scholarly journals TRANSMISI HARGA JAGUNG DI PROVINSI LAMPUNG

2018 ◽  
Vol 5 (1) ◽  
pp. 75
Author(s):  
Rati Purwasih ◽  
Muhammad Firdaus ◽  
Sri Hartoyo
Keyword(s):  
Time Series Data ◽  
Wald Test ◽  
Price Transmission ◽  
Series Data ◽  
Test Results ◽  
Causality Test ◽  
Long Run ◽  
Asymmetric Price Transmission ◽  
Short Run ◽  
Corn Prices

<em>Corn is one of the leading commodities in Lampung Province. The average corn price received by farmers (producers) from January 2009 to December 2014 amounted to Rp 1.820 per kilogram, while the average price of corn at the consumer level was at Rp 3.205 per kilogram. Corn prices at the consumer level are more volatile when compared with the price of corn at the producer level. The purpose of this study are to analyze the transmission of corn prices from the consumer level to the producer level in Lampung Province. The data used was a monthly time series data from January 2009 to December 2014 (72 month). Asymmetric Error Correction Model (AECM) developed by von Cramon-Taubadel and Loy (1996) was used to analyze corn price transmission from the consumer level to the producer level. Causality test results indicate that corn prices at the consumer level affect the formation of corn prices at the producer level. From AECM estimates obtained, the short run corn price transmission from the consumer level to the producer level was asymmetric. However, the long-run transmission of corn prices from the consumer level to the producer was symmetric. After the Wald test, results obtained showed that there was no prove of asymmetric price transmission from the consumer level to the producer level in the long run.</em>

scholarly journals The Nexus between Export and Economic Growth in Tanzania

2019 ◽  
Vol 1 (2) ◽  
pp. p95
Author(s):  
Romanus L. Dimoso (PhD, Economics) ◽  
UTONGA, Dickson (MSc. Economics)
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Test Results ◽  
Causality Test ◽  
Goods And Services ◽  
Long Run ◽  
Causality Tests ◽  
The Government ◽  
Econometrics Analysis

This study explored the causal relationship between exports and economic growth in Tanzania. It analyzed time series data for the period of 1980 to 2015. Economic growth is measured in terms of growth per cent while exports are measured in percentage change of goods and services sold abroad. Econometrics analysis was employed in the due course. Such procedures as testing for the presence of unit root, co-integration and causality were done. Furthermore, the Johansen co-integration and Granger causality tests were employed to examine the long-run relationship among variables. The results of co-integration indicate the existence of one co-integrating equation. The causality test results exhibited causality which runs from economic growth to exports. The results conclude that, in the long run, there is a relationship between exports and economic growth in Tanzania. This study recommends the Government to make efforts to improve exports and eventually, in the long-run, rejuvenating the economy.

A Sectoral Analysis of the Role of Stock Market Development on Economic Growth: Empirical Evidence from Indian Economy

2017 ◽  
Vol 18 (4) ◽  
pp. 911-923 ◽  
Author(s):  
Madhu Sehrawat ◽  
A.K. Giri
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Trade Openness ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run

The present study examines the relationship between Indian stock market and economic growth from a sectoral perspective using quarterly time-series data from 2003:Q4 to 2014:Q4. The results of the autoregressive distributed lag (ARDL) approach bounds test confirm the existence of a cointegrating relationship between sector-specific gross domestic product (GDP) and sector-specific stock indices. The empirical results reveal that sector-specific economic growth are significantly influenced by changes in the respective sector-specific stock price indices in the long run as well as in the short run. Apart from that, the control variables, such as trade openness and inflation, act as the instrument variables in explaining the variations in the sector-specific GDP of the economy. The results of Granger causality test demonstrate unidirectional long-run as well as short-run causality running from sector specific stock prices to respective sector GDP. The findings suggest that economic growth of the country is sensitive to respective sub-sector stock market investments. The findings highlight the reasons for cyclical and counter-cyclical business phase for the overall economy.

