scholarly journals Revisit the relationship between two inflation indicators: Case of Pakistan

2020 ◽  
Vol 5 (2) ◽  
Author(s):  
Saghir Ghauri
Keyword(s):  
Granger Causality ◽  
Price Index ◽  
Time Series Data ◽  
Wholesale Price ◽  
Food Group ◽  
Series Data ◽  
Causality Test ◽  
General Group ◽  
Long Run ◽  
The Relationship

This research paper determines the association between two inflation indicators, consumer price index and wholesale price index in three groups' i.e. general group, food group, and non-food group. The objective is to f ind out if the relationship is unidirectional or bidirectional between CPI and WPI in all groups. For this purpose monthly data from July 1971 to December 2019 has been used. Furthermore, Cointegration has been calculated via Johansen's cointegration test on time series data to discover if the long-run aff iliation occurs between the variables. Before cointegration, it is essential to discover the stationarity of the variables for which the augmented dickey fuller test has been used at the f irst difference. Vector Error Correction Model (VECM) is also employed to check for the disturbances of divergence or convergence f inally Granger causality/Block exogenity test is applied to discover causality between variables, it also specifies unidirectional relationship or bidirectional relationship. As a result, it is found that there is a signif icant co-integration equation which indicates that there is an existence of long-run association amongst variables. On the other hand, there is also an indication of the short-run relationship among variables. Finally, a two-way causal relationship is indicated by the granger causality test, between CPI and WPI in general and food group and one-way causal association between CPI and WPI in the non-food group.

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.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

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 An Econometric Analysis on Remittance and Economic Growth in Bangladesh

2020 ◽  
pp. 214-218
Author(s):  
Md Shafiul Islam
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Causal Link ◽  
Series Data ◽  
Causality Test ◽  
External Finance ◽  
The Relationship

In Bangladesh, migrant worker’s remittances constitute one of the most significant sources of external finance. This paper investigates the existence of relation between remittance inflow and GDP and the causal link between them in Bangladesh by employing the Granger causality test under a VECM framework. Using time series data over a 38 year period, we found that growth in remittances does lead to economic growth in Bangladesh. In addition to the relationship, this paper also points out some issues that are working as impediments in getting remittance and give some recommendations to overcome those impediments.

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 The Impact of Okun Misery Index on Out-of-pocket-payments in the Iranian Healthcare System

2020 ◽  
Author(s):  
Aziz Rezapour ◽  
Salar Ghorbani ◽  
Eisavi Mahmoud ◽  
Saeed Bagheri Faradonbeh
Keyword(s):  
Healthcare System ◽  
Time Series Data ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Misery Index ◽  
Out Of Pocket Payments ◽  
Error Coefficient ◽  
The Impact ◽  
The Relationship

Abstract Introduction: One criterion to measure the achievement of a government's performance is stability and decreasing the misery index that is the sum of inflation and unemployment. Therefore, this study aims to investigate the impact of misery index on patients' out-of-pocket-payments in the Iranian healthcare system. Methods: This paper has used time-series data from 2000 to 2016 and it used three methods to examine the relationship between variables. First, the Dickey-Fuller test was used to evaluate the stationary of variables. Second, the Toda-Yamamoto causality test was used to test causality between variables. Third, Auto-Regressive Distributed Lags (ARDL) was used to test the long-run relationship. Analyzing data was conducted by Eviews 9 software.Results: The results showed that there was a bi-directional causal relationship between the misery index and the out-of-pocket-payments of patients in the health system. Also, increasing 1 unit of misery index increased 1.33 units of out-of-pocket-payments. The correction error coefficient was -0.435 that meant this amount was adjusted per period. In other words, it lasted more than 2 years and less than 3 years that the Nonequilibrium points converge to their long-run points of the relationship.Conclusion: Implementing appropriate policies in order to reduce unemployment and inflation rate can decline the out-of-pocket-payments in the Iranian healthcare system.

scholarly journals ANALISIS INTERAKSI PENERIMAAN DANA ALOKASI UMUM, PENERIMAAN PENDAPATAN ASLI DAERAH DANALOKASI BELANJA MODAL(STUDI PADA PEMERINTAH PROVINSI DI INDONESIA TAHUN 2001-2014)

2016 ◽  
Vol 8 (1) ◽  
pp. 13
Author(s):  
Anies Purniati ◽  
Toni Heryana
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Capital Expenditure ◽  
Reciprocal Relationship ◽  
Provincial Government ◽  
Series Data ◽  
Causality Test ◽  
Significance Level ◽  
The Relationship

