Administration

ISBN

978-80-87325-42-1

Keywords in English

Investment activity; granger causality; macroeconomic indicators; investment funds

Abstract

V originále

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.

Links

MUNI/A/1182/2018, interní kód MU

Name: Tvorba metodiky pro uplatnění teorie her při řešení vybraných klíčových rozhodovacích situací strategického řízení podniku na bázi formulace principu z hlediska metodologického, formálně matematického a simulačního (Acronym: TPH)

Investor: Masaryk University, Category A

Citovat

CENEK, Martin, Roman HOLÍK and Petr MIKUŠ. Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity. Online. In Proceedings of the 14th International Scientific Conference: European Forum of Entrepreneurship 2021. Praha: NEWTON Academy, a. s., 2021, p. 74-88. ISBN 978-80-87325-42-1.

@inproceedings{1801399,
   author = {Cenek, Martin and Holík, Roman and Mikuš, Petr},
   address = {Praha},
   booktitle = {Proceedings of the 14th International Scientific Conference: European Forum of Entrepreneurship 2021},
   keywords = {Investment activity; granger causality; macroeconomic indicators; investment funds},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Praha},
   isbn = {978-80-87325-42-1},
   pages = {74-88},
   publisher = {NEWTON Academy, a. s.},
   title = {Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity},
   url = {https://4ab039238f.clvaw-cdnwnd.com/86dee696f396962ce1759356ee8577e1/200000166-5799357996/2021%20-%20XIV.%20ro%C4%8Dn%C3%ADk-2.pdf?ph=4ab039238f},
   year = {2021}
}

TY  - JOUR
ID  - 1801399
AU  - Cenek, Martin - Holík, Roman - Mikuš, Petr
PY  - 2021
TI  - Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity
PB  - NEWTON Academy, a. s.
CY  - Praha
SN  - 9788087325421
KW  - Investment activity
KW  - granger causality
KW  - macroeconomic indicators
KW  - investment funds
UR  - https://4ab039238f.clvaw-cdnwnd.com/86dee696f396962ce1759356ee8577e1/200000166-5799357996/2021%20-%20XIV.%20ro%C4%8Dn%C3%ADk-2.pdf?ph=4ab039238f
N2  - 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.
ER  -

CENEK, Martin, Roman HOLÍK and Petr MIKUŠ. Granger Causality and the Response Function: Macroeconomic Indicators as Determinants of Future Investment Activity. Online. In \textit{Proceedings of the 14th International Scientific Conference: European Forum of Entrepreneurship 2021}. Praha: NEWTON Academy, a. s., 2021, p.~74-88. ISBN~978-80-87325-42-1.

Detailed Information on Publication Record