scholarly journals Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

2020 ◽  
Author(s):  
Zeng Jia ◽  
Besnik Hajdari ◽  
Rimsha Khalid ◽  
Jianguo Wei ◽  
Md Qamruzzaman
Keyword(s):  
Economic Policy ◽  
Financial Innovation ◽  
Wald Test ◽  
Policy Uncertainty ◽  
Test Results ◽  
Causality Test ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Short Run ◽  
Asymmetry Effects

The study's motivation is to gauge the nexus between economic policy uncertainty and financial innovation for the period 2004M1 to 2018M12 in BRIC nations. For establishing a long-run cointegration study applied Autoregressive Distributed Lagged (ARDL) and asymmetry effects of economic policy uncertainty investigated following nonlinear framework known as NARDL. Furthermore, directional causality is established by performing a non-granger causality test. Cointegration test results of Fpss, Wpss, and tBDM confirmed the long-run association between EPU and financial innovation. On the other hand, the Wald test results proved asymmetry effects furring from EPU to financial innovation both in the long-run and short-run. Referring to asymmetry effects that positive and negative shocks in financial innovation, the study revealed that negative linkage between shocks in EPU and financial innovation in the long-run but short-run effects are insignificant. Furthermore, financial innovation measured by R&amp;D investment exhibits positive linked with shocks in EPU, implying that uncertainty induces innovation in the economy. Refers to directional causality estimation, the study revealed evidence supporting the feedback hypothesis between EPU and financial innovation in all sample countries.

scholarly journals The causal and cointegration relationship between government revenue and government expenditure

2017 ◽  
Vol 6 (3) ◽  
pp. 23-32
Author(s):  
Kebitsamang Anne Sere ◽  
Ireen Choga
Keyword(s):  
South Africa ◽  
Time Series Data ◽  
Government Expenditure ◽  
Series Data ◽  
Government Revenue ◽  
Causality Test ◽  
Vector Error Correction ◽  
Long Run ◽  
Reserve Bank ◽  
Short Run

This study determines the causal relationship that exists between government revenue and government expenditure in South Africa. The study employed annual time series data from the year 1980 to 2015 taken from the South African Reserve Bank. The Johansen multivariate method was employed to test for co-integration and for causality the Vector Error Correction/Granger causality test was employed. The empirical results suggest that there is a long-run relation-ship between government revenue and government expenditure. The causality result suggests that there is no causality between government revenue and government expenditure in South Africa. Thus, policy makers in the short run should determine government revenue and government expenditure of South Africa independently when reducing the budget deficit.

scholarly journals Determinants Of Savings Behavior In Pakistan: Long Run - Short Run Association And Causality

2015 ◽  
Vol 8 (1) ◽  
pp. 103-136 ◽  
Author(s):  
Fawad Ahmad
Keyword(s):  
Time Series Data ◽  
Developing Economies ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Savings Rate ◽  
Short Run ◽  
Private Savings ◽  
Using Data ◽  
Private Investors

AbstractThe existing studies on private savings have mostly investigated the long run and short association of different variables with private savings, whereas no known study has investigated both long run and short run causality of variables against private savings by using data of Pakistan. The current study used time series data of Pakistan over the period of 1972 to 2012 and employed long run cointegration test, first normalized equation for long run association, vector error correction model for short run association, Toda Yamamoto technique for long run causality and Granger causality test for short run causality. The results suggest that GDP per capita, inflation rate, financial development, dependency ratio and fiscal development have impact on the private savings rate in Pakistan. The findings of the current study can be used to increase the private savings’ rate. In the long run government can increase the private savings by controlling fiscal deficit and promoting the investment by private investors. Whereas, in the short run, government can increase the deposit rate to increase the private savings. The current study is unique in its nature as it simultaneously provides the long run and short run causality and association and can contribute significantly in improving savings rate in developing economies like Pakistan.

scholarly journals Impact of Exports and Imports on Economic Growth in Rwanda: 1961-2018

