scholarly journals Fiscal Policy, Monetary Policy and Price Volatility: Evidence from an Emerging Economy

2022 ◽  
Author(s):  
Le Thanh Tung
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Granger Causality ◽  
Impulse Response Function ◽  
Price Volatility ◽  
Granger Causality Test ◽  
Causality Test ◽  
Study Results ◽  
The Government ◽  
The Impact

Vietnam is an Asian emerging country, which now is ranked in the group of the fastest-gro-wing economies worldwide. However, this economy has faced galloping inflation in recent years. So the Vietnamese experience is a valuable reference for the policymakers in the developing world in order to successfully control price volatility. Our study applies the Vector autoregressive method, the Johansen cointegration test, and the Granger causality test to examine the impact of fiscal and monetary policy on price volatility in Vietnam with a quarterly data sample collected over the period from 2004 to 2018. The study results confirm the existence of a long-term cointegration relationship between these policies and price volatility in Vietnam. Besides, the variance decomposition and impulse response function also show that the impact of these policies on inflation is clear, however, the fiscal policy more strongly affects inflation than the monetary policy. Finally, the Granger causality test also indicates one-way causality relationships from the government expenditure as well as the exchange rate to price volatility in the study period.

scholarly journals Fiscal Policy, Monetary Policy and Price Volatility: Evidence from an Emerging Economy

2021 ◽  
Vol 12 (1) ◽  
pp. 57-70
Author(s):  
Le Thanh Tung
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Granger Causality ◽  
Impulse Response Function ◽  
Price Volatility ◽  
Granger Causality Test ◽  
Causality Test ◽  
Study Results ◽  
The Government ◽  
The Impact

Vietnam is an Asian emerging country, which now is ranked in the group of the fastest-gro- wing economies worldwide. However, this economy has faced galloping inflation in recent years. So the Vietnamese experience is a valuable reference for the policymakers in the developing world in order to successfully control price volatility. Our study applies the Vector autoregressive method, the Johansen cointegration test, and the Granger causality test to examine the impact of fiscal and monetary policy on price volatility in Vietnam with a quarterly data sample collected over the period from 2004 to 2018. The study results confirm the existence of a long-term cointegration relationship between these policies and price volatility in Vietnam. Besides, the variance decomposition and impulse response function also show that the impact of these policies on inflation is clear, however, the fiscal policy more strongly affects inflation than the monetary policy. Finally, the Granger causality test also indicates one-way causality relationships from the government expenditure as well as the exchange rate to price volatility in the study period.

scholarly journals Coordination or Dominance of Fiscal and Monetary Policy in Egypt

2019 ◽  
Vol 11 (12) ◽  
pp. 28
Author(s):  
Emad Omar Elhendawy
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Causal Relationship ◽  
Granger Causality ◽  
Money Supply ◽  
Budget Deficit ◽  
Granger Causality Test ◽  
Causality Test ◽  
The Third ◽  
Relationship Of

This study investigates to what extent of coordination between the fiscal and monetary policies in Egypt in the period 1980-2017, it has been adopted in its methodology on the vector error correction and Granger causality test. It concludes that there is a significant relation between money supply and budget deficit on one hand and inflation on the other hand, and that fiscal policy is dominant in monetary policy, as a change of 10% of the budget deficit results in an increase in the inflation rate of 8.1%. As for the Granger causality test. Thus stresses the existence of causal relationship to one direction of inflation against both the budget deficit and the money supply, which affects the budget deficit in the second slowdown. Then it feeds the budget deficit and inflation in the third year, which in turn feeds the budget deficit in the fourth year and the causal relationship between inflation and money supply has concluded that there is a one-way causal relationship of money supply to inflation after four slows and then inflation affects the money supply from the fifth to the tenth slowdown. As for the relationship of the budget deficit to money supply, there may be a one-way causal relationship between the budget deficit and the money supply from the second to the tenth year, except the third year, which also confirms the dominance of fiscal policy on monetary policy in Egypt in the period under consideration.

