Pengaruh Tingkat Suku Bunga Dan Nilai Tukar Terhadap Indeks Harga Properti Residensial (IHPR) di Indonesia Tahun 2002-2013

2015 ◽  
Vol 7 (1) ◽  
pp. 1-13
Author(s):  
Magdalena Magdalena
Keyword(s):  
Interest Rates ◽  
Granger Causality ◽  
Time Series Data ◽  
Market Price ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Macroeconomic Factors ◽  
Previous Period ◽  
Var Analysis

This study aimed to analyze the macroeconomic factors such as exchange rate and interest rate in effect on the market price of the property and real estate in Indonesia (IHPR) during the years 2002-2013. Through the application of e-views, the causal relationship was found in time series data. VAR analysis and Granger Causality Test did not find any relationship between SBI and IHPR. However SBI affects EXCHANGE positively, and EXCHANGE affects IHPR. Every 1 point weakening of IDR in the previous period, assuming the IDR in the two previous periods fixed, the IHPR in year-t will increase by 0.004003 points. If IDR in two previous periods depreciated by 1 point with the assumption that the IDR at the previous period remains, then IHPR in year-t will increase by 0.007219 points. Keywords: SBI interest rates, IDR exchange rates, price of property, VAR, Granger Causality Test

scholarly journals Impact of Interest Rate on Household Consumption in Tanzania

2021 ◽  
pp. 44-62
Author(s):  
Daud Mkali Fadhil ◽  
Naifin A. Rajab
Keyword(s):  
Interest Rate ◽  
Causal Relationship ◽  
Granger Causality ◽  
Time Series Data ◽  
Negative Relationship ◽  
Granger Causality Test ◽  
Household Consumption ◽  
Least Square ◽  
Series Data ◽  
Causality Test

This study seeks to determine the exact impact of interest rate on household consumption in Tanzania and identify the direction of causality between the variables. Although there have been few studies which explore the issue of interest rate and consumption, their method, time scope and geographical location has been different. This study aim to examine the relationship between interest rate on deposit and household expenditure in Tanzania using the annual time series data from the period 1990–2017 and employing Dynamic Ordinary Least Square (DOLS) and Granger causality test for testing causal relationship between  the variables. The result revealed that there is a negative relationship between interest rate on deposit and consumption for the Tanzania. Additionally, it is observed from the estimate results that interest rate had an insignificant effect on consumption. Furthermore, the granger causality test results have shown that there is bidirectional causal relationship between interest rate and consumption. Furthermore, the result also shows that income and consumption are positively related and statistical significant at 5%. In addition, the findings supported Keynesian's Absolute Income hypothesis which emphasis consumption being a positive function of disposable income. The study recommends that there is the need for government to take urgent steps to implement policies like poverty reduction strategies, agriculture policy and Five Years Development Plans in order to improve the income base of most of households.

Has Social Mobilization Caused Political Instability in Africa? A Granger-Causality Test

1993 ◽  
Vol 22 (1) ◽  
pp. 33-54
Author(s):  
Bedford N. Umez
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Political Instability ◽  
Granger Causality Test ◽  
Social Mobilization ◽  
Series Data ◽  
African Countries ◽  
Causality Test ◽  
Empirical Results

A Granger-causality test is used to examine whether social mobilization causes political instability. This test allows serious problems encountered in correlation-based analyses to be overcome. Time-series data from seven African countries are used. The empirical results (which vary by country) generally suggest that there is usually a feedback relationship between social mobilization and political instability.

scholarly journals Temperature and Humidity Do Not Influence Global COVID-19 Incidence as Inferred from Causal Models

2020 ◽  
Author(s):  
Raghav Awasthi ◽  
Aditya Nagori ◽  
Pradeep Singh ◽  
Ridam Pal ◽  
Vineet Joshi ◽  
...  
Keyword(s):  
Granger Causality ◽  
Disease Transmission ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Causal Models ◽  
Series Data ◽  
Causal Association ◽  
Causality Test ◽  
Temperature And Humidity ◽  
Convergent Cross Mapping

