scholarly journals HUBUNGAN KAUSALITAS ANTARA PENERIMAAN PAJAK DAN PENGELUARAN NEGARA DI INDONESIA PERIODE 2000-2015

2017 ◽  
Vol 22 (1) ◽  
pp. 31-39
Author(s):  
Ridha Elvianti
Keyword(s):  
Granger Causality ◽  
Unit Root ◽  
Government Expenditure ◽  
Unit Root Test ◽  
Secondary Data ◽  
Critical Value ◽  
Tax Revenue ◽  
Annual Data ◽  
Causality Test ◽  
Augmented Dickey Fuller

This research intended to analyze the causal relationship between tax revenue and government expenditure in Indonesia. The data used in this research is secondary data form of time series. This resesarch using the approach of quantitative with Unit Root Test and Granger Causality. The observation samples in this research is annual data in the period 2000-2015 and this study examines tax revenue causes government expenditures or vice versa. Augmented Dickey Fuller (ADF) method indicates that the two variables have not stasionary unit root on data level, but the two variables have a stasionary unit root on firstdifference. Based on the result of granger causality test with a probability value of 0.7 which is below the critical value of 10% show that there is unidirectional causality from tax revenue to government expenditure.

scholarly journals Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange

2020 ◽  
Vol 3 (2) ◽  
pp. 17-27
Author(s):  
Kamaljit Singh ◽  
Vinod Kumar
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Unit Root ◽  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Financial Service ◽  
Causality Test

The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

scholarly journals Causal Relationship between Foreign Direct Investment and Economic Growth in Nigeria: 1970-2013

2015 ◽  
Vol 7 (11) ◽  
pp. 230 ◽  
Author(s):  
Uwazie I. U. ◽  
Igwemma A. A. ◽  
Nnabu Bernard Eze
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Unit Root ◽  
Direct Investment ◽  
Developing Economies ◽  
Unit Root Test ◽  
Annual Data ◽  
Policy Reforms ◽  
Causality Test ◽  
Long Run

Foreign direct investment is presumed to play immense role in economic growth in both developed and developing economies. This assumption has motivated the army of studies to actually determine the nexus between foreign direct investment and economic growth in Nigeria. But these studies were not unified on the direction of the causation, hence the need for the study. To effectively analyze the result, the study employs vector error correction model method of causality to analyze the annual data for the periods of 1970 to 2013. The Augmented Dickey-Fuller (ADF) unit root test show presence of unit root at level but stationary after first difference. The Johansen cointegration test confirms that the variables are cointegrated while the granger causality test affirms that foreign direct investment and economic growth reinforce each other in the short run in Nigeria. Also, it is reported that foreign direct investment granger cause economic growth both in the short and long run in Nigeria. Based on these findings, the study advocates the adoption of aggressive policy reforms to boost investors’ confidence and promotion of qualitative human capital development to lure FDI into the country. It also suggests the introduction of selective openness to allow only the inflow of FDI that have the capacity to spillover to the economy. These will attract FDI and boost economic growth in Nigeria.

scholarly journals Analisis Kausalitas Inflasi dan Jumlah Uang Beredar di Indonesia Periode Tahun 2000.1–2014.4

2017 ◽  
Vol 6 (3) ◽  
pp. 236
Author(s):  
Afrizal Afrizal
Keyword(s):  
Granger Causality ◽  
Money Supply ◽  
Unit Root ◽  
Inflation Rate ◽  
Unit Root Test ◽  
Causality Test ◽  
Equilibrium Relationship ◽  
Level 1 ◽  
Integration Degree

There is often a debate about causality between money supply and inflation. The purpose of this study is to analyze the causality, whether the money supply affects inflation or vice versa. Analytical tool used is unit root test, integration degree test, causality test with granger causality technique and cointegration approach. The result of unit root test data is not stationary, after test of stationary data continued at level 1 (first difference). The result of granger causality test with lag 12 indicates that the money supply has an effect on inflation rate in Indonesia, and vice versa means there is a mutual relationship. And based on Johanson's cointegration test shows that mutual cointegration means having long-term equilibrium relationship as desired by the theory.

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals Coal consumption and economic growth nexus: Evidence from bootstrap panel Granger causality test

2017 ◽  
Vol 64 (3) ◽  
pp. 255-271 ◽  
Author(s):  
Emmanuel Anoruo
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
African Countries ◽  
Coal Consumption ◽  
Causality Test ◽  
Growth Series ◽  
Panel Granger Causality

This paper explores the causal relationship between coal consumption and economic growth for a panel of 15 African countries using bootstrap panel Granger causality test. Specifically, this paper uses the Phillips-Perron unit root test to ascertain the order of integration for the coal consumption and economic growth series. A bootstrap panel Granger causality test is employed to determine the direction of causality between coal consumption and economic growth. The results provide evidence of unidirectional causality from economic growth to coal consumption. This finding implies that coal conservation measures may be implemented with little or no adverse impact on economic growth for the sample countries as a group.

scholarly journals Impact of Foreign Direct Investment on Economic Growth of Nepal

2019 ◽  
Vol 33 (2) ◽  
pp. 73-80
Author(s):  
Shiva Prasad Pokharel ◽  
Bishnu Prasad Pokharel
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Gross Domestic Product ◽  
Granger Causality ◽  
Unit Root ◽  
Direct Investment ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Capital Formation ◽  
Causality Test

 This paper aims to investigate the impact of Foreign Direct Investment (FDI) on the economic growth of Nepal for the period 2008/09 to 2017/18 A.D. yearly data. It evaluated the Gross Domestic Product (GDP) performance and the trends of FDI and Gross Fix Capital Formation (GFCF) in Nepal. To demonstrate the relationship between Nepalese Gross Domestic Product (GDP) and Foreign Direct Investment (FDI) and Gross Fix Capital Formation (GFCF) Multiple-Regression-Model has been applied along with various econometrics techniques such as Unit-Root Test, Granger-Causality Test and Ordinary Least Square (OLS). GDP in this model is used as dependent variable whereas FDI and GFCF are measured as independent variables. According to the results, Unit Root Test indicated that all the variables included in the model were not stationary at level except FDI, whereas GDP and GFCF are stationary at first difference. The model is overall significant with the positive and significant relationship of GDP, FDI and GFCF. Result also indicate a good fit for the model with R2=86%. The Granger Causality Test revealed that there was no causality between the variables since all p-value obtained are more than 5%. Based on the empirical result of this paper, policy recommendation proposed that for Nepal to generate more foreign direct investment, hard work should be made at solving problems of government involvement in business; relative closed economy; corruption; weak public institutions; and poor external image, and political instability.

scholarly journals NILAI TUKAR RUPIAH DAN NET EKSPOR INDONESIA 2000 – 2017 (GRANGER CAUSALITY TEST)

2020 ◽  
Vol 1 (1) ◽  
pp. 9-24
Author(s):  
Try Beta Anggraini ◽  
Yefriza Yefriza
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Time Series Data ◽  
Secondary Data ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Augmented Dickey Fuller ◽  
Net Export ◽  
Adf Test

The aims of this research is to find out the relationship of rupiah exchange rate and net export Indonesia. This research covers the periode for 2000.Q1-2017.Q4, used secondary data which were analyzed using Granger Causality Test and Augmented Dickey Fuller (ADF) and existing data processed by using computer program of Eviews 9.0. The stationary properties of the time series data are examined by using Augmented Dickey-Fuller (ADF) test. Granger Causality test is applied to find out long-run relationship along with causality among the variables. The result of the data analysis show that there is no causality between rupiah exchange rate and net xport. Granger Causality test showed that there is unidirectional causality between net export to rupiah exchange rate. It is mean that net export  effect rupiah exchange rate, but rupiah exchange rate does not effect net export. Keywords: Causality, Net Export, Exchange Rate

An Empirical Analysis of Nigeria’s Current Account Sustainability

2017 ◽  
Vol 11 (1) ◽  
pp. 54-76
Author(s):  
Mohammed Shuaibu ◽  
Mutiu Abimbola Oyinlola
Keyword(s):  
Current Account ◽  
Unit Root ◽  
Structural Changes ◽  
Structural Break ◽  
Unit Root Test ◽  
Jel Classification ◽  
Cointegration Test ◽  
Annual Data ◽  
Causality Test ◽  
Current Account Sustainability

This study reexamines the sustainability of the current account in Nigeria over four decades using time-series analysis on annual data from 1981 to 2013. We focus on two analytical distinctions to the inter-temporal budget constraint (IBC) hypothesis in relation to previous studies. First, we extend the standard bivariate approach to a multivariate framework that accounts for the roles of oil price variations and financial deepening, which have important implications for resource allocation. Second is the use of the Toda–Yamamoto modified Wald (MWALD)-based causality test that is also carried out to arbitrage between the results with and without a structural break. It employs both the conventional unit root test (augmented Dickey–Fuller [ADF] and Phillips–Perron [PP]) and the unit root test with a structural break (Perron, 2006; Zivot & Andrews, 1992). It also carries out the conventional residual-based cointegration test (Engle & Granger, 1987) and the residual-based cointegration test with a structural break (Gregory & Hansen, 1995). Findings suggest that there is current account sustainability in Nigeria and structural changes were not very potent during the period under consideration. This implies that the Nigerian economy complied with the IBC hypothesis, suggesting that exports could actually finance imports. JEL Classification: F30, F32

scholarly journals The Short and Long Run Effects of Selected Variables on Tax Revenue - A Case Study

2018 ◽  
Vol 5 (5) ◽  
pp. 23
Author(s):  
Sima Siami-Namini ◽  
Daniel Muhammad ◽  
Fahad Fahimullah
Keyword(s):  
Local Government ◽  
Granger Causality ◽  
Government Expenditure ◽  
Granger Causality Test ◽  
Sales Tax ◽  
Tax Revenue ◽  
Causality Test ◽  
The Real ◽  
Long Run ◽  
Local Government Expenditure

The main objective of this article is to empirically examine the short and long-run relationship between real tax revenue and real local government expenditure as well as investigate the relationship between real sales tax revenue and real individual tax revenue and selective variables in Washington, D.C. for the period ranging from 1984-2015. The study uses the Johansen co-integration techniques as well as the bivariate and multivariate vector error correction model (VECM). The results indicate that there is a unidirectional and one-way causality running from real local government expenditure to the real DC’s tax revenue in the short and long-run, but not vice versa. The finding indicates that DC’s tax revenue changes local government expenditure. As a result, budget deficits can be avoided by implementing policies that stimulate DC’s tax revenue. The Granger-causality test shows that DC resident employment does affect real individual tax in the short and long-run, simultaneously. The Granger-causality test shows that DC resident employment, household’s population and stock of housing does affect real sales tax revenue in the short and long-run simultaneously. Furthermore, the results of the impulse response function (IRF) indicate that household’s population and stock of housing are the major short-run effect on the real individual income tax and real sales tax revenue.  

scholarly journals ANALISIS KAUSALITAS ANTARA PENERIMAAN PAJAK DENGAN TINGKAT KEGIATAN EKONOMI INDONESIA DENGAN PENDEKATAN GRANGER CAUSALITY

2019 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Abubakar Arif ◽  
R Rosiyana Dewi
Keyword(s):  
Time Series ◽  
Regression Analysis ◽  
Granger Causality ◽  
Tax Revenue ◽  
Annual Data ◽  
Analysis Model ◽  
Causality Test ◽  
Know How ◽  
Multiplier Effect ◽  
Causality Model

<p>The purpose of this study is to analysis the causality between tax revenue and economy activity in Indonesia period 1990-2010. The design of this research used time series analysis model with Granger Causality Model with the step analusis are (1) determine long of lag to know how long tax revenue and economy activity influence, (2) determine causality test to proof there are causality or there are correlation one direction between tax revenue and economy activity, (3) analyze the power of correlation or influence between tax revenue and economy activity after the result of causali8ty test was reach. The analysis used in this research was time serieswith annual data,starting 1990 too 2010. Tax revenue and economy activity with proxy product domestic bruto are valuables used in this study. The result of this study are not find causality between tax revenue and economy activity in Indonesia but one direction correlation when tax revenue influence economy activity.By the regression analysis can proff that tax revenue influence significant positive to economy activity with multiplier effect less than 1.</p>

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