scholarly journals Investigating Causal Relations of Economic Variables: Capital, GDP, Labour and Population in Sweden 1870-2000

2015 ◽  
Vol 62 (2) ◽  
pp. 81-86
Author(s):  
Mohammad Mastak Al Amin ◽  
Anamul Haque Sajib ◽  
Mohammad Alamgir
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Unit Root Tests ◽  
Var Model ◽  
Economic Variables ◽  
Causality Test ◽  
Time Period ◽  
Augmented Dickey Fuller ◽  
Auto Regressive

The main objective of this paper was to study the causal relationships of the economic variables GDP, labour, capital and population in Sweden during the time period 1870 to 2000. In this paper the theory of unit root tests, vector auto regressive (VAR) model and Granger-Causality test were ased to find the causality of the variables. Augmented Dickey Fuller test was also used as unit root test. By applying all these tests and methods, the causal relationship among the economic variables has been established. DOI: http://dx.doi.org/10.3329/dujs.v62i2.21970 Dhaka Univ. J. Sci. 62(2): 81-86, 2014 (July)

scholarly journals Impact of External Debt on Various Macro Economic Variables: Indian Evidence

2019 ◽  
pp. 1-16
Author(s):  
Khalid Ashraf Chisti ◽  
Tayibah Shabir
Keyword(s):  
Significant Relationship ◽  
Unit Root ◽  
Null Hypothesis ◽  
External Debt ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Economic Variables ◽  
Causality Test ◽  
Level Of Significance ◽  
The Impact

The paper tries to investigate the impact of external debt on time series quarterly data spanning from 2007:02-2017:03, on various macro-economic variables and to study the existence of relationship and causality between them in India. In order to derive the results various econometric tools such as ADF unit root test, Granger Causality test and Regression Analysis have been employed in the study. The null hypothesis for the study were that External debt does not granger cause various macro-economic variables which was accepted at 5% level of significance and External debt does not have statistically significant relationship with various macro-economic variables, which was accepted in case of all variables except Inflation. Thus, it was found that no granger causal relationship was found between external debt and macro-economic variables and vice-versa. There exists no statistically significant relationship between external debt and RGDP, G-Revenue, Export, and G-Spending and they have almost no impact on the external debt. However, in case of Inflation there exists a positive statistically significant relationship that has 10.27% impact on external debt. It was concluded that External debt does not play a significant role in the economic development of India for the period of the study.

scholarly journals A LONG RUN RELATIONSHIP BETWEEN GOLD PRICE AND INFLATION- EVIDENCE FROM THE INDIAN EXPERIENCE

2015 ◽  
Vol 3 (6) ◽  
pp. 100-107
Author(s):  
Anjali ◽  
K.T. Thomachan
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Gold Price ◽  
Causality Test ◽  
Monthly Data ◽  
Long Run ◽  
Indian Experience ◽  
Integration Test ◽  
Augmented Dickey Fuller

The study examines the long run relationship between gold price and inflation from the Indian experience.  The main objective of the study is to identify whether there is long run relationship between the gold price and inflation.  For the investigation three year monthly data from July 2011 to June 2014.  The study is conducted by Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test and Granger Causality Test and finally came to the conclusion that there is no long run relationship between gold price and inflation.

scholarly journals Monetary Policy and Return on Equity of Quoted Insurance Firms: A Time Series Study from Nigeria

2018 ◽  
Vol 2 (1) ◽  
pp. 62-76
Author(s):  
Macfubara, Minafuro Suzane ◽  
Norteh Dumbor ◽  
Gberesuu, Barida Barry
Keyword(s):  
Monetary Policy ◽  
Unit Root ◽  
Unit Root Test ◽  
Policy Instruments ◽  
Granger Causality Test ◽  
Insurance Companies ◽  
Causality Test ◽  
Return On Equity ◽  
Independent Variables ◽  
Insurance Firms

The financial system is the transmission channel of monetary policy. This study examines the effect of monetary policy on the performance of insurance firms in Nigeria from 1990 – 2017. The objective is to investigate the existing relationship between monetary policy instruments and the performance indicators of insurance companies. Secondary data were sourced from Stock Exchange factbook, Central Bank of Nigeria (CBN) Statistical Bulletin. Multiple linear regressions were formulated to examine the effect of the independent variables on the dependent variable. Return on equity was modeled as a function of treasury bill rate, monetary policy rate, interest rate, growth of money supply and exchange rate.  R2, T-Statistics, β Coefficient, F-Statistics and Durbin Watson were used to examine the extent to which the independent variables affect the dependent variables while augmented dickey fuller unit root test, granger causality test, cointgration test and error correction models was used to ascertain the dynamic relationship between monetary policy variables and return on equity of the insurance firms. Findings revealed that, all the explanatory variables have positive effect on return on equity except treasury bill rate.  The unit root test found that the variables are stationary at first difference, the cointgration test found the presence of long run relationship while the granger causality test found a uni-directional causality. The study concludes that monetary policy has moderate effect on the return on equity of the insurance firms. We recommend that management of insurance companies should devise measures of managing the negative effects of the monetary policy instruments to enhance the performance of the insurance companies.

