Estimating the key determinants of foreign direct investment flows in Pakistan: new insights into the co-integration relationship

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hummera Saleem ◽  
Malik Shahzad Shabbir ◽  
Bilal Khan ◽  
Shahab Aziz ◽  
Maizaitulaidawati Md Husin ◽  
...  
Keyword(s):  
Granger Causality ◽  
Direct Investment ◽  
Time Series Data ◽  
Institutional Quality ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Main Determinants

PurposeThis empirical analysis tries to examine determinants of private foreign direct investment (FDI) in Pakistan using the bounds test approach. Main determinants of FDI among them are the size of the market (Q) macroeconomic stability (r), political stability (PRS), real exchange rate (REX) and institutional quality (INQ).Design/methodology/approachThis study used annual time-series data set starting from 1980 to 2016. This study has used time-series data with ARDL and error-correction model (ECM) and examined main determinants of FDI for Pakistan. The study used the Granger causality test (modified WALD test) to identify the causality among the variables.FindingsMoreover, empirical findings indicate the long-run relationship between GDP, trade openness and institutional quality toward FDI. However, political instability, inflation and real exchange rate harm FDI in Pakistan. Furthermore, results of Granger causality indicate that the bidirectional causality running from FDI and Q toward FDI is significant, providing evidence of FDI-led growth hypotheses in Pakistan. This study determines the correlation between FDI and Q (GDP growth) related to the “feedback hypothesis” in the short and long run. This study also concludes that the short-run causal connection among FDI, REX, PRS, r and Q follows the “feedback hypothesis.” This describes that FDI, REX, PRS, r and Q variables are jointly determined and affected together.Originality/valueThis study also explores the causal association between FDI and its significant determinants, by using methods of Granger causality test and the approach of Toda-Yamamoto-DoladoLutkephol (TYDL) to examine the causal relationship and its directions among these variables.

scholarly journals Exploring the linkages of Foreign Direct Investment in Spain since 1970’s: an ARDL approach

2020 ◽  
Vol 33 (1) ◽  
pp. 39-54
Author(s):  
Verónica Cañal Fernández ◽  
Julio Tascón Fernández ◽  
María Gómez Martín
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Granger Causality ◽  
Direct Investment ◽  
Time Series Data ◽  
Series Data ◽  
Bounds Testing ◽  
Causality Test ◽  
Long Run ◽  
The Relationship

This paper analyzes the relationship between foreign direct investment (FDI), exports and economic growth in Spain using annual time series data for the period 1970 to 2016. To examine these linkages the autoregressive distributed lag (ARDL) bounds testing approach to cointegration for the long-run is applied. The results confirm a long-run relationship among the examined variables. The Granger causality test indicates a strong unidirectional causality between FDI and exports with direction from FDI to exports. Besides, the results for the relationship between FDI and economic growth are interesting and indicate that there is no significant Granger causality from FDI to economic growth and vice-versa.

Cointegration and Causality between Disaggregated Exports and Economic Growth in ASEAN-4 Nations

2021 ◽  
Vol 12 (3) ◽  
pp. 633-645
Author(s):  
Shahrun Nizam Abdul-Aziz Et.al
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
The Philippines ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Manufactured Exports

This study aimed to examine the relationship between ASEAN-4’s disaggregates exports (i.e., manufactured and primary exports) and economic growth by utilising the time series data over the period from 1982 to 2017. The Johansen-Juselius multivariate procedure was performed to determine the existence of the long-run relationship between variables, while the Granger causality test within VECM was applied to analyse the long-run and short-run causal directions. Prior to that, the unit root test was conducted to examine the series properties of the variables. The empirical results from the Johansen and Juselius Multivariate Cointegration test revealed that there were long-run equilibrium relationships among variables, while the Granger causality test based on VECM found that the ELG hypothesis for manufactured exports was valid for Indonesia in the long-run and short-run, while in the Philippines this hypothesis was only valid for the short-run. On the other hand, in the case of Malaysia and Thailand, both ELG and GLE hypotheses were valid in both long-run and short-run. For each ASEAN-4 nation the results also revealed that physical capital indirectly caused economic growth via the manufactured exports. Nevertheless, in the case of Malaysia and Thailand, it seemed that the reserve effect was likely to happen whereby the economic growth caused the growth of manufactured exports through the increase of the national production. The growth of the manufactured exports due to the reverse effect in turn caused the demand for imports to increase, particularly the imports of intermediate products. As far as the primary exports were concerned, the ELG hypothesis was valid for Thailand in both long-run and short-run, while for Malaysia and Indonesia, this hypothesis was valid respectively in the long-run and short-run. For Thailand, Indonesia and Malaysia, it appeared that in the short run, human capital indirectly stimulated economic growth via primary exports.

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

scholarly journals Impact of Economic Reforms, FDI and Imports on GDP: Trends and Regression Analysis

2018 ◽  
Vol 7 (3) ◽  
pp. 20-25
Author(s):  
Preeti Sharma ◽  
Priyanka Sahni
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Time Series Data ◽  
Economic Reforms ◽  
Chinese Economy ◽  
Series Data ◽  
Causality Analysis ◽  
Causality Test ◽  
Long Run ◽  
Integration Test

The aim of this study is to explore the causal relationship between the exports, imports and economic growth of Chinese economy using time series data running from 1978 to 2016.Co integration, Granger Causality analysis and Vector Error Correction Mechanism (VECM) has been used in order to test the hypotheses about the presence of causality and co integration among the variables. The co integration test confirmed that exports, imports and GDP are co integrated, indicating an existence of long run equilibrium relationship among the variables and also confirmed by the Johansen co integration test results. The Granger causality test finally confirmed the presence of bi-directional causality between exports, imports and GDP. The study further shows that relative share of china’s exports in world exports has increased significantly after the introduction of economic reforms. Further, the rising exports have also made a significant contribution to the economic growth of Chinese economy due to forward and backward linkages.

scholarly journals Impact of Interest Rate on Household Consumption in Tanzania

2021 ◽  
pp. 44-62
Author(s):  
Daud Mkali Fadhil ◽  
Naifin A. Rajab
Keyword(s):  
Interest Rate ◽  
Causal Relationship ◽  
Granger Causality ◽  
Time Series Data ◽  
Negative Relationship ◽  
Granger Causality Test ◽  
Household Consumption ◽  
Least Square ◽  
Series Data ◽  
Causality Test

This study seeks to determine the exact impact of interest rate on household consumption in Tanzania and identify the direction of causality between the variables. Although there have been few studies which explore the issue of interest rate and consumption, their method, time scope and geographical location has been different. This study aim to examine the relationship between interest rate on deposit and household expenditure in Tanzania using the annual time series data from the period 1990–2017 and employing Dynamic Ordinary Least Square (DOLS) and Granger causality test for testing causal relationship between  the variables. The result revealed that there is a negative relationship between interest rate on deposit and consumption for the Tanzania. Additionally, it is observed from the estimate results that interest rate had an insignificant effect on consumption. Furthermore, the granger causality test results have shown that there is bidirectional causal relationship between interest rate and consumption. Furthermore, the result also shows that income and consumption are positively related and statistical significant at 5%. In addition, the findings supported Keynesian's Absolute Income hypothesis which emphasis consumption being a positive function of disposable income. The study recommends that there is the need for government to take urgent steps to implement policies like poverty reduction strategies, agriculture policy and Five Years Development Plans in order to improve the income base of most of households.

scholarly journals Investigating the Relationship between Unemployment and Inflation in Nigeria

2021 ◽  
Vol 04 (03) ◽  
Author(s):  
Charity I. Anoke I. Anoke ◽  
Keyword(s):  
Foreign Direct Investment ◽  
Granger Causality ◽  
Direct Investment ◽  
Economic Status ◽  
Government Expenditure ◽  
Negative Relationship ◽  
Granger Causality Test ◽  
Causality Test ◽  
Long Run ◽  
The Impact

