scholarly journals Naira Exchange Rate Variation and Nigeria Economic Growth: A Time Series Study

2019 ◽  
Vol 5 (2) ◽  
pp. 21-31
Author(s):  
Rev Canon Charles Ugochukwu Okoro ◽  
Fortune Bella Charles
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Granger Causality ◽  
Granger Causality Test ◽  
French Franc ◽  
Rate Variation ◽  
Causality Test ◽  
Long Run ◽  
Japanese Yen ◽  
Domestic Products

This study examined the effect of exchange rate variation on Nigeria economy. The objective was to investigate how Naira exchange rate variations against key currencies affect the country’s real gross domestic product. Time series data was sourced from Central Bank of Nigeria statistical bulletin. Real gross domestic products were modeled as the function of United State commodity currency, British commodity currency, Japanese yen currency, Chinese yen currency and French franc currency. The ordinary least square method was used as data analysis techniques. The study used cointegration, unit root, and granger causality test and error correction estimate to study the dynamic effects of commodity currencies on financial market. The study found that naira exchange rate variation with the currencies can explain 65 percent variation on Nigerian real gross domestic products while the remaining 35 percent estimation can be traced to external variables not included in the model. The estimated f-test proved that the model is fit while the estimated DW statistics found the presence of positive serial autocorrelation among the variables. The estimated beta coefficient of the variables revealed that commodity currency of US; Japanese yen and Chinese yen have positive and significant effect on Nigeria real gross domestic products while British pound and French Franc have negative effect on Nigeria real gross domestic products.  From the co-integration test, we found at least two co-integrating equation from the trace test and maximum eigenvalue.  The granger causality test found unidirectional causality from real gross domestic products to Chinese yen and from French Franc to real gross domestic products. The study found that in the long run, Japanese and Chinese yen and French Franc have negative long run effect on Nigeria real gross domestic products; while United States dollar and British Pound Sterling have positive long run effect on Nigeria gross domestic products. The study recommended amongst others that Monetary and macroeconomic policies should be properly articulated with an impregnable feedback loop, implemented to the letter, and a quarterly examination of the impact on the Naira should be regularly engaged, evaluated, interpreted and ensure that the results and possible remedial action(s) get to the appropriate authority timeously so as to ensure well informed decision(s).

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

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

scholarly journals Economic Growth, Domestic Investment, Real Exchange Rate and Trade Openness in India: A multi-cointegration analysis

2016 ◽  
Vol 12 (3) ◽  
pp. 169-184
Author(s):  
Md. Samsur Jaman
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Granger Causality ◽  
Trade Openness ◽  
Granger Causality Test ◽  
Domestic Investment ◽  
Causality Test ◽  
Long Run ◽  
Short Run

This study examines the relationships between economic growth, gross domestic investment, real exchange rate and trade openness in Indian Economy using the Johansen –Juselius cointegration test and VEC Granger causality test. The results suggest that there exists a long-run relationship among the variables. All the estimated coefficients of the long-run equation have the correct positive signs and significant at least at the 5 per cent level. Specifically, in the long run, a 1% increase in Gross Domestic Investment (GDI) increases 0.066% in economic growth. Similarly, a 1% increase in trade openness leads to 0.082% increase in economic growth and a 1% increase in real exchange rate leads to 0.26% increase in economic growth. Thus, in the long run, Gross Domestic Investment (GDI), trade openness and real exchange rate have positively impact on economic growth. The results from the VEC Granger causality test suggest that in the short run only economic growth has short run impact on Gross Domestic Investment (GDI). The other variables have no short run impact on each other. Thus, there is a unidirectional causality from economic growth to GDI, but there is no feedback effect.

scholarly journals Effect of Foreign Direct Investment on Bangladesh Economy: a Time Series Analysis from 1972 to 2013

2020 ◽  
Author(s):  
Rumana Rashid ◽  
Sk. Sharafat Hossen
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Foreign Direct Investment ◽  
Granger Causality ◽  
Direct Investment ◽  
Export Performance ◽  
Granger Causality Test ◽  
Causality Test ◽  
Long Run ◽  
The Impact

This study investigates the impact of Foreign Direct Investment (FDI) on economic growth and examines the causality between FDI and economic growth in Bangladesh during 1972-2013. Gross Domestic Product (GDP), export performance (EXP), Foreign Direct Investment (FDI), and Gross Fixed Capital Formation (GFCF) are considered to capture the objective of the study. The study methodology includes some systematic steps. As the data used in the study is time-series in nature, the author employs unit root tests, and in this case, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests are used. Then Johansen’s cointegration test, Granger causality test, regression with Newey-West Standard Error and Vector Error Correction Model (VECM) are applied. By using the ADF and PP test the study reveals that the variables of four-time series are integrated of I (1) i.e. they are stationary at first difference. Regression analysis result demonstrates that FDI has a positive effect on economic growth. The Granger Causality test discloses that there is a unidirectional relationship between FDI and economic growth. But the VECM estimation finds that in the long run FDI negatively affects economic growth.

