scholarly journals HUBUNGAN KAUSALITAS DEFISIT NERACA TRANSAKSI BERJALAN DENGAN KURS DI INDONESIA

2017 ◽  
Vol 4 (1) ◽  
pp. 18
Author(s):  
Didiet Purnomo ◽  
Wahyudi Wahyudi
Keyword(s):  
Granger Causality ◽  
Current Account ◽  
Granger Causality Test ◽  
Causality Analysis ◽  
Analysis Method ◽  
Causality Test ◽  
Granger Causality Analysis ◽  
Current Transaction ◽  
Stationary Test

This research is aimed at understanding the relation pattern of the current transaction balance and Indonesian rate of exchange in 1981-2002. The analysis method used is Granger causality method. Yet, before doing the Granger causality test, it was carried out data stationary test to avoid fake correlation. Stationary test shows that the data are not stationary so that it was made stationary by using one different level. The result of Granger causality analysis shows that it happen only one direction causality relation from the deficit of current account towards the rate of exchange because it has smaller counting F value then the determined a.

scholarly journals TODA-YAMAMOTO CAUSALITY BETWEEN E7 COUNTRIES STOCK MARKETS

2019 ◽  
Vol 16 (2) ◽  
Author(s):  
Tekin Bilgehan
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Stock Markets ◽  
Granger Causality Test ◽  
Emerging Countries ◽  
Analysis Method ◽  
Causality Test ◽  
Regional Interaction ◽  
Russian Stock Market ◽  
Market Indexes

In this study, the causal relationship between the fastest growing emerging countries (Emerging 7) stock markets is discussed. In the study, Turkey, India, Indonesia, China, Mexico, Brazil and the Russian stock market indexes is taken into causal relationship with each other. As analysis method Toda Yamamoto approach to Granger causality test was used. As a result of the study, it was concluded that the regional interaction between stock markets is more than intercontinental interaction.

scholarly journals EXAMINING THE TWIN DEFICIT HYPOTHESIS: EVIDENCE FROM SELECTED SADC COUNTRIES (1980-2011)

2019 ◽  
Vol 2 (1) ◽  
pp. 1-16
Author(s):  
REGINALD CHAONEKA
Keyword(s):  
Granger Causality ◽  
Current Account ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Series Data ◽  
Current Account Balance ◽  
Fiscal Consolidation ◽  
Causality Test ◽  
Fiscal Balance ◽  
The Current Account

This paper investigates the existence of a causal relationship between fiscal balance and current account balance over the period 1980-2011, for nine SADC countries individually. The analysis is conducted within the framework of Granger causality test and Vector Auto Regression (VAR) approach on time series data for each individual country estimates. The Granger causality test results confirm the twin-deficit relationship, with a causal relation from fiscal deficits to external deficits for two countries: Malawi and Zambia together with SADC group average; inverse link operating from external balance to fiscal balance for another two countries: Zimbabwe and Swaziland. Existence of bi-directional causality was confirmed for Botswana and Ricardian Equivalence Hypothesis was confirmed for Mozambique. Results for Angola, South Africa and Seychelles were ambiguous hence inconclusive. The results point to the existence of a direct causal link from fiscal deficit to external deficit. There are indications that fiscal tightening (budget cuts) tends to correct the current account deficit directly. There is need for government to develop new exports, primary products beneficiation (value addition), use of nanotechnology and nurturing new export industries as a long-term measure.In Zimbabwe and to some extent Swaziland the current account can be used to address the budget balance. Countries such as Malawi and Zambia, which have shown evidence of the twin deficit, imply that policymakers must consider fiscal consolidation. Fiscal consolidation has proved to be effective;however half-hearted fiscal adjustments are doomed to fail. The relationship between the twomacroeconomic variables changes over time depending on the dynamics of the economy. Again, given the intricacies that are innate in mixed economies, it may not be possible to authenticate a tight and steady connection between the two deficits. Government Organizations.

Fiscal Deficit and Inflation: What Causes What? The Case of India

2012 ◽  
Vol 13 (1) ◽  
pp. 57-81
Author(s):  
Aviral Kumar Tiwari ◽  
A. P. Tiwari ◽  
Bharti Pandey
Keyword(s):  
Granger Causality ◽  
Money Supply ◽  
Government Expenditure ◽  
Granger Causality Test ◽  
Fiscal Deficit ◽  
Causality Analysis ◽  
Causality Test

This study has made an attempt to examine the direction of causality among the fiscal deficit, government expenditure, money supply, and inflation. In the present study we have employed Dolado and L체tkepohl (DL) (1996) and standard Granger-causality approach to examine the direction of the causality among the test variables. However, we have found conflicting results for India. Causality analysis based on DL approach suggests that both government expenditure and money supply Granger-cause fiscal deficit while standard Granger-causality test indicates that only government expenditure Granger-cause fiscal deficit. And money supply Granger-cause government expenditure and fiscal deficit Granger-cause money supply.

scholarly journals Financial and economic development link in transitional economies: a spectral Granger causality analysis 1991–2017

2019 ◽  
Vol 10 (1) ◽  
pp. 7-35 ◽  
Author(s):  
Marinko Skare ◽  
Małgorzata Porada-Rochoń
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Value Added ◽  
Granger Causality Test ◽  
Transitional Economies ◽  
Causality Analysis ◽  
Causality Test ◽  
Study Results ◽  
The Relationship

Research background: The relationship between financial development and economic growth has been attracting attention in the field of economics since the times of the “great moderation”. Previous empirical studies still fail to put forward a general conclusion on whether and how financial development affects economic growth. This is particularly true due to the lack of empirical research on the matter in question for countries in transition. Purpose of the article: This study aims to contribute to bridging the gap in the financial development-growth nexus in transitional economies. Understanding the mechanism behind financial development and economic growth should assist policymakers in the design of efficient economic policies or avoiding/alleviating financial cycles. Methods: Using Granger causality test in frequency domain, which shows to have more power over standard time domain Granger causality test, as well as gross domestic product (GDP) and the monetary base (M2 — intermediate money), we investigated the finance-growth relationship in 19 Central, East, and Southeast European countries (CESEE) from 1991 to 2017. Findings & Value added: Study results show that financial development is important for growth in CESEE countries, thus supporting the “supply-leading” theories in general for countries in the sample. Our findings indicate that the relationship between financial development and economic growth exists in CESEE countries (with one exception — the Czech Republic) ranging from unidirectional (Albania, Bosnia and Hercegovina, Belarus, Estonia, Macedonia, Russia, Turkey), to bi-directional spectral Granger causality (Bulgaria, Croatia, Hungary, Kazakhstan, Latvia, Lithuania, Poland, Romania, Slovenia, Slovakia, Ukraine).

Fraud and Bank Performance in Nigeria – Var Granger Causality Analysis

e-Finanse ◽  
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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