2020 ◽  
Author(s):  
Charles Ruranga ◽  
Daniel S. Ruturwa ◽  
Valens Rwema
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Causality Test ◽  
Development Indicators ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Annual Time Series ◽  
The Impact

Abstract The aim of this paper is to investigate the impact of trade on economic growth in Rwanda. This paper uses exports and imports for trade and gross domestic product for economic growth. Research questions were formulated as (1) Are exports, imports and economic growth cointegrated? (2) Is there a long or short run relationship between those Variables? (3) Are there any causal relationships between factors (4) what the direction of the causality is it? Annual time series data from World Development Indicators for the period from 1961 to 2018 have been used. The methods of linear regression for estimation of Vector Auto regressions models have been used. Our findings established that VAR was appropriate model, and GDP, Exports were stationary at first differences while Imports was stationary at second difference but not at levels. Hence the two series were integrated of order one and the third one was integrated of order two. Tests of cointegration indicates that the three variables were not cointegrated, implying there was no long run equilibrium relationship between the three series. The causality test indicated that exports and imports influenced GDP. On the other hand, we found that there was a strong evidence of unidirectional causality from exports to economic growth. However, there was bidirectional causality between GDP and imports. These results provide evidence that exports and imports, thus, were seen as the source of economic growth in Rwanda.

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.

Macroeconomics and Its Impact on Stock Markets of India, China, and Japan

2019 ◽  
pp. 177-194
Author(s):  
Amith Vikram Megaravalli
Keyword(s):  
Stock Markets ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
China And Japan

The objective of this chapter is to examine the long-run and the short-run relationship between India, China, and Japanese stock markets and key macroeconomic variables such as exchange rates and inflation (proxied by consumer price index) of ASIAN 3 economies (India, China, and Japan). Monthly time series data spanning the period from 2008 January to November 2016 has been used. The unit root test, the cointegration test, Granger causality test, and pooled mean group estimator have been applied to derive the long-run and short-run statistical dynamics. The findings of pooled estimated results of ASIAN 3 countries show that exchange rate has a positive and significant long-run effect on stock markets while the inflation has a negative and insignificant long-run effect. In the short run, there is no statistically significant relationship between macroeconomic variables and stock markets. This study emphasizes the impact of macroeconomic variables on the stock market performance of a developing economy (India and China) and developed economy (Japan).

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.

Contribution of Education, Health and Economic Growth in Socioeconomic Development of Nepal: A Long Run Causality Using Time Series Data

2016 ◽  
Vol 1 (1) ◽  
Author(s):  
Prof. Dr. Hab A.Z. Nowak ◽  
Gangadhar Dahal
Keyword(s):  
Economic Growth ◽  
Socioeconomic Development ◽  
Time Series Data ◽  
Health Expenditures ◽  
Series Data ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Per Capita

This research examines the presence of the long run relationship and triangular causality among per capita education expenditures, GDP per capita and per capita health expenditures in Nepal. In this study ARDL bounds testing approach is used to examine the presence of long-run relationship and Granger Causality test for calculating short run, long run and both short run and long run triangular causality between the variables for the time series data of Nepal from 1994/95 to 2014/15. This research paper started with the aim of finding the triangular causality between education, health and economic growth of Nepal. The results of the research analysis also supported the view that there is co-integration and interrelation between these three macroeconomic variables. The results from OLS also show that there is high contribution of education and health in economic growth. There is also strong triangular causality between education, health and economic growth of the nation in the long run which is tested through ADRL mode, Granger Causality test and VECM approach. It also focused on the long run causality between these three macroeconomic variables. This research undoubtedly shows that there is crucial role of education in health, economic growth (say GDP) and socioeconomic development of Nepal and many more least developed and developing countries in the world. Keywords: GDP per capita, Per capita education expenditures, Per capita Health Expenditures JEL Classification: O10 economic development general, I21 analysis of education, I15 health and economic development

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