Vector Autoregressions and Granger Causality

AbstractTanzania, like most other developing countries, faces numerous economic challenges in striving to achieve sustainable economic growth and development through taxation. In the literature, the debate on how effective taxes are as a tool for promoting economic growth and economic development remains inconclusive, as various research have reported mixed effects of tax on economic growth. This article investigates the effect of taxation on economic growth in Tanzania using the recently developed technique of autoregressive distributed lag model (ARDL) bounds testing procedure for the period from 1996 to 2019. Various preliminary tests were conducted including stationary tests as well as the pair-wise Granger causality test. According to the results obtained, domestic goods and services (TGS) taxes are positively related to GDP growth and are statistically significant at 1% level. Income taxes, on the other hand, were found to be negatively related to GDP growth and to be statistically significant at 5% level. The pair-wise Granger causality results indicated that there is bidirectional Granger causality between TGS and GDP growth at 1 % significance level. The government should aim at growing, nurturing and sustaining tax base to positively drive economic growth even further.

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Fraud and Bank Performance in Nigeria – Var Granger Causality Analysis

e-Finanse ◽

10.2478/fiqf-2020-0003 ◽

2020 ◽

Vol 16 (1) ◽

pp. 20-26

Author(s):

Taiwo A. Muritala ◽

Muftau A. Ijaiya ◽

Olatanwa H. Afolabi ◽

Abdulrasheed B. Yinus

Keyword(s):

Control Systems ◽

Granger Causality ◽

Internal Control ◽

Banking Sector ◽

Bank Performance ◽

Causality Analysis ◽

Vector Autoregressive ◽

Granger Causality Analysis ◽

Long Run ◽

Multivariate Cointegration

AbstractThis paper examines the causality between fraud and bank performance in Nigeria over the period 2000-2016 for quarterly financial data using Johansen’s Multivariate Cointegration Model and Vector Autoregressive (VAR) Granger Causality analysis. The results show a long-run relationship between the variables. Bank performance was found to be linked to Granger fraud variables and vice versa at 10% significant level. This study reveals that there was a direct causal relationship between bank performance and fraud because increase in fraudulent activities in the banking sector leads to reduction in bank performance. Hence, this study recommends that internal control systems of banks should be strengthened so as to detect and prevent fraud. In this way, bank assets would be protected.

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