Abstract. This study aims to determine whether there is a reciprocal or reciprocal relationship between General Allocation Fund Receipts, Local Income Receipts and Capital Expenditure Allocation of Provincial Government Year 2001-2014. This research is a research time series data and using descriptive method to test and provide a picture of the relationship these three variables. Based on the result of data analysis using VAR method with Granger Causality test at 5% significance level with the help of Eviews 9.5, showing the result that there is no reciprocal or reciprocal relationship between the three variables tested, either the relationship between DAU and Capital Expenditure, PAD with Capital Expenditure as well as the relationship between PAD and DAUKeywords: general allocation funds; local original income; and capital expendituresAbstrak. Penelitian ini bertujuan untuk mengetahui ada tidaknya hubungan timbal balik atau resiprokal antara Penerimaan Dana Alokasi Umum, Penerimaan Pendapatan Asli Daerah dan Alokasi Belanja Modal Pemerintah Provinsi Tahun 2001-2014.Penelitian ini merupakan penelitian data time series dan menggunakan metode desriptif untuk menguji dan memberikan gambaran hubungan ketiga variabel tersebut. Berdasarkan hasil analisis data menggunakan metode VAR dengan pengujian Granger Causality pada tingkat signifikasi 5% dengan bantuan Eviews 9.5, menunjukan hasil bahwa tidak terdapat hubungan timbal balik atau resiprokal diantara ketiga variabel yang diuji, baik itu hubungan antara DAU dan Belanja Modal, PAD dengan Belanja Modal maupun hubungan antara PAD dan DAU.Kata Kunci: dana alokasi umum; pendapatan asli daerah; dan belanja modal.

The Relationship Between Inflation and Unemployment in Namibia Within the Framework of the Phillips Curve

2021 ◽  
Vol 7 (5) ◽  
pp. 7-16
Author(s):  
Johanna Pangeiko Nautwima ◽  
Asa Romeo Asa
Keyword(s):  
Causal Relationship ◽  
Phillips Curve ◽  
Time Series Data ◽  
Policy Formulation ◽  
Least Square ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Relationship

This study intended to empirically validate the applicability of the Phillips Curve in Namibia since independence, using semi-annual time series data, and taking into account the periods of the annus horribilis of the global financial crises and the Coronavirus Disease pandemic. It further sought to examine the nature of the relationship between inflation and unemployment to determine whether it is short-run or long-run and establish the causal relationship between the variables using various econometric analyses. The unit root tests indicate that the variables were stationary in their level forms, implying the absence of the long-run relationship. Hence, the Ordinary Least Square (OLS) model was performed to measure the short-run relationship between the variables. Results from the OLS analysis reveal a bidirectional nexus between inflation and unemployment, validating the presence of the Phillips Curve in the Namibian economy. These results correspond to the findings that incorporated the periods of economic shocks; thus, adjudging the critics of the Philips Curve regarding the consideration of economic shockwaves to be nonsensical in the Namibian economy. Finally, Granger causality test was conducted to establish the causal relationship between the variables, and results found inflation and unemployment to be unrelated. Based on these findings, the study recommends policymakers to adopt a policy mix, skewed to reducing unemployment predominately among the youth since the issues cannot be addressed simultaneously. Lastly, the study suggests future investigations to assess panel analyses on the phenomenon concerning developing countries, particularly those in the same region. It also recommends a significant focus on the determinants of inflation and unemployment since the variables were found to be independent of each other. This will give accurate directives to policymakers in an attempt to address the matter in terms of policy formulation and assimilation when they understand where the issue is deriving from.

scholarly journals The Relationship Between Public Expenditure and Economic Growth In Kosovo: Findings from a Johansen Co-Integrated Test and a Granger Causality Test

Ekonomika ◽  
2018 ◽  
Vol 97 (1) ◽  
pp. 47-62 ◽  
Author(s):  
Leke Pula ◽  
Alban Elshani
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Public Expenditure ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Total Budget ◽  
The Relationship ◽  
Budget Revenue

In the scientific literature, there are two opposing views on the relationship between public expenditure and economic growth. The Keynesian view states that public expenditure is an exogenous factor that influences economic growth and can be used as a policy instrument. This point of view is in contrast to the Wagner view that the public expenditure is seen as an endogenous factor or an outcome, not a cause, of economic growth. The primary objective of this study is to test the views of Keynes’s versus Wagner’s in the case of Kosovo by using Public Expenditure (G), Gross Domestic Product and three other components of GDP: Foreign Direct Investment (FDI), Export (EXP) and Total Budget Revenue (TRtax); the variables used in this analysis are quarterly time series data spanning from 2004–2016. To accomplish the set objectives, the Johansen co-integrated technique is used to investigate the long-run relationship between public expenditure and economic growth, while the Granger causality test is used to know the direction of flow between variables. This study discovers that there is a unidirectional causality between government expenditures and economic growth in Kosovo. It is also found that there is a bidirectional causality between total budget revenue and public expenditure. On the other hand, results also provide evidence that there is a bidirectional causality between export and economic growth. Moreover, the results for Kosovo indicate that data for the period considered support the Keynesian view.

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.

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