Financial development, oil dependence and economic growth

2017 ◽  
Vol 34 (2) ◽  
pp. 281-298 ◽  
Author(s):  
Ramez Abubakr Badeeb ◽  
Hooi Hooi Lean
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Financial Sector ◽  
Causality Test ◽  
Content Type ◽  
The Government ◽  
The Impact ◽  
The Relationship

Purpose This paper aims to examine the validity of the question of whether oil dependence has a negative impact on the relationship between financial development and economic growth in Yemen. Design/methodology/approach The auto-regressive distributed lag approach for cointegration is used to examine the relationship between financial development and economic growth by capturing the impact of oil dependence on this relationship. The Granger causality test, based on a vector error correction model (VECM) framework, is used to investigate the causal relationships between financial development and economic growth. Findings The most interesting finding is the negative sign of interaction term between financial development and oil dependence, which implies that the positive effect of financial development on economic growth decreases with the increasing oil dependence. The result of the VECM Granger causality test revealed the existence of unidirectional causality running from financial development to economic growth. Research limitations/implications The short sample period and the worry of losing degrees of freedom limited us when including control variables in the model. If the data are available in the future, other control variables can be added. Practical implications The government should reduce the level of oil dependence in Yemen by diversifying the country’s economy. Accelerating the pace and efficiency of the financial sector will bear fruitful returns in this regard. The government could achieve this strategy by playing a more proactive role in encouraging the expansion of credit to enable the financial sector to provide a more efficient intermediary role in mobilizing domestic savings and channeling them to productive investments across various economic sectors. Originality/value This is the first study to examine the impact of oil dependence on the finance-growth nexus in Yemen. A new indicator for oil dependence is also proposed.

scholarly journals Do Fiscal Rules Constrain Fiscal Policy in Romania?

2020 ◽  
Author(s):  
Alina Daniela Vodă ◽  
Gabriela Dobrotă ◽  
Loredana Andreea Cristea ◽  
Bianca Ciocanea
Keyword(s):  
Sustainable Development ◽  
Fiscal Policy ◽  
Granger Causality ◽  
National Level ◽  
Granger Causality Test ◽  
Business Environment ◽  
Economic Life ◽  
Fiscal Sustainability ◽  
Fiscal Rules ◽  
Causality Test

At both macroeconomic and national level, in recent decades, European tax policies have shown a particular interest in addressing the spectrum of risk issues in terms of maturing the business environment and the lack of sustainable development of the economy. In Romania there has been a significant increase in public debt, which is increasingly threatening fiscal sustainability. This is due to fiscal rules that restrict the applicability of fiscal policy to balancing the national economy. However, fiscal policy did not act in the direction of economic recovery during the crisis that started in the last quarter of 2008, which had a negative impact on the Romanian business environment. Objectively, fiscal policy should manifest itself as a general framework of the economy on the basis of which to develop fiscal rules that act in the direction of sustainable development of the business environment and implicitly, of socio-economic life. The research carried out referred to identify how fiscal rules in Romania restrict the application of fiscal policy as well as whether there is an explicit concordance between them. The research methodology aimed to use the ARDL model to apply the Granger causality test, using quarterly data for a set of four indicators, being identified that Romanian fiscal rules restrict fiscal policy. The achieved results highlighted the fact that fiscal rules restrict fiscal policy, being identified a long-run relationship between the analyzed variables and implicitly, a state of instability of the fiscal system in Romania. Keywords: fiscal policy, autoregressive distributed-lagged model, Granger causality test.

scholarly journals The impact of agriculture and renewable energy on climate change in Central and East European Countries

2020 ◽  
Vol 66 (No. 10) ◽  
pp. 447-457
Author(s):  
Nicoleta Mihaela Florea ◽  
Roxana Maria Badircea ◽  
Ramona Costina Pirvu ◽  
Alina Georgiana Manta ◽  
Marius Dalian Doran ◽  
...  
Keyword(s):  
Economic Growth ◽  
Renewable Energy ◽  
Greenhouse Gas Emissions ◽  
Greenhouse Gas ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Causality Test ◽  
Gas Emissions ◽  
The Impact

