scholarly journals The Causality between Gross Fixed Capital Formation, Trade Deficit, Exchange Rate, and the Economic Growth of Pakistan

2020 ◽  
Vol 9 (4) ◽  
pp. 138-147
Author(s):  
SALMA ZAHIR ◽  
KAUSER HAYAT ◽  
AFTAB HAIDER
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Granger Causality ◽  
Trade Deficit ◽  
Granger Causality Test ◽  
Fixed Capital ◽  
Causality Test ◽  
Correction Model ◽  
Fixed Capital Formation

The research paper studies the causal link between gross domestic product, gross fixed-capital formations, exchange rate, and trade deficits in Pakistan from 1986 to 2013 with time serial data. ADF and Phillip Perron tests are recycled for stationary and at the first difference, each variable is unified. According to the Johansen Co-integration test, the presence of longer-term Co-integration among variables is displayed, and the Error Correction model expresses that 49.27 % of short-term uncertainty is adjusted in long-term equilibrium. Moreover, the Granger causality test presented causality among the variables. While the conclusion showed that such variables have unidirectional causation. Keywords: Trade Deficit, Exchange Rate, Gross Fixed Capital Formation, Gross Domestic Product, ADF, Phillip Perron, Johansen Co-integration, Error Correction model, & Granger Causality test.

scholarly journals Exchange rate and Export of Bangladesh: Does Marshall-Lerner condition holds?

2022 ◽  
Vol 10 (1) ◽  
pp. 09-16
Author(s):  
Shovon Roy ◽  
Jonaed
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Series Data ◽  
Causality Test ◽  
Correction Model ◽  
Short Run ◽  
The Exchange Rate

Export is expected to have a favorable impact on GDP growth, and the exchange rate is expected to have a major impact on export and thus export earnings. The relationship between exchange rate and export is a hotly debated topic in macroeconomics, and the goal of this research is to see if the Marshall-Lerner condition holds incase of Bangladesh that is if devaluation of domestic currency increase export earnings. Explanatory variables of the model in the study are the exchange rate, foreign income (WGDP), and domestic income (DGDP). Cointegration approaches; Error Correction model, Granger Causality test are used in this study to estimate the long and short-run impacts. With time series data from 1973Q3 to 2018Q2, we used the Error Correction Model and the Granger Causality Test. The findings of VECM support short-run exchange rate and export adjustments. The bidirectional causality between exchange rate and export is established using the Granger causality test.

scholarly journals ANALISIS PENGARUH INDEKS HARGA KONSUMEN, JUMLAH UANG BEREDAR (M1), KURS RUPIAH, DAN INDEKS S&P 500 TERHADAP INDEKS HARGA SAHAM GABUNGAN: STUDI EMPIRIS PADA BURSA EFEK INDONESIA

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Heriyanto Heriyanto ◽  
Ming Chen
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Spurious Regression ◽  
Vector Error

Penelitian ini bertujuan untuk menguji hubungan keseimbangan jangka panjang antara variabel makroekonomi (yang diproksi dengan variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, dan Indeks S&P 500) dengan indeks harga saham gabungan (IHSG). Data bulanan variabel makroekonomi dan IHSG selama periode Januari 2005 – Desember 2013 digunakan untuk pengujian hubungan keseimbangan jangka panjang. Data penelitian dikumpulkan dengan metode dokumentasi yang terdiri dari variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, Indeks S&P 500, dan IHSG. Setelah data dikumpulkan, data selanjutnya akan dianalisis dengan menggunakan analisis regresi berganda. Analisis pengujian residual (dari model regresi berganda) dengan pendekatan Granger Residual Test digunakan untuk memastikan tidak terjadi spurious regression (regresi palsu). Selanjutnya, analisis data dengan pengujian Johannsen Cointegration Test digunakan untuk menguji keberadaan hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Tahap akhir analisis data dilakukan dengan pengujian vector error correction model (VECM) dan Granger Causality Test yang bertujuan untuk menguji kemungkinan adanya hubungan biderectional (dua arah) antara variabel makroekonomi dan IHSG. Hasil pengujian menggunakan analisis regresi berganda menunjukkan bahwa variabel kurs rupiah terhadap dollar dan Indeks S&P 500 berpengaruh signifikan terhadap pergerakan indeks harga saham gabungan, sedangkan variabel indeks harga konsumen dan jumlah uang beredar tidak berpengaruh signifikan. Hasil pengujian dengan menggunakan Granger Residual Test menunjukkan bahwa tidak terdapat spurious regression. Sementara itu, hasil pengujian dengan menggunakan Johannsen Cointegration Test menunjukkan bahwa terdapat hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Terkait dengan kemungkinan adanya hubungan biderectional antara variabel makroekonomi dan IHSG, hasil pengujian dengan menggunakan Vector Error Correction Model (VECM) dan Granger Causality Test menunjukkan bahwa hubungan antara variabel makroekonomi dan IHSG adalah hubungan satu arah. Kata Kunci: spurious regression, granger residual test, granger causality test, vector error correction model.

