ANALISIS KETERKAITAN ANTAR KELOMPOK PENGELUARAN INFLASI MENGGUNAKAN VECTOR AUTOREGRESSIVE MODEL

2021 ◽  
Vol 2 (1) ◽  
pp. 14-27
Author(s):  
I GUSTI BAGUS NGURAH DIKSA
Keyword(s):  
Granger Causality ◽  
Financial Services ◽  
Granger Causality Test ◽  
Processed Food ◽  
Vector Autoregressive Model ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Endogenous Variables ◽  
Stationarity Test ◽  
The Relationship

In this study, testing steps were carried out, namely the stationarity test, determining the optimum lag, hypothesis testing and the formation of the VAR model, the Granger causality test and classical assumptions. The data used are month to month inflation data for each inflation expenditure group in Indonesia for the period January 2013 to December 2019. The inflation expenditure group is foodstuffs; processed food, beverages, cigarettes and tobacco; housing, water, electricity, gas and fuel; clothing; health; education, recreation and sports; and transportation, communication, and financial services. However, in this study only five inflation expenditure groups were used, namely foodstuffs; processed food, beverages, cigarettes and tobacco; housing, water, electricity, gas and fuel; clothing; as well as transportation, communication and financial services. The purpose of this study is to analyze the relationship between inflation expenditure groups and to find a forecasting model for inflation expenditure groups in Indonesia. After the Granger causality test was carried out, all probability values between endogenous variables, namely the five groups of inflation expenditures were less than 0,05 or rejected H0. Therefore, it can be concluded that there is a causal relationship between endogenous variables.

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

scholarly journals INTER-RELATIONSHIP BETWEEN THE HOUSING MARKET AND HOUSING FINANCE SYSTEM: EVIDENCE FROM MALAYSIA

2014 ◽  
Vol 18 (2) ◽  
pp. 138-150 ◽  
Author(s):  
Rosli Said ◽  
Alaistair Adair ◽  
Stanley McGreal ◽  
Rohayu Majid
Keyword(s):  
Housing Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Housing Finance ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Finance System

The Malaysian housing market and associated housing finance system have expanded significantly as a result of rapid urbanisation since the late 1980s. The key aspect of this paper is to analyse the inter-relationship between the housing market and housing finance system in Malaysia. The paper employs Vector Autoregressive approach and Granger Causality test to empirically investigate this inter-relationship. In Malaysia, no housing studies has actually looked into or used this approach to identify the inter-relationship between these two elements. The key findings show that there is a strong inter-relationship between the housing market and housing finance system. The direction of causality shows that there is a bi-directional relationship between the housing market and housing finance system. These inter-relationships provide evidence that sound performance of the sub-markets within the housing finance system is a determinant prerequisite of the robustness of the housing finance system, if a healthy performance of the housing market is to be achieved.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals The correlation and volatility between bitcoin and the blockchain index

2020 ◽  
Vol 4 (2) ◽  
pp. 103-115
Author(s):  
Tuotuo Qi ◽  
Tianmei Wang ◽  
Jianming Zhu ◽  
Ruyu Bai
Keyword(s):  
Granger Causality ◽  
Design Methodology ◽  
Granger Causality Test ◽  
External Shocks ◽  
Class Model ◽  
Causality Test ◽  
Content Type ◽  
Blockchain Technology ◽  
The World ◽  
The Relationship

Purpose The encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, bitcoin is undoubtedly the most popular. Because blockchain technology is the crucial support of bitcoin, exploring the relationship between bitcoin and the blockchain index is necessary. Design/methodology/approach This paper uses the Granger causality test to explore the correlation between bitcoin and the blockchain index. Furthermore, their volatility is analyzed by a GARCH-class model. Findings The results show that no significant correlation exists between bitcoin and the blockchain index; external shocks aggravate the volatility of bitcoin and the blockchain index, and the volatility has a certain degree of sustainability; and blockchain index has obvious leverage, namely, its decline has a stronger impact. Originality/value The volatility of bitcoin and the blockchain index is crucial for investors.

scholarly journals Analisis Kausalitas Pengeluaran Pemerintah, Investasi, dan Tenaga Kerja Terhadap Produk Domestik Regional Bruto SWP Jember dan Sekitarnya

2018 ◽  
Vol 5 (1) ◽  
pp. 6
Author(s):  
Nindya Eka Santi ◽  
Aisyah Jumiarti ◽  
Fivien Muslihatinningsih
Keyword(s):  
Panel Data ◽  
Causal Relationship ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Government Budget ◽  
Causality Test ◽  
Goods And Services ◽  
Regional Area ◽  
The Relationship

RGDP is the total of all goods and services value which produced by all economics unit within a region. This study aims to determine the causality’s direction between government budget and RGDP, investment and RGDP, labor and RGDP, using panel data on RDU Jember and its regional area during 2000– 2014. The Granger causality test is used to identify the direction of the relationship between the variable between government budget and RGDP, investment and RGDP, labor and RGDP. The result of this study showed that there is a causal relationship between variables.Keywords: Granger causality, RGDP, government budget, investment, and labor

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

The Empirical Research between China's Scientific and Technological Investment and Economic Growth

2013 ◽  
Vol 444-445 ◽  
pp. 1607-1611
Author(s):  
Ying Lei
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Technological Progress ◽  
Science And Technology ◽  
Growth Index ◽  
Granger Causality Test ◽  
Sample Period ◽  
Causality Test ◽  
Financial Investment ◽  
The Relationship

In order to explore the relationship between China's scientific and technological progress and economic growth, granger test is been used on investment in science and technology and economic growth based on the sample period (1995-2010) of economic data.The experimental results show that : the scientific and technological progress and economic growth are each other's Granger causes. The paper divide the investment of science and technology into the manpower investment and financial investment in the analysis of economic growth and investment of science and technology the causality, then do Granger causality test on economic growth index GDP.

Sign in / Sign up

Export Citation Format

Share Document