According to the objectives of the European Union concerning the climate changes, Member States should take all the necessary measures in order to reduce the greenhouse gas emissions. The aim of this study is to identify the causality relations between greenhouse gases emissions, added value from agriculture, renewable energy consumption, and economic growth based on a panel consisting of 11 states from the Central and Eastern Europe (CEECs) in the period between 2000 and 2017. The Autoregressive Distributed Lag (ARDL) method was used to estimate the long-term relationships among the variables. Also a Granger causality test based on the ARDL – Error Correction Model (ECM) and a Pairwise Granger causality test were used to identify the causality relationship and to detect the direction of causality among the variables. The results obtained reveal, in the long term, two bidirectional relationships between agriculture and economic growth and two unidirectional relationships from agriculture to greenhouse gas emissions and renewable energy. In the short term, four unidirectional relationships were found from agriculture to all the variables in the model and one unidirectional relationship from renewable energy to greenhouse gas emissions.

scholarly journals TRADE OPENNESS AND ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM INDIA

2014 ◽  
Vol 16 (1) ◽  
pp. 188-205 ◽  
Author(s):  
Qazi Muhammad Adnan Hye ◽  
Wee-Yeap Lau
Keyword(s):  
Economic Growth ◽  
Human Capital ◽  
Granger Causality ◽  
Trade Openness ◽  
Granger Causality Test ◽  
Causality Test ◽  
Long Run ◽  
Rolling Window ◽  
Short Run ◽  
The Impact

The main objective of this study is to develop first time trade openness index and use this index to examine the link between trade openness and economic growth in case of India. This study employs a new endogenous growth model for theoretical support, auto-regressive distributive lag model and rolling window regression method in order to determine long run and short run association between trade openness and economic growth. Further granger causality test is used to determine the long run and short run causal direction. The results reveal that human capital and physical capital are positively related to economic growth in the long run. On the other hand, trade openness index negatively impacts on economic growth in the long run. The new evidence is provided by the rolling window regression results i.e. the impact of trade openness index on economic growth is not stable throughout the sample. In the short run trade openness index is positively related to economic growth. The result of granger causality test confirms the validity of trade openness-led growth and human capital-led growth hypothesis in the short run and long run.

scholarly journals Improving the Resilience of Banking System in Small Open Economy: Is Macroprudential Policy Efficient?

2021 ◽  
Vol 92 ◽  
pp. 07050
Author(s):  
Petra Popek Biskupec ◽  
Suzana Herman
Keyword(s):  
Granger Causality ◽  
Financial Stability ◽  
Granger Causality Test ◽  
Financial Sector ◽  
Bank Credit ◽  
Real Sector ◽  
Causality Test ◽  
The Real ◽  
Bounds Test ◽  
The Impact

Research background: Although macroprudential instruments increase financial stability, it is necessary to test how they affect the overall economic recovery after a global financial crisis. In the post-crisis period, the real sector needed a strong injection of capital in order to be able to start recovery and to encourage economic growth. At the same time, most of the countries introduced strict regulatory measures that strengthen bank capital and the liquidity base. From the standpoint of the financial sector stability, these measures contributed to the overall financial stability, but at the same time, these measures hold up the bank credit activity. Purpose of the article: This paper analyses the impact of macroprudential instruments on the bank credit activity toward the non-financial sector. The analysis is made by using the Granger Causality Test and the ARLDS Bounds Test. Methods: The research was conducted for the period of 2000 – 2019, based on the data of the Croatian National Bank and the Croatian Bureau of Statistics using logarithmic quarterly data. The analysis is made by using the Granger Causality Test and the ARLDS Bounds Test. Findings & Value added: The results confirm the thesis that additional macroprudential measures decrease the bank credit activity toward the real sector, which slows down the real sector recovery and extends the downturn in the business cycle. On the other hand, the macroprudential measures increase the financial stability of the whole economy, which is positive for future investments and recovery of the real sector.

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

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