scholarly journals FIIs Investment and Economic Growth: A Case Study of Indian Economy

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Neeta Tripathi
Keyword(s):  
Economic Growth ◽  
Capital Flows ◽  
Granger Causality Test ◽  
Economic Reforms ◽  
Var Model ◽  
Causality Test ◽  
Institutional Investment ◽  
Integration Test ◽  
Foreign Institutional Investors

A major feature of economic reforms in India since 1991 has been a progressive liberalisation of external capital flows, especially non debt creating ones like Foreign Direct investment (FDI) and Foreign Institutional Investment (FII).This opened a new door for the foreign investors to invest in India due to which a large number of foreign institutional investors (FIIs) flocked towards India. In this paper, we make an effort to study cause and effect relationship between FIIs' inflows and economic growth in India. The study covers the period from 1994 to 2016. The pragmatic relationship between FII inflows and economic growth has been examined by applying Engle- Granger Co-integration test, Granger Causality test and further VAR model. The results of the study have given no backing to the speculation that FII inflows have the capability of impacting the process of economic growth in India. Further, we have also found that economic growth is not a substantial determinant of FII inflows in India.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals Granger Causality Between Local Government Expenditure and Economic Growth in Indonesia

2018 ◽  
Vol 3 (4) ◽  
pp. 80-86
Author(s):  
Sri Kurniawati
Keyword(s):  
Economic Growth ◽  
Local Government ◽  
Granger Causality ◽  
Government Expenditure ◽  
Granger Causality Test ◽  
Reciprocal Relationship ◽  
Series Data ◽  
Causality Test ◽  
West Kalimantan ◽  
Integration Test

Objective - This study examines the causal relationship between government expenditure and economic growth in West Kalimantan between 2009 and 2015. This research resulted in the enactment of Wagner's Law and/or Keynes's Theory in West Kalimantan leading the local government to take the right policies as an effort towards improving economic development. Methodology/Technique - By using panel data that combines time series data and cross-site data, it will be estimated by the Granger causality test which begins with a stationary test and co-integration test. Based on the co-integration tests, the results suggest that there is a long-term relationship between government expenditure and economic growth. Meanwhile, based on the Granger causality test, there is no reciprocal relationship between government expenditure and economic growth. Findings - A direct relationship in the form of the influence of government expenditure on economic growth in West Kalimantan. Novelty - These results are in line with the Keynes's Theory through its national income function. Type of Paper: Empirical Keywords: Government Expenditure; Economic Growth; Co-integration; Causality. JEL Classification: F40, F43, F49.

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 Financial System Stability and Economic Growth in Nigeria

2020 ◽  
Author(s):  
Isaac Ikeafe NJANG ◽  
Eko Eko OMINI ◽  
Festus Victor BEKUN ◽  
Festus Fatai Adedoyin
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Financial Stability ◽  
Financial System ◽  
Granger Causality Test ◽  
System Stability ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Sustainable Economic Growth

Abstract This study primarily seeks to evaluate the influence of financial system stability on economic growth in Nigeria from 1986 to 2016. Employing the use of Principal Component Analysis (PCA), this study constructs a Financial System Stability Index (FSSI) as measurement for financial stability. The indicators used in building the index capture three sectors of the Nigerian Financial System (NFS). The three sectors cover the banking sector, the capital market, the external sector and include a fourth component representing financial depth. The resulting index serves as a single qualitative measure for evaluating the level of stability in a nation’s financial system and proves capable of warning of an eminent financial crisis. Employing the use of four macroeconomic indicators, the index is then regressed against the Nigerian economic growth rate with an aim of discovering the short-run and long-run dynamics existing between both variables. The granger causality test, Johansson Co-integration test and Vector Error Correction Model (VECM) are the estimation techniques employed in achieving the objectives of this research. The granger causality test revealed a uni-directional causality between financial stability and economic growth in Nigeria. The Johansson Co-integration test showed that long-run co-integration relationship exists between financial stability and economic growth. Finally, the VECM results find that financial stability displays a negative relationship with economic growth and bears no significant effect on economic growth in Nigeria. The findings disclose that financial stability in Nigeria may be high and has resulted in the underutilization of financial assets thus hampering sustainable economic growth in Nigeria. In conclusion, the outcome of the findings shows that while financial stability may be necessary for initiating economic growth, it is not sufficient for sustaining economic growth in Nigeria. This research work recommends that the FSSI be employed as an additional tool for measuring the condition/state of financial stability in Nigeria and in predicting the onset of a potential financial crisis. The study further recommends that financial authorities must give attention to other aspects of financial development to facilitate sustainable economic growth in Nigeria.