AbstractThe relationship between meteorological factors such as temperature and humidity with COVID-19 incidence is still unclear after 6 months of the beginning of the pandemic. Some literature confirms the association of temperature with disease transmission while some oppose the same. This work intends to determine whether there is a causal association between temperature, humidity and Covid-19 cases. Three different causal models were used to capture stochastic, chaotic and symbolic natured time-series data and to provide a robust & unbiased analysis by constructing networks of causal relationships between the variables. Granger-Causality method, Transfer Entropy method & Convergent Cross-Mapping (CCM) was done on data from regions with different temperatures and cases greater than 50,000 as of 13th May 2020. From the Granger-Causality test we found that in only Canada, the United Kingdom, temperature and daily new infections are causally linked. The same results were obtained from Convergent Cross Mapping for India. Again using Granger-Causality test, we found that in Russia only, relative humidity is causally linked to daily new cases. Thus, a Generalized Additive Model with a smoothing spline function was fitted for these countries to understand the directionality. Using the combined results of the said models, we were able to conclude that there is no evidence of a causal association between temperature, humidity and Covid-19 cases.

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

scholarly journals DYNAMIC MODELING OF TIME SERIES DATA USING BEKK-GARCH MODEL

2020 ◽  
Vol 17 (36) ◽  
pp. 1186-1198
Author(s):  
Mustofa USMAN ◽  
N INDRYANI ◽  
WARSONO A. ◽  
AMANTO WAMILIANA
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Impulse Response ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Share Price ◽  
Series Data ◽  
P Value ◽  
Test Statistics ◽  
Causality Test

The Vector Autoregressive Moving Average (VARMA) model is one of the models that is often used in modeling multivariate time series data. In time-series data of economics, especially data return, they usually have high fluctuations in some periods, so the return volatility is unstable. In modeling data return of share prices ADRO and ITMG, the behavior of high volatility will be considered. This study aims to find the best model that fits the data return of share price of the energy companies of PT Adaro Energy Tbk (ADRO) and PT Indo Tambangraya Megah Tbk (ITMG), to analyze the behavior of impulse response of the variables data return ADRO and ITMG, to analyze the granger causality test, and to forecast the next 12 periods. Based on the selection of the best model using the criteria of AICC, HQC, AIC, and SBC, it was found that the VARMA (2.2) -GARCH (1.1) model is the best one for the data in this study. The model VARMA(2,2)-GARCH (1,1) is then written as a univariate model. For the univariate ADRO model, the test statistics F = 4,73 and P-value = 0,0084, which indicates the model is very significant; and for the univariate ITMG model, the test statistics is F = 5,82 and P-value 0,0001, which indicates the model is significant. Based on the best model selected, the impulse response, Granger causality test, and forecasting for the next 12 periods are discussed.

scholarly journals An Econometric Analysis on Remittance and Economic Growth in Bangladesh

2020 ◽  
pp. 214-218
Author(s):  
Md Shafiul Islam
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Causal Link ◽  
Series Data ◽  
Causality Test ◽  
External Finance ◽  
The Relationship

In Bangladesh, migrant worker’s remittances constitute one of the most significant sources of external finance. This paper investigates the existence of relation between remittance inflow and GDP and the causal link between them in Bangladesh by employing the Granger causality test under a VECM framework. Using time series data over a 38 year period, we found that growth in remittances does lead to economic growth in Bangladesh. In addition to the relationship, this paper also points out some issues that are working as impediments in getting remittance and give some recommendations to overcome those impediments.

Estimating the key determinants of foreign direct investment flows in Pakistan: new insights into the co-integration relationship

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hummera Saleem ◽  
Malik Shahzad Shabbir ◽  
Bilal Khan ◽  
Shahab Aziz ◽  
Maizaitulaidawati Md Husin ◽  
...  
Keyword(s):  
Granger Causality ◽  
Direct Investment ◽  
Time Series Data ◽  
Institutional Quality ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Main Determinants

