CSH Talk by Alejandro Lage-Castellanos “The Causal Fingerprint of Economical Crisis”

Aug 11, 2023 | 15:0016:00

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Alejandro Lage-Castellanos (Havana University) will present a talk on Friday, August 11th, 2023 from 3 to 4 PM in the Salon.




Title: The Causal Fingerprint of Economical Crisis



Abstract: Granger causation is a statistical test developed in the context of economic time series, and worthy of a 2003 Nobel prize. It is often used to build causal networks. Here we study the causal relationships in a representative set of 110 financial time series, divided into groups of 22 assets of 5 different markets, namely Forex, Commodities, ETFs, Stocks, and Indices. We study this series in the years ranging from 2006 to 2022. The Granger causality test is carried out for the daily prices of each year independently, for each pair of times series, determining whether there is or isn’t a causal connection between them. Not surprisingly, crisis periods and stable periods leave a signature on the size and shape of the causal networks (also found by other authors). We show that causality is enhanced during a crisis. Furthermore, the source of causation seems to be different in 2008 and 2020 world economic shocks, consistent with the nature of each crisis. We advance some hypotheses, but we are sure you will have some of your own, probably better than ours.






Aug 11, 2023


Ernesto Ortega
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