Bivariate VAR Examples for Granger Causality in Futures Markets

Summary

The document asks for published economics or finance research using a bivariate vector autoregression to study Granger causality. The response offers two examples from petroleum futures markets: one examines whether speculators influence crude oil futures prices, and another studies linear and nonlinear causal links between price variability and trading volume.

These references illustrate applications of bivariate VAR-style causal analysis to futures prices, volatility, and volume. The document does not describe either paper’s model specification, data, findings, or limitations, so it is useful mainly as a pointer to relevant literature rather than as a guide to implementing or interpreting a VAR.

Key ideas

• Bivariate VAR models can be used to investigate lead-lag and Granger-causality relationships.
• The cited examples concern crude oil futures speculation and price behavior.
• A second cited study examines causal relationships between price variability and trading volume in petroleum futures.
• The document supplies references but does not summarize methods, evidence, or conclusions.

Tags

# Lead-lag bivariate VAR model


# Lead-lag bivariate VAR model












I am really interested in Granger-causality.

Can anyone think of a paper that uses a bivariate VAR model in economics or finance?

## Answer by Thomas W (score 1)

https://quant.stackexchange.com/a/55805

Here are two examples:

Büyükşahin, B., Harris, J.H., 2011. Do speculators drive crude oil futures prices?. Energy J. 32 (2), 167–202.

Fujihara, R.A., Mougou, M., 1997. An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets. J. Futures Mark. 17 (4), 385–416.

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