scholarly journals Research on Influencing Factors of Tourism Income in Qinghai Province-Based on error correction model and Granger causality test

2021 ◽  
Vol 275 ◽  
pp. 02032
Author(s):  
Yi Chen ◽  
Jingqi Liu ◽  
Songkui Yin
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Influencing Factors ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Qinghai Province ◽  
Tourism Revenue

As an important growth point of Qinghai’s economic development, tourism has become increasingly prominent in its contribution to the development of the national economy and has become one of the most dynamic industries in the province. Based on the relevant data from 2001 to 2018, this paper explores the influencing factors of tourism revenue in Qinghai Province by constructing an error correction model and combining Granger causality test. The research results show that there is a significant correlation between the total number of tourist visits, per capita GDP and traffic conditions, and the growth of tourism income in Qinghai Province. Among them, every 1% increase in the total number of tourist arrivals drives an average increase of 1.566% in tourism revenue; and the short-term elasticity of tourism revenue to the total number of tourist arrivals is slightly greater than the long-term elasticity.

The relationship between energy consumption and gross domestic product in Hong Kong (1992–2015): Evidence from sectoral analysis and implications on future energy policy

2019 ◽  
Vol 31 (2) ◽  
pp. 215-236
Author(s):  
Ruixiaoxiao Zhang ◽  
Geoffrey QP Shen ◽  
Meng Ni ◽  
Johnny Wong
Keyword(s):  
Time Series ◽  
Energy Consumption ◽  
Gross Domestic Product ◽  
Causal Relationship ◽  
Granger Causality ◽  
Value Added ◽  
Granger Causality Test ◽  
Domestic Product ◽  
Causality Test ◽  
Per Capita

The causal relationship between energy consumption and gross domestic product in Hong Kong from 1992 to 2015 is investigated in this study. Different from the previous studies focusing on the causal relationship between total energy consumption and total gross domestic product per capita, this study further investigates the causal relationship from sectoral perspective, including residential, commercial, industrial and transportation sectors. For each sector, the time series data of sectoral energy consumption and sectoral per capita value added are collected. To conduct the Granger causality test, the unit root test is first applied to analyse the stationarity of time series. The cointegration test is then employed to examine whether causal relationship exists in long-term. Finally, based on the aforementioned tests, both vector error correction model and vector autoregression model can be selected to determine the Granger causality between time series. It is interesting to find that the sectoral energy consumption and corresponding sectoral per capita value-added exhibit quite different causal relationships. For both residential sector and commercial sectors, a unidirectional causal relationship is found running from the sectoral per capita value added to sectoral energy consumption. Oppositely, for industrial sector and transportation sector, a unidirectional causal relationship is found running from sectoral energy consumption to sectoral per capita value added. Regarding the Granger causality test results, the indicative suggestions on energy conservation policies, energy efficiency policies and greenhouse gas emission reduction policies are discussed based on the background of Hong Kong’s economic structure and fuel types.

scholarly journals Determinants of Agricultural Production and Agricultural Sector Output in Nigeria

2020 ◽  
pp. 1-9
Author(s):  
Ewubare Dennis Brown ◽  
◽  
Asimiea Iyabode ◽  
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Rural Areas ◽  
Agricultural Production ◽  
Agricultural Sector ◽  
Granger Causality Test ◽  
Causality Test ◽  
Agricultural Credit ◽  
Production Output ◽  
The Impact

The study examined the determinant of agricultural production and agricultural sector output in Nigeria. The objective of the study is to determine the impact of agricultural production determinants on agricultural output. The study was carried out based on secondary data collected through the CBN statistical bulletin unit root test was conducted test and granger causality test were used as the main statistical tests. The findings from the study based on the OLS results shows that agricultural funding, agricultural credit/loan as well as exchange rate have positive relationship with agricultural production output. Also, the granger causality test shows that agricultural funding, agricultural credit loan as well as exchange rate impact on agricultural production output. In view of the findings, it is recommended for adequate budgetary provisions for the agricultural sector in order to provide infrastructural facilities to the rural areas where farm produce are concentrated in order to boost production. Also, provision of credit facilities to the agricultural sector through the farmers in rural areas should be encouraged

scholarly journals ANALISA HUBUNGAN ANTARA PRODUK DOMESTIK BRUTO DAN EKSPOR INDONESIA (UJI KAUSALITAS GRANGER)

2020 ◽  
Vol 3 (2) ◽  
pp. 299-305
Author(s):  
Debora Silvia Hutagalung ◽  
◽  
Junaidi Siahaan ◽  
Keyword(s):  
Gross Domestic Product ◽  
Granger Causality ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Domestic Product ◽  
Trade Theory ◽  
Causality Test ◽  
Macroeconomic Theory ◽  
The Relationship ◽  
Domestic Products