PurposeThis empirical analysis tries to examine determinants of private foreign direct investment (FDI) in Pakistan using the bounds test approach. Main determinants of FDI among them are the size of the market (Q) macroeconomic stability (r), political stability (PRS), real exchange rate (REX) and institutional quality (INQ).Design/methodology/approachThis study used annual time-series data set starting from 1980 to 2016. This study has used time-series data with ARDL and error-correction model (ECM) and examined main determinants of FDI for Pakistan. The study used the Granger causality test (modified WALD test) to identify the causality among the variables.FindingsMoreover, empirical findings indicate the long-run relationship between GDP, trade openness and institutional quality toward FDI. However, political instability, inflation and real exchange rate harm FDI in Pakistan. Furthermore, results of Granger causality indicate that the bidirectional causality running from FDI and Q toward FDI is significant, providing evidence of FDI-led growth hypotheses in Pakistan. This study determines the correlation between FDI and Q (GDP growth) related to the “feedback hypothesis” in the short and long run. This study also concludes that the short-run causal connection among FDI, REX, PRS, r and Q follows the “feedback hypothesis.” This describes that FDI, REX, PRS, r and Q variables are jointly determined and affected together.Originality/valueThis study also explores the causal association between FDI and its significant determinants, by using methods of Granger causality test and the approach of Toda-Yamamoto-DoladoLutkephol (TYDL) to examine the causal relationship and its directions among these variables.

scholarly journals Apakah Pendapatan Perempuan Dapat Mengurangi Kemiskinan? Bukti Data Panel di Indonesia

2020 ◽  
Vol 8 (1) ◽  
pp. 64
Author(s):  
Gunawan Adnan ◽  
Khairul Amri
Keyword(s):  
Granger Causality ◽  
Local Governments ◽  
Poverty Reduction ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Poverty Rate ◽  
Series Data ◽  
Analysis Model ◽  
Causality Test ◽  
Panel Granger Causality

This research aims to analyze the effect of women's income on poverty reduction. Using a panel dataset of 32 provinces in Indonesia with time series data for the period of 2010-2018, the analysis model used is the fixed-effect method of the panel regression and the Panel Granger causality test. The study points out that women's income has a significant effect on poverty reduction. The greater women's income, the lower the poverty rates. Panel Granger causality test indicates that there is a bidirectional between women's income and poverty rate. The poverty causes women's income, and women's income also causes poverty rates. Therefore, local governments in Indonesia should formulate regional development policies that oriented towards increasing women's involvement in productive economic activities. The policy is not only able to improve the welfare of women, but also contribute positively to reducing poverty rates

scholarly journals Population Growth and Life Expectancy in Nigeria: Issues and Further Considerations

2018 ◽  
Vol 1 (1) ◽  
pp. p30 ◽  
Author(s):  
Oladayo Timothy POPOOLA
Keyword(s):  
Life Expectancy ◽  
Population Growth ◽  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Fertility Rate ◽  
Series Data ◽  
Dependency Ratio ◽  
Average Life Expectancy ◽  
Causality Test

This study empirically investigates the effects of population growth on average life expectancy in Nigeria taking into account the explicit role of healthy citizens in economic development as well as other control variables not considered in prior studies. Predicted on country-specific regression and Granger Causality test using time series data between 1986 and 2015, the findings reveal that rising population growth have positive and insignificantly impacts life expectancy; but 1% decrease in fertility rate and population of 65-and-above dependency ratio could positively stimulates an improvement in longevity by 5.84, and 81.5 respectively in Nigeria. Furthermore, the granger causality test shows that population growth could granger cause low life expectancy in Nigeria at least at 10% level of significant. The findings therefore make a case for strengthening efforts towards reducing both fertility rate and age 65 and above dependency ratio with priority given to the welfare of ages 65 and above population in Nigeria.

scholarly journals Apakah Infrastruktur Jalan Mempengaruhi Ekspor? Pendekatan Vector Autoregressive

2019 ◽  
Vol 7 (2) ◽  
pp. 166
Author(s):  
Khairul Amri
Keyword(s):  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Road Infrastructure ◽  
Vector Autoregressive ◽  
Integration Test ◽  
The Government ◽  
One Year

This study aims to investigate the effect of road infrastructure on exports for the case of the Indonesian economy. Using time-series data during the 1987-2013 period sourced from the Indonesian Bureau of Statistics (BPS), the econometric model employed pertain to Johanson co-integration test, vector autoregressive, and Granger causality test. The finding of the study points out that there is no long-term relationship between the two variables. The rising in exports positively and significantly was affected by road infrastructure three years earlier. Furthermore, export has a positive and significant effect on road infrastructure at a lag of 1. The increase in export commodities leads to the government to improve road infrastructure at the one-year horizon. The result of the Granger causality test indicates that there is a bidirectional causality relationship between exports and road infrastructure. The increase in road infrastructure led to an increase in exports, and the increase in exports also led to an increase in road infrastructure

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