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 The Role of Foreign Direct Investment Inflows in Economic Growth in Malaysia

2021 ◽  
Vol 4 (2) ◽  
pp. g11-17
Author(s):  
Tien Siew
Keyword(s):  
Economic Growth ◽  
Unit Root ◽  
Direct Investment ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Least Square ◽  
Causality Test ◽  
Fdi Inflows ◽  
Ordinary Least Square ◽  
The Relationship

The purpose of this study is to investigate the relationship between the inflows of Foreign Direct Investment (FDI) and economic growth in Malaysia. The sample collected for this empirical study covered 30 years of data from 1991 to 2020. The secondary data was collected annually and a total of 30 observations were taken for each variable. Ordinary Least Square (OLS) regression, unit root test, several diagnostic tests and Granger causality test were used in this research to investigate the relationship between FDI inflows and economic growth. Eviews 11 was used to analyze the time series data throughout all the tests. The result showed that the inflows of FDI has a significant negative relationship with economic growth and there is no causal relationship between FDI and Gross Domestic Product (GDP). Keywords: Economic growth, FDI inflows, Granger Causality Test, Ordinary Least Square regression, Unit Root Test

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 ENERGY ACCESS AND HOUSEHOLD INCOME IN SUBSAHARAN AFRICAN COUNTRIES

2019 ◽  
Vol 17 (30) ◽  
Author(s):  
Musibau Ojo Adejumo ◽  
Ajide Bello Kazeem
Keyword(s):  
Unit Root ◽  
Household Income ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Energy Access ◽  
African Countries ◽  
Causality Test ◽  
Explanatory Variables ◽  
Long Run ◽  
Panel Granger Causality

This study empirically examined the energy access andhousehold income in Sub-Saharan African countries between1990 and 2015. The study employed five variables:energy access, per capita income, energy price, FDI andtrade openness, as well as panel unit root test using twocriteria to test stationarity. Panel cointegration test wasalso conducted to test long-run cointegration between thevariables employed. Panel granger causality test was employedto check the degree of causality between the dependentand explanatory variables and Auto RegressiveDistributive Lag method of estimation was employed tocheck the long-run and short-run relationships between thevariables. The results of the panel unit root test from theLLC and IPS methods show that the order of integrationsis mixed with some of the variables being stationary atlevels (household income, Foreign Direct Investment andTrade Openness) and first difference (Energy Access andFuel Price) at the same time. The result of Pedroni cointegrationtest indicated the bivariate long-run cointegrationequation between the variables employed except forEA and GDPPC. The panel granger causality test revealedthat there is causality between these three variables (EA,GDPPC and FUELP) and the direction of causality onlyflows from these variables to energy access. The ARDLresult revealed that all explanatory variables accountedfor 60% variation of energy access in SSA. However,the study made the following policy implications: energypolicy needs to be orientated in favor of expanding thesupply of energy to reach an enhanced degree of sustainableeconomic growth and development, and governmentsin this region can subsidize energy products to increaseits consumption and promote the welfare of their citizens.

scholarly journals RIPPLE EFFECT AND REGIONAL HOUSE PRICES DYNAMICS IN CHINA

2016 ◽  
Vol 20 (4) ◽  
pp. 397-408 ◽  
Author(s):  
Chi-Chuan LEE ◽  
Chien-Chiang LEE ◽  
Shu-Hen CHIANG
Keyword(s):  
Unit Root ◽  
House Prices ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Ripple Effect ◽  
Seemingly Unrelated Regressions ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Augmented Dickey Fuller ◽  
Long Run Equilibrium

This paper examines the stationarity properties, the long-run equilibrium and the leadlag relationship among the regional house prices in China from December 2000 to July 2013. Unlike traditional unit-root tests, the panel seemingly unrelated regressions augmented Dickey-Fuller (SURADF) unit-root test reveals that the regional house prices in China are a mixture of I(0) and I(1) processes. There is concrete evidence in favor of the hypothesis of a long-run equilibrium relationship among all regions, except for Shanghai region, and supporting the price diffusion or ripple effect among these Chinese cities. Finally, we determine that these regional house prices exhibit uni-directional causalities running from Beijing, Chongqing, and Shenzhen to Guangzhou and Tianjin, respectively.

scholarly journals THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS

2013 ◽  
Vol 29 (6) ◽  
pp. 1289-1313 ◽  
Author(s):  
Tomás del Barrio Castro ◽  
Paulo M.M. Rodrigues ◽  
A.M. Robert Taylor
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
American Statistical Association ◽  
Unit Root Tests ◽  
Statistical Association ◽  
Finite Sample ◽  
Finite Sample Properties ◽  
Augmented Dickey Fuller ◽  
Frequency Unit ◽  
The Impact

In this paper we investigate the impact of persistent (nonstationary or near nonstationary) cycles on the asymptotic and finite-sample properties of standard unit root tests. Results are presented for the augmented Dickey–Fuller (ADF) normalized bias and t-ratio-based tests (Dickey and Fuller, 1979, Journal of the American Statistical Association 745, 427–431; Said and Dickey, 1984; Biometrika 71, 599–607). the variance ratio unit root test of Breitung (2002, Journal of Econometrics 108, 343–363), and the M class of unit-root tests introduced by Stock (1999, in Engle and White (eds.), A Festschrift in Honour of Clive W.J. Granger) and Perron and Ng (1996, Review of Economic Studies 63, 435–463). We show that although the ADF statistics remain asymptotically pivotal (provided the test regression is properly augmented) in the presence of persistent cycles, this is not the case for the other statistics considered and show numerically that the size properties of the tests based on these statistics are too unreliable to be used in practice. We also show that the t-ratios associated with lags of the dependent variable of order greater than two in the ADF regression are asymptotically normally distributed. This is an important result as it implies that extant sequential methods (see Hall, 1994, Journal of Business & Economic Statistics 17, 461–470; Ng and Perron, 1995, Journal of the American Statistical Association 90, 268–281) used to determine the order of augmentation in the ADF regression remain valid in the presence of persistent cycles.

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.

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