This study entitled "Analysis of The Relationship Between Gross Domestic Product and Indonesian Exports (Granger causality test)”. This research was conducted because of the dualism of the theory between the two variables. In macroeconomic theory, the relationship between Gross Domestic Product is one of the similarities, because exports contribute to Gross Domestic Products on the demand side, while neoclassical trade theory emphasizes causality related to household production and assistance for exports.The purpose of this study is to determine the relationship between Gross Domestic Product and exports. This study uses several analytical methods: Unit Root Test, CointegrationTest, Granger Causality Test using the E-views program7 and using Quarterly data.The results of the estimation of this study are the estimation of the relationship in GDP and exports, or in other words the Gross Domestic Product affects Indonesia's exports. This is concluded based on the estimation results that can be seen from the statistical F value that is greater than the f-table (8.958205> 3.841466) on the Null hypothesis. GDP is not an Export Granger with a 95% confidence level. This means, GDP affects exports When GDP can affect the level of exports in the intervals of 2000 to 2012.Keywords:Gross Domestic Product(GDP), Exports, Granger Causality Test

scholarly journals Tourism Sector in the Short-Run and Economic Growth in North Sumatra, Indonesia

2018 ◽  
Vol 7 (3.32) ◽  
pp. 43
Author(s):  
Parhimpunan Simatupang ◽  
. . ◽  
. .
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Correction Method ◽  
Economic Benefits ◽  
Causality Test ◽  
Error Correction Method ◽  
Short Run ◽  
North Sumatra

In many developing countries, tourism is used as a main strategy to achieve greater economic performance. Increased income, both directly and as a result of the multiplier effects of tourism revenues, earnings of foreign exchange, new employment opportunities, access to foreign direct investment and economic diversification are the potential economic benefits of tourism. Statistics on international tourist arrivals in Indonesia showed an upward trend over the past few years and reached the highest number in 2014, recording almost 9.44 million arrivals. The province of North Sumatra is well known as a tourist destination, as well as an economic hub and commercial centre.  Indeed, the province was able to attract almost 28% (237,830) of tourist arrivals in 2014, an increase of 4.12 % from 2013. With such a tourist arrivals trend, the tourism sectors has significantly contributed to the economic development of North Sumatera.  This paper examined the role of tourism receipts in the short-run economic growth in North Sumatra through error correction method (ECM) from 1986-2014. Econometrics method were used, such as Augmented Dickey-Fuller (ADF) for unit root test, error correction method (ECM) for short run dynamics, and Granger causality test for causal relationships. The standard Granger causality test reveals that there is a unidirectional short-run Granger causality from tourism receipts to economic growth. This study provides evidence to support a tourism-led growth hypothesis in North Sumatra.  

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>

PENGARUH VOLATILITAS NILAI TUKAR, IDR-USD TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA: PENERAPAN MODEL GARCH

2019 ◽  
Vol 14 (2) ◽  
pp. 95
Author(s):  
Rahmadiva Dianitha Danial ◽  
Brady Rikumahu
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Granger Causality ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Stock Exchange ◽  
Composite Index ◽  
Granger Causality Test ◽  
Causality Test ◽  
Stock Market Returns

Penelitian ini bertujuan untuk menguji pengaruh  volatilitas return nilai Kurs IDR-USD terhadap volatilitas return pasar saham di Bursa Efek Indonesia. Dari pengambilan data sekunder dari 3 Januari 2012 hingga 29 September 2017 diperoleh data time series sebanyak 1404 hari. Data  dianalisis dengan model  GARCH dan Uji Granger Causality. Berdasarkan hasil permodelan GARCH(1,1), volatilitas kurs mempengaruhi volatilitas IHSG. Uji Granger Causality menunjukkan bahwa volatilitas kurs  dan IHSG memiliki hubungan yang kausal dua arah. Penelitian ini menunjukkan bahwa informasi kurs dapat memprediksikan kondisi harga indeks saham di pasar modal di periode hari berikutnya, begitupun sebaliknya. Prediksi tepat yang dilakukan oleh investor akan mengurangi risiko dan meningkatkan imbal hasil dalam berinvestasi jika pasar uang maupun pasar modal yang sedang bergejolak.  Kata Kunci: GARCH, Volatilitas, IHSG, Nilai Tukar ABSTRACT This study aims to examine the effect of the volatility of the return on the IDR-USD exchange rate toward  the volatility of stock market returns in the Indonesia Stock Exchange. From the data collection from 3 January 2012 until 29 September 2017 we obtained 1404 time series. Analyzing data, this study used  GARCH modeling and Granger Causality Test. The selected GARCH (1,1) modeling result shows that the volatility of exchange rate influences the volatility of Indonesian Composite Index.  Granger Causality test shows that the volatility of exchange rate and volatility of Indonesian Composite Index have two-way granger cause. This study indicates that exchange rate information can predict the condition of stock price index in capital market and movement of Indonesian Composite Index (ICI) can predict exchange rate movement in foreign exchange market. Appropriate predictions by investors will reduce the risk and increase the yield in investing if the money market and capital markets are fluctuating high. Keywords: GARCH, Volatility, ICI, Exchange Rate

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