Why export competitiveness differs within Indian textile industry? Determinants and empirical evidence

2020 ◽  
Vol 30 (3) ◽  
pp. 375-397 ◽  
Author(s):  
Rahul Dhiman ◽  
Vinod Kumar ◽  
Sudhir Rana
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Textile Industry ◽  
Granger Causality Test ◽  
Real Effective Exchange Rate ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test ◽  
Export Competitiveness

Purpose This study aims to examine whether export competitiveness (EC) in the two groups of the Indian textile industry i.e. “textiles” and “textile products” group differ. Design/methodology/approach The study examines how exchange rate (ER), real effective exchange rate (REER) and EC of both the groups are related in the long run over the period 1991-1992 to 2018-2019 using Granger causality test and Johansen and Juselius co-integration test. Findings The study confirms that EC is a challenge that needs to be addressed to sustain in the international market, as the volatile trend can be found for EC in both groups. The econometric framework shedding light on both groups of the textile industry suggest that select determinants have different relationships with the EC for two groups. The findings of the Granger causality test reveal that the presence of unidirectional causality running from ER to EC in the case of both the groups. Also, the select variables are found to be co-integrated in the long run. However, in the case of REER, no causality is found running from REER to EC. Originality/value ER is a vital determinant of EC and exporters can sustain competitiveness in global markets by reducing their profit mark-up in the face of an appreciating currency.

scholarly journals Exchange Rate Fluctuation and Tourism Sector Output in Nigeria

2014 ◽  
Vol 3 (1) ◽  
pp. 48-55
Author(s):  
Ogbeba Ehigocho Peace ◽  
Oji-Okoro Izuchukwu ◽  
Abba Abubakar Shehu
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Real Effective Exchange Rate ◽  
Causality Test ◽  
Exchange Rate Fluctuation ◽  
Long Run ◽  
Tourism Sector ◽  
Rate Fluctuation ◽  
The Government

It has been a major source of contention among economics scholars, that tourism is a major driver of socio-economic development in the world and serves as a major source of revenue across countries. Hence, this paper examines the effects of exchange rate fluctuation on tourism sector output in Nigeria for the period of 1995 to 2015, using the Vector Error Correction Model (VECM), granger causality test and co-integration approach to ascertain this relationship. Results revealed that exchange rate fluctuation indeed has a significantly negative effect on tourism sector output in Nigeria, and that an increased fluctuation reduces the contribution of the tourism sector to GDP. The granger Causality test result showed that there is a unidirectional causality and long run relationship between contribution of tourism sector to GDP and the contribution of the Tourism sector to employment, real effective exchange rate, and the international number of tourist arrival. Among various recommendations in the study is for the government of Nigeria to review existing economic policies that affect the exchange rate fluctuation, as these some of this policies may be responsible for the consistent increase in exchange rate fluctuation, as these could substantially reduce the number of tourist arrival and tourism sector output.

scholarly journals PERBANKAN SYARIAH DAN PERTUMBUHAN EKONOMI INDONESIA

2013 ◽  
Vol 2 (1) ◽  
Author(s):  
Ali Rama
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Granger Causality ◽  
Capital Market ◽  
Granger Causality Test ◽  
Dynamic Interaction ◽  
Islamic Banking ◽  
Causality Test ◽  
Long Run ◽  
Banking Development

The paper empirically examines the dynamic interaction between Islamic banking development, capital market, trade activities, inflation and economic growth in Indonesia using battery of time series techniques. The study documents a long-run equilibrium between Islamic banking, capital market, trade activities, inflation and economic growth. Granger causality test reveals that there is a bidirectional causality between Islamic banking-growth in Indonesia, the finding accords with “the feedback hypothesis” or bidirectional causality view”. Based on the VDCs, the study discovers that the variations in the economic growth rely very much on its own innovation. The finding also shows that Islamic banking financing innovation significantly explains the variation in economic growth. To further promote contributions of Islamic banking to economic growth, the authority should provide friendly policies to accelerate its development in the countryDOI: 10.15408/sjie.v2i1.2372

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.

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 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.

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