scholarly journals Interactions between Economic Growth, FDI and Islamic Banking Development in Turkey

2016 ◽  
Vol 11 (8) ◽  
pp. 230 ◽  
Author(s):  
Salih Kalayci ◽  
Behic Efe Tekin
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Linear Regression Analysis ◽  
Granger Causality Test ◽  
Islamic Banking ◽  
Causality Test ◽  
Bank Deposits ◽  
Integration Test ◽  
Considerable Impact ◽  
Banking Development

<span lang="EN-US">In this research paper, the quarter data has been collected from Turkish Central Bank in order to determine the relationship between economic growth, FDI and participation banks of Turkey over the periods of 2002 - 2014. Several econometrical models have been implemented to reveal this relation among variables. In this context, it has been found that there is a long-term linkage between economic growth, FDI and breakdown of participation funds in Islamic banking by implementing Johansen co-integration test. On the other hand, according to Granger causality test (GCT), when the lag number is 3, there is a bidirectional relationship between GDP and participation funds in Islamic banking. According to results of both Johansen co-integration and Granger causality test, the contribution of Islamic banking to*the economic growth of Turkey is so vital. The linear regression analysis has to be used to reply the research questions. The results indicated that there is the considerable impact of GDP on Islamic bank deposits in Turkey which is founded 0.0006.</span>

scholarly journals Public Expenditure and Economic Growth in India: An Empirical Analysis Using Vector Autoregression (VAR) Model

2020 ◽  
Vol 5 (2) ◽  
pp. 45-58
Author(s):  
Rashmi Gupta ◽  
Swati Shastri
Keyword(s):  
Economic Growth ◽  
Public Expenditure ◽  
Forecast Error ◽  
Granger Causality Test ◽  
Error Variance ◽  
Var Model ◽  
Impulse Responses ◽  
Causality Test ◽  
Long Run ◽  
Forecast Error Variance

Objective – The objective of this study is to test direction of causality between components of public expenditure and economic growth in India. Methodology/Technique – The paper uses annual data for the period 1980-2015. To measure public expenditure, plan expenditure and non-plan expenditure are used. The econometric methodology employed is Vector Auto regression (VAR) model. Findings – First, the stationary properties of the data were tested using Augmented Dickey-Fuller (ADF) test, Dickey-Fuller (DF) test, and the Phillip-Perron (PP) test and found that variables were non-stationary in level, but stationary in first differences. Then, Johansen- Jueslius cointegration test was employed to test the long-run association among the variables and results suggest an absence of any long-run association between plan expenditure and non-plan expenditure and economic growth in India. The Granger Causality test suggests there is unidirectional causality running from economic growth and non-plan expenditure and plan expenditure and non-plan expenditure and absence of causality public expenditure and economic growth. Novelty – The results of the Forecast Error Variance Decompositions test indicated that innovations in the variables are mostly explained by their own shocks. The impulse responses of the economic growth, plan expenditure and non-plan expenditure with respect to identified shocks are consistent with the results of Variance Decomposition Analysis. Type of Paper: Empirical. JEL Classification: O4, O49, O53. Keywords: Plan Expenditure; Non-plan Expenditure; Economic Growth; Unit Root; Cointegration Test; Granger Causality Test; Forecast Error Variance Decomposition; Impulse Responses. Reference to this paper should be made as follows: Gupta, R; Shastri, S. 2020. Public Expenditure and Economic Growth in India: An Empirical Analysis Using Vector Autoregression (VAR) Model, J. Bus. Econ. Review 5(2) 45– 58 https://doi.org/10.35609/jber.2020.5.2(1)

scholarly journals Examining the Causal Relationship between Private Sector Credit Extended and Economic Growth in Namibia