This study considered the impact of inflation on unemployment in Nigeria viz avis selected macroeconomic variables. The researcher adopted co integration, vector error correction model and VEC Granger causality test econometric procedure in the analysis of the data employed. The specific objectives of the study are; (i) to determine the extent to which inflation impact on unemployment in Nigeria within the period of study, (ii) to examine if government expenditure have any significant impact on unemployment in Nigeria within the period of study, (iii) to estimate the significant impact of foreign direct investment on unemployment in Nigeria within the period of study; (iv) to investigate the extent of direction of causality between unemployment and inflation in Nigeria within the period of study. The results of the research revealed long run relationship among estimated variables, VECM result showed a positive significant relationship between inflation and unemployment in the short run and long run, government expenditure and foreign direct investment maintained negative relationship with unemployment both in the short and long run. The VEC Granger causality test indicated causality among UNEM, INF and TGEX. The research recommended that (i) government should focus on policy and strategy that can attract foreign direct investment into the country, (ii) government should try to maintain low inflation rate through suitable monetary policy; (iii) government should encourage investment platforms and enabling environment for effective and efficient national output; and (iv) Government should consciously increase fiscal space for capital activities and projects that are capable of generating income, increase domestic and public spending, improve economic status and reduce unemployment. This paper concluded that the Philip’s curve hypothesis does not apply in Nigeria within the period of study as the result failed to establish an inverse relationship as postulated by A.W. Philips.

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

Does any nexus between electricity consumption and economic growth exist? Evidence from Haryana using VAR model

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kamaljit Singh
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Renewable Energy Sources ◽  
Electricity Consumption ◽  
Granger Causality Test ◽  
Economic Downturn ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Per Capita

Purpose In the fast-changing technological environment, electricity is the essence of the world economy and a significant means for all the modern world’s possessions. The ongoing economic downturn focuses on energy’s role in the economy. This study aims to explore the nexuses between per capita electricity usage and per capita state gross domestic product (SGDP) in Haryana, India. Design/methodology/approach The statistics from 1989 to 2015 have been analyzed using Johansen cointegration, vector autoregression and paired Granger-causality test. Findings The Granger causality test results show that a long-run association is absent. A short-run unidirectional relationship runs from per capita SGDP to per capita electricity usage. Practical implications As a policy suggestion, the policymakers may encourage energy conservation measures and renewable energy sources to lead the country’s sustainable energy supply. Moreover, Haryana can increase its influence in this sector and enter rapidly in the growing markets worldwide by stimulating the production and adoption of digital solutions for energy efficiency. Originality/value To the best of the author’s awareness, this research is one of its nature regarding systematically analyzing electricity usage and economic growth relationship in Haryana.

Has Social Mobilization Caused Political Instability in Africa? A Granger-Causality Test

1993 ◽  
Vol 22 (1) ◽  
pp. 33-54
Author(s):  
Bedford N. Umez
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Political Instability ◽  
Granger Causality Test ◽  
Social Mobilization ◽  
Series Data ◽  
African Countries ◽  
Causality Test ◽  
Empirical Results

A Granger-causality test is used to examine whether social mobilization causes political instability. This test allows serious problems encountered in correlation-based analyses to be overcome. Time-series data from seven African countries are used. The empirical results (which vary by country) generally suggest that there is usually a feedback relationship between social mobilization and political instability.

scholarly journals Temperature and Humidity Do Not Influence Global COVID-19 Incidence as Inferred from Causal Models

2020 ◽  
Author(s):  
Raghav Awasthi ◽  
Aditya Nagori ◽  
Pradeep Singh ◽  
Ridam Pal ◽  
Vineet Joshi ◽  
...  
Keyword(s):  
Granger Causality ◽  
Disease Transmission ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Causal Models ◽  
Series Data ◽  
Causal Association ◽  
Causality Test ◽  
Temperature And Humidity ◽  
Convergent Cross Mapping

AbstractThe relationship between meteorological factors such as temperature and humidity with COVID-19 incidence is still unclear after 6 months of the beginning of the pandemic. Some literature confirms the association of temperature with disease transmission while some oppose the same. This work intends to determine whether there is a causal association between temperature, humidity and Covid-19 cases. Three different causal models were used to capture stochastic, chaotic and symbolic natured time-series data and to provide a robust & unbiased analysis by constructing networks of causal relationships between the variables. Granger-Causality method, Transfer Entropy method & Convergent Cross-Mapping (CCM) was done on data from regions with different temperatures and cases greater than 50,000 as of 13th May 2020. From the Granger-Causality test we found that in only Canada, the United Kingdom, temperature and daily new infections are causally linked. The same results were obtained from Convergent Cross Mapping for India. Again using Granger-Causality test, we found that in Russia only, relative humidity is causally linked to daily new cases. Thus, a Generalized Additive Model with a smoothing spline function was fitted for these countries to understand the directionality. Using the combined results of the said models, we were able to conclude that there is no evidence of a causal association between temperature, humidity and Covid-19 cases.

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