2019 ◽  
Vol 11 (2(J)) ◽  
pp. 23-29
Author(s):  
Andreas . ◽  
J P S Sheefeni
Keyword(s):  
Economic Growth ◽  
Private Sector ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Test Results ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Stationarity Test ◽  
Lending Rates

The paper examined causality between Private Sector Credit Extension (PSCE) and Economic growth using quarterly data for the period 2000:Q1-2017:Q4, in Namibia. The variables employed were Gross Domestic Product (GDP), Private Sector Credit Extended, Broad Money Supply (M2) and lending rates. The study tested for stationarity in order to determine the order of integration. Furthermore, a co-integration test was conducted on different sets of variables to establish the long run relationship. Granger causality test was also conducted to establish the direction of the relationships between the variables. The results for the stationarity test showed a combination of different orders of integration. The co-integration test revealed a stable long-run relationship among the variables. The Granger causality test results revealed one-directional causality running from PSCE to GDP. Therefore, one can conclude that that change in private sector credit extended can help predict economic growth.

Linking energy consumption with economic growth: Rwanda as a case study

2021 ◽  
pp. 181-200
Author(s):  
Gerard Bikorimana ◽  
Charles Rutikanga ◽  
Didier Mwizerwa
Keyword(s):  
Economic Growth ◽  
Energy Consumption ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test ◽  
Ardl Bounds Test ◽  
Causal Direction ◽  
Bounds Test ◽  
Toda And Yamamoto

This paper analyzes the link between energy consumption and economic growth in Rwanda for the period 1985-2017. The ARDL bounds test was used to test for the existence of co-integration, while the Toda and Yamamoto granger causality test was applied to test for causal direction. The results from the estimation of the ARDL bounds test showed that there was no evidence of co-integration between the considered variables under study. Additionally, the empirical findings confirmed that there was no relationship between economic growth and energy consumption in Rwanda. The findings supported the "neutrality hypothesis" between energy consumption and economic growth. This implies that neither conservative nor expansive policies in relation to energy consumption have any effect on economic growth. Furthermore, the study found a uni-directional granger causality running from energy consumption to economic growth. The results of this findings are consistent with the "growth hypothesis" which postulates that energy consumption leads to economic growth

scholarly journals A Causal Nexus of Energy Consumption, Private Investment, Economic Growth and Environmental Degradation: Evidence from Pakistan

2020 ◽  
Vol 6 (2) ◽  
pp. 367-376
Author(s):  
Shabana Parveen ◽  
Hazrat Ali ◽  
Habib Elahi Sahibzada ◽  
Sohail Farooq
Keyword(s):  
Economic Growth ◽  
Energy Consumption ◽  
Granger Causality ◽  
Co2 Emissions ◽  
Environmental Degradation ◽  
Private Investment ◽  
Granger Causality Test ◽  
Var Model ◽  
Causality Test ◽  
Policy Makers

The importance of private investment in the growth process of a country cannot be denied, however, its relationship with environmental degradation has not got much attention from researchers yet. The present study is an attempt to divert the attention of researchers and policy makers to the association with private investment and environmental degradation.  The time series data was used from 1975 to 2017. The data was taken from WDI. To analyze the causal link among environmental degradation, private investment, energy consumption and economic growth, Vector Autoregressive (VAR) model is used. Granger causality test is employed for knowing the course of causality in the variables. The results of the VAR model suggest that if an innovation of one standard deviation occurs from outside, it takes about 12 years for CO2 emissions, 9 years for private investment, 10 years for energy consumption and about 8years for economic growth to adjust. Moreover, the results show that most of the variation in all variables is explained by their own. Granger causality test identifies four unilateral causalities in the variables running from CO2 emissions to economic growth while the consumption of energy to CO2 emissions, energy consumption to economic growth while  from economic growth to private investment. The study recommends policy makers to make environmental friendly policies regarding consumption of energy, private